Class FlexiCap

  • All Implemented Interfaces:
    Product, TermStructureMonteCarloProduct, MonteCarloProduct

    public class FlexiCap
    extends AbstractLIBORMonteCarloProduct
    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 Detail

      • 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 Detail

      • 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 AbstractLIBORMonteCarloProduct
        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.