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

Class Portfolio

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
net.finmath.montecarlo.interestrate.products.Portfolio
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class Portfolio extends AbstractProductComponent
Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel. The products can be scaled by weights. The value of the portfolio is that of \( \sum_{i=0}^{n} weights\[i\] \cdot products\[i\] \text{.} \) Note: Currently the products have to be of the same currency.
Version:
1.2
Author:
Christian Fries
See Also:
Date:
08.09.2006

  • Constructor Details

    • Portfolio

      public Portfolio(AbstractTermStructureMonteCarloProduct product, double weight)
      Creates a portfolio consisting of a single product and a weight. The currency of this portfolio is the currency of the product.
      Parameters:
      product - A product.
      weight - A weight.

    • Portfolio

      public Portfolio(AbstractTermStructureMonteCarloProduct[] products, double[] weights)
      Creates a portfolio consisting of a set of products and a weights. Note: Currently the products have to be of the same currency.
      Parameters:
      products - An array of products.
      weights - An array of weights (having the same lengths as the array of products).

    • Portfolio

      public Portfolio(String currency, AbstractTermStructureMonteCarloProduct[] products, double[] weights)
      Creates a portfolio consisting of a set of products and a weights. Note: Currently the products have to be of the same currency, namely the one provided.
      Parameters:
      currency - The currency of the value of this portfolio when calling getValue.
      products - An array of products.
      weights - An array of weights (having the same lengths as the array of products).

  • Method Details

    • getCurrency

      public String getCurrency()
      Description copied from interface: MonteCarloProduct
      Returns the currency string of this product.
      Specified by:
      getCurrency in interface MonteCarloProduct
      Overrides:
      getCurrency in class AbstractMonteCarloProduct
      Returns:
      the currency

    • queryUnderlyings

      public Set<String> queryUnderlyings()
      Description copied from class: AbstractProductComponent
      Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
      Specified by:
      queryUnderlyings in class AbstractProductComponent
      Returns:
      A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

    • 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.
      To dos:
      The conversion between different currencies is currently not performed.

    • getProducts

      public TermStructureMonteCarloProduct[] getProducts()
      Returns:
      the products

    • getWeights

      public double[] getWeights()
      Returns:
      the weights