Module net.finmath.lib
Package net.finmath.montecarlo.hybridassetinterestrate.products

Class HybridAssetMonteCarloProduct

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct
All Implemented Interfaces:
Product, MonteCarloProduct
Direct Known Subclasses:
Bond, BondWithForeignNumeraire, ForwardRateAgreementGeneralized
public abstract class HybridAssetMonteCarloProduct extends AbstractMonteCarloProduct
Base class for product that need an HybridAssetLIBORModelMonteCarloSimulationInterface in their valuation.
Author:
Christian Fries

  • Constructor Details

    • HybridAssetMonteCarloProduct

      public HybridAssetMonteCarloProduct()

  • Method Details

    • getValue

      public abstract 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.
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      Returns:
      The random variable representing the value of the product discounted to evaluation time
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValueForModifiedData

      public RandomVariable getValueForModifiedData​(double evaluationTime, MonteCarloSimulationModel monteCarloSimulationInterface, Map<String,​Object> dataModified) throws CalculationException
      Throws:
      CalculationException

    • getValues

      public Map<String,​Object> getValues​(double evaluationTime, HybridAssetMonteCarloSimulation model) throws CalculationException
      This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. 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.
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      Returns:
      The random variable representing the value of the product discounted to evaluation time
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValue

      public RandomVariable getValue​(double evaluationTime, MonteCarloSimulationModel model) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. 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. More generally: The value random variable is a random variable V*(t) such that the time-t conditional expectation of V*(t) is equal to the value of the financial product in time t. An example for V*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.
      Specified by:
      getValue in interface MonteCarloProduct
      Specified by:
      getValue in class AbstractMonteCarloProduct
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      Returns:
      The random variable representing the value of the product discounted to evaluation time
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getFactorDrift

      public FactorTransform getFactorDrift​(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)
      Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
      Parameters:
      referenceScheme - The reference scheme
      targetScheme - The target scheme
      Returns:
      The FactorDriftInterface