Class MoneyMarketAccount

  • All Implemented Interfaces:
    Product, TermStructureMonteCarloProduct, MonteCarloProduct

    public class MoneyMarketAccount
    extends AbstractLIBORMonteCarloProduct
    Implements the valuation of a money market account. The money market account is characterized by its inception time t0 and its accrual period Δ t.
    With ti := t0 + i Δ t the money market account value N(t0) = 1 and N(t) = N(ti) (1 + L(ti,ti+1;ti) (t - ti)). for ti < t < ti+1.
    The value of the account at inception is 1.0. The value of the account prior to inception is zero.
    Version:
    1.0
    Author:
    Christian Fries
    • Constructor Detail

      • MoneyMarketAccount

        public MoneyMarketAccount​(double inceptionTime,
                                  double initialValue,
                                  double accrualPeriod)
        Create a money market account.
        Parameters:
        inceptionTime - The inception time. The value of the account at inception is 1.0. The value of the account prior to inception is zero.
        initialValue - The initial value, i.e., the value at inception time.
        accrualPeriod - The accrual period. If this period is < 0, then the finest model LIBOR period discretization is used
      • MoneyMarketAccount

        public MoneyMarketAccount​(double inceptionTime,
                                  double accrualPeriod)
        Create a money market account.
        Parameters:
        inceptionTime - The inception time. The value of the account at inception is 1.0. The value of the account prior to inception is zero.
        accrualPeriod - The accrual period. If this period is < 0, then the finest model LIBOR period discretization is used
      • MoneyMarketAccount

        public MoneyMarketAccount()
        Create a default money market account. The money market account will use the models tenor discretization as the accrual period and its inception time is 0.
    • Method Detail

      • getValue

        public RandomVariable getValue​(double evaluationTime,
                                       TermStructureMonteCarloSimulationModel model)
                                throws CalculationException
        Description copied from interface: TermStructureMonteCarloProduct
        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
        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.