Class Bond

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.Bond
All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class Bond extends AbstractTermStructureMonteCarloProduct
This class implements the valuation of a zero coupon bond, P(T).
Version:
1.1
Author:
Christian Fries

  • Constructor Details

    • Bond

      public Bond(LocalDateTime referenceDate, double maturity)
      Create a zero coupon bond with maturity T. Here T is specified as a double offset to a given reference date \( t = 0 \).
      Parameters:
      referenceDate - The date corresponding to \( t = 0 \).
      maturity - The maturity given as double (following the FloatingpointDate convention as an offset to referenceDate.

    • Bond

      public Bond(double maturity)
      Parameters:
      maturity - The maturity given as double.

  • Method Details

    • getValue

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

    • getMaturity

      public double getMaturity()
      Returns:
      Returns the maturity.

    • setMaturity

      public void setMaturity(double maturity)
      Parameters:
      maturity - The maturity to set.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractMonteCarloProduct