Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class AbstractLIBORMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

Direct Known Subclasses:

AbstractProductComponent, BermudanSwaption, BermudanSwaptionFromSwapSchedules, Bond, CancelableSwap, Caplet, CMSOption, DigitalCaplet, DigitalFloorlet, FlexiCap, ForwardRateVolatilitySurfaceCurvature, InterestRateMonteCarloProductFactory.SwapMonteCarlo, InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo, LIBORBond, MoneyMarketAccount, SimpleCappedFlooredFloatingRateBond, SimpleSwap, SimpleZeroSwap, Swap, SwapLeg, SwapLegWithFundingProvider, Swaption, SwaptionAnalyticApproximation, SwaptionAnalyticApproximationRebonato, SwaptionATM, SwaptionFromSwapSchedules, SwaptionGeneralizedAnalyticApproximation, SwaptionSimple, SwaptionSingleCurve, SwaptionSingleCurveAnalyticApproximation, SwaptionWithComponents, SwapWithComponents

public abstract class AbstractLIBORMonteCarloProduct
extends AbstractMonteCarloProduct
implements TermStructureMonteCarloProduct

Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
AbstractLIBORMonteCarloProduct()
AbstractLIBORMonteCarloProduct(String currency)

Method Summary

Modifier and Type	Method	Description
FactorTransform	getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)	Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
abstract 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.
RandomVariable	getValue(double evaluationTime, MonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	getValueForModifiedData(double evaluationTime, MonteCarloSimulationModel monteCarloSimulationModel, Map<String,Object> dataModified)
Map<String,Object>	getValues(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

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

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.

getValueForModifiedData

public RandomVariable getValueForModifiedData(double evaluationTime,
                                              MonteCarloSimulationModel monteCarloSimulationModel,
                                              Map<String,Object> dataModified)
                                       throws CalculationException

Throws:

CalculationException

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.

getFactorDrift

public FactorTransform getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme,
                                      LIBORModelMonteCarloSimulationModel targetScheme)

Description copied from interface: TermStructureMonteCarloProduct

Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.

Specified by:

getFactorDrift in interface TermStructureMonteCarloProduct

Parameters:

referenceScheme - The reference scheme

targetScheme - The target scheme

Returns:

The FactorDriftInterface