Class CancelableSwap

    • Constructor Detail

      • CancelableSwap

        public CancelableSwap​(boolean[] isPeriodStartDateExerciseDate,
                              double[] fixingDates,
                              double[] periodLength,
                              double[] paymentDates,
                              double[] periodNotionals,
                              double[] swaprates)
        Parameters:
        isPeriodStartDateExerciseDate - If true, we may exercise at period start
        fixingDates - Vector of fixing dates
        periodLength - Vector of periodLength
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        periodNotionals - Vector of period notionals.
        swaprates - Vector of strikes (must have same length as fixing dates)
    • 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.