Class CancelableSwap

All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class CancelableSwap extends AbstractTermStructureMonteCarloProduct
Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
Christian Fries
11.03.2006, 31.05.2009
  • Constructor Details

    • CancelableSwap

      public CancelableSwap(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates)
      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 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.