Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class MoneyMarketAccount

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.MoneyMarketAccount

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class MoneyMarketAccount
extends AbstractTermStructureMonteCarloProduct

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 t_i := t₀ + i Δ t the money market account value N(t₀) = 1 and N(t) = N(t_i) (1 + L(t_i,t_i+1;t_i) (t - t_i)). for t_i < t < t_i+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 Summary

Constructors

Constructor	Description
MoneyMarketAccount()	Create a default money market account.
MoneyMarketAccount(double inceptionTime, double accrualPeriod)	Create a money market account.
MoneyMarketAccount(double inceptionTime, double initialValue, double accrualPeriod)	Create a money market account.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

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 Details

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 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.