java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
net.finmath.montecarlo.interestrate.models.FundingCapacity
- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
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
- \[ \frac{1}{x} \int_{a}^{a+R x} q(\xi) \mathrm{d}\xi \ = \ 1 \],
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Nested Class Summary
Nested Classes -
Constructor Summary
ConstructorsConstructorDescriptionFundingCapacity(String currency, RandomVariable intialCapacity, SortedMap<Double,Double> instantaneouseSurvivalProbability)
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Method Summary
Modifier and TypeMethodDescriptiongetDefaultCompensationForRequiredFunding(double time, RandomVariable fundingRequirement)
getDefaultFactors(double time, RandomVariable fundingRequirement)
getSurvivalProbabilityRequiredFunding(double time, RandomVariable fundingRequirement)
getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getExecutor, getValues
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData
Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Details
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FundingCapacity
public FundingCapacity(String currency, RandomVariable intialCapacity, SortedMap<Double,Double> instantaneouseSurvivalProbability)
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Method Details
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getDefaultFactors
public FundingCapacity.DefaultFactors getDefaultFactors(double time, RandomVariable fundingRequirement) -
getDefaultCompensationForRequiredFunding
public RandomVariable getDefaultCompensationForRequiredFunding(double time, RandomVariable fundingRequirement) -
getSurvivalProbabilityRequiredFunding
public RandomVariable getSurvivalProbabilityRequiredFunding(double time, RandomVariable fundingRequirement) -
getCurrentFundingLevel
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queryUnderlyings
Description copied from class:AbstractProductComponent
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.- Specified by:
queryUnderlyings
in classAbstractProductComponent
- Returns:
- A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
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getValue
public RandomVariable getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model) throws CalculationExceptionDescription copied from interface:TermStructureMonteCarloProduct
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 interfaceTermStructureMonteCarloProduct
- Specified by:
getValue
in classAbstractTermStructureMonteCarloProduct
- 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 thecause()
method.
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