All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class CMSOption extends AbstractTermStructureMonteCarloProduct
Implements the valuation of an option on a CMS rate.
Christian Fries
  • Constructor Details

    • CMSOption

      public CMSOption(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double strike)
      Create the option on a CMS rate.
      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 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
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      The random variable representing the value of the product discounted to evaluation time
      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.
      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.
      Value of this product