Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models

Class FundingCapacity

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

net.finmath.montecarlo.interestrate.models.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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
class	FundingCapacity.DefaultFactors

Constructor Summary

Constructors

Constructor	Description
FundingCapacity(String currency, RandomVariable intialCapacity, SortedMap<Double,Double> instantaneouseSurvivalProbability)

Method Summary

Modifier and Type	Method	Description
RandomVariable	getCurrentFundingLevel()
RandomVariable	getDefaultCompensationForRequiredFunding(double time, RandomVariable fundingRequirement)
FundingCapacity.DefaultFactors	getDefaultFactors(double time, RandomVariable fundingRequirement)
RandomVariable	getSurvivalProbabilityRequiredFunding(double time, RandomVariable fundingRequirement)
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Set<String>	queryUnderlyings()	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.AbstractLIBORMonteCarloProduct

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

Constructor Detail

FundingCapacity

public FundingCapacity(String currency,
                       RandomVariable intialCapacity,
                       SortedMap<Double,Double> instantaneouseSurvivalProbability)

Method Detail

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

public RandomVariable getCurrentFundingLevel()

queryUnderlyings

public Set<String> 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 class AbstractProductComponent

Returns:

A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

getValue

public RandomVariable getValue(double evaluationTime,
                               TermStructureMonteCarloSimulationModel model)
                        throws CalculationException

Description 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 interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractLIBORMonteCarloProduct

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.