Class ForwardRateAgreementGeneralized

All Implemented Interfaces:
Product, MonteCarloProduct

public class ForwardRateAgreementGeneralized extends HybridAssetMonteCarloProduct
This class implements the valuation of a zero coupon bond.
Christian Fries
  • Constructor Details

    • ForwardRateAgreementGeneralized

      public ForwardRateAgreementGeneralized(LocalDateTime referenceDate, String currency, double fixing, double periodStart, double periodEnd, RandomVariable spread, RandomVariable cap, RandomVariable floor)
    • ForwardRateAgreementGeneralized

      public ForwardRateAgreementGeneralized(LocalDateTime referenceDate, String curve, double fixing, double periodStart, double periodEnd)
      Create a forward rate agreement.
      referenceDate - The referenceDate corresponding to time t=0 of the model.
      curve - The curve on which the fixing of the index occurs.
      fixing - The floating point of the fixing date offset to the referenceData.
      periodStart - The floating point of the period start date offset to the referenceData.
      periodEnd - The floating point of the period end date offset to the referenceData.
    • ForwardRateAgreementGeneralized

      public ForwardRateAgreementGeneralized(String currency, double fixing, double periodStart, double periodEnd)
  • Method Details

    • getValue

      public RandomVariable getValue(double evaluationTime, HybridAssetMonteCarloSimulation model) throws CalculationException
      This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.
      Specified by:
      getValue in class HybridAssetMonteCarloProduct
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      The random variable representing the value of the product discounted to evaluation time
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.