Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class DigitalCaplet

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.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(T_i,T_i+1;t) is the forward rate with period start T_i and period end T_i+1 and fixing t. K denotes the strike rate.

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
DigitalCaplet(double optionMaturity, double periodStart, double periodEnd, double strike)	Create a digital caplet with given maturity and strike.

Method Summary

Modifier and Type	Method	Description
double	getOptionMaturity()
double	getPeriodEnd()
double	getPeriodStart()
double	getStrike()
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

DigitalCaplet

public DigitalCaplet(double optionMaturity,
 double periodStart,
 double periodEnd,
 double strike)

Create a digital caplet with given maturity and strike.

Parameters:

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

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.

getOptionMaturity

public double getOptionMaturity()

getPeriodStart

public double getPeriodStart()

getPeriodEnd

public double getPeriodEnd()

getStrike

public double getStrike()