Class FundingCapacity

All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class FundingCapacity extends AbstractProductComponent
Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability. The piecewise constant instantaneous survival probability has to be provided by a SortedMap<Double, Double> instantaneouseSurvivalProbability. This map defines the mapping \( x_{i} \mapsto q_{i} \). Defining \[ q(x) = q_{i} \text{\ for\ } x \in (x_{i-1}-x_{i}] \] the getDefaultFactors method of this class calculates for a given argument \( (t,x) \):
the effective survival probability
\[ \frac{1}{x} \int_{a}^{a+x} q(\xi) \mathrm{d}\xi \], where a denotes the current level of fund provided by this capacity, and
the effective default compensation factor R, such that
\[ \frac{1}{x} \int_{a}^{a+R x} q(\xi) \mathrm{d}\xi \ = \ 1 \],
Important: since the class keeps track of past fundings used, it is mandatory that the factors are calculated in time-sequential order.
Author:
Christian Fries
See Also:
Serialized Form