Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products

Class LIBORBond

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.LIBORBond
All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class LIBORBond extends AbstractTermStructureMonteCarloProduct
This class implements the valuation of a zero (forward) bond on the models forward rate curve. The value returned by getValue(t) is \( F_{t} \) measurable, since the valuation uses getLIBOR(t,t,T) only.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • LIBORBond

      public LIBORBond​(double maturity)
      Parameters:
      maturity - The maturity 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
      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.

    • getMaturity

      public double getMaturity()
      Returns:
      Returns the maturity.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractMonteCarloProduct