Class SimpleSwap

    • Constructor Detail

      • SimpleSwap

        public SimpleSwap​(double[] fixingDates,
                          double[] paymentDates,
                          double[] swaprates,
                          boolean isPayFix,
                          double[] notional)
        Create a swap.
        Parameters:
        fixingDates - Vector of fixing dates
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
        isPayFix - If true, the swap is receive float - pay fix, otherwise its receive fix - pay float.
        notional - The notional as a vector for all periods
      • SimpleSwap

        public SimpleSwap​(double[] fixingDates,
                          double[] paymentDates,
                          double[] swaprates,
                          boolean isPayFix,
                          double notional)
        Create a swap.
        Parameters:
        fixingDates - Vector of fixing dates
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
        isPayFix - If true, the swap is receive float - pay fix, otherwise its receive fix - pay float.
        notional - The constant notional
      • SimpleSwap

        public SimpleSwap​(double[] fixingDates,
                          double[] paymentDates,
                          double[] swaprates,
                          double notional)
        Create a swap.
        Parameters:
        fixingDates - Vector of fixing dates
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
        notional - The constant notional
      • SimpleSwap

        public SimpleSwap​(double[] fixingDates,
                          double[] paymentDates,
                          double[] swaprates,
                          double[] notional)
        Create a swap.
        Parameters:
        fixingDates - Vector of fixing dates
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
        notional - The notional as a vector for all periods
      • SimpleSwap

        @Deprecated
        public SimpleSwap​(double[] fixingDates,
                          double[] paymentDates,
                          double[] swaprates)
        Deprecated.
        Create a swap.
        Parameters:
        fixingDates - Vector of fixing dates
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
    • 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
        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.
      • getStartTime

        public double getStartTime()
      • getFixingDates

        public double[] getFixingDates()
      • getNotional

        public double[] getNotional()
      • getSwapRates

        public double[] getSwapRates()
      • getPaymentDates

        public double[] getPaymentDates()
      • getPeriodLengths

        public double[] getPeriodLengths()