Class AbstractLIBORMonteCarloProduct

    • Constructor Detail

      • AbstractLIBORMonteCarloProduct

        public AbstractLIBORMonteCarloProduct​(String currency)
        Parameters:
        currency - The currency of this product (may be null for "any currency").
      • AbstractLIBORMonteCarloProduct

        public AbstractLIBORMonteCarloProduct()
    • Method Detail

      • getValue

        public abstract 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
        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.
      • getValues

        public Map<String,​Object> getValues​(double evaluationTime,
                                                  TermStructureMonteCarloSimulationModel model)
                                           throws CalculationException
        Description copied from interface: TermStructureMonteCarloProduct
        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.
        Specified by:
        getValues in interface TermStructureMonteCarloProduct
        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.