Class DigitalFloorlet

All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class DigitalFloorlet extends AbstractTermStructureMonteCarloProduct
Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
Christian Fries
  • Constructor Details

    • DigitalFloorlet

      public DigitalFloorlet(double maturity, double strike)
      maturity - The maturity given as double.
      strike - The strike given as double.
  • 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.