Class CMSOption

    • Constructor Detail

      • CMSOption

        public CMSOption​(double exerciseDate,
                         double[] fixingDates,
                         double[] paymentDates,
                         double[] periodLengths,
                         double strike)
        Create the option on a CMS rate.
        Parameters:
        exerciseDate - The exercise date of the option.
        fixingDates - Vector of fixing dates.
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        periodLengths - Vector of period length (must have same length as fixing dates)
        strike - Strike swap rate.
    • Method Detail

      • 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 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.
      • getValue

        public double getValue​(ForwardCurve forwardCurve,
                               double swaprateVolatility)
        This method returns the value of the product using a Black-Scholes model for the swap rate with the Hunt-Kennedy convexity adjustment. The model is determined by a discount factor curve and a swap rate volatility.
        Parameters:
        forwardCurve - The forward curve from which the swap rate is calculated. The discount curve, associated with this forward curve is used for discounting this option.
        swaprateVolatility - The volatility of the log-swaprate.
        Returns:
        Value of this product