Class DigitalCaplet

All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class DigitalCaplet extends AbstractTermStructureMonteCarloProduct
Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel. The digital caplet pays periodLength if L > K and else 0. Here L = L(Ti,Ti+1;t) is the forward rate with period start Ti and period end Ti+1 and fixing t. K denotes the strike rate.
Christian Fries
  • Constructor Details

    • DigitalCaplet

      public DigitalCaplet(double optionMaturity, double periodStart, double periodEnd, double strike)
      Create a digital caplet with given maturity and strike.
      optionMaturity - The option maturity.
      periodStart - The period start of the forward rate.
      periodEnd - The period end of the forward rate.
      strike - The strike 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.
    • getOptionMaturity

      public double getOptionMaturity()
    • getPeriodStart

      public double getPeriodStart()
    • getPeriodEnd

      public double getPeriodEnd()
    • getStrike

      public double getStrike()