All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class FlexiCap extends AbstractTermStructureMonteCarloProduct
This class implements the valuation of a Flexi Cap (aka Auto Cap). If maximumNumberOfExercises = fixingDates.length then this is a Cap. The payoff of the product is L(Ti) - Ki if L(Ti) - Ki > 0 and the number of j < i such that L(Tj) - Kj if L(Tj) - Kj > 0 is less than maximumNumberOfExercises, where Ti is an element of fixingDates.
Christian Fries
  • Constructor Details

    • FlexiCap

      public FlexiCap(double[] fixingDates, double[] paymentDates, double[] strikes, int maximumNumberOfExercises)
      Create a Flexi Cap (aka Auto Cap). If maximumNumberOfExercises = fixingDates.length then this is a Cap.
      fixingDates - Vector of fixing dates
      paymentDates - Vector of payment dates (must have same length as fixing dates)
      strikes - Vector of strikes (must have same length as fixing dates)
      maximumNumberOfExercises - Maximum number of exercises.
  • 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.
    • getStrikes

      public double[] getStrikes()
      Returns the strikes.