Class SimpleZeroSwap

  • All Implemented Interfaces:
    Product, TermStructureMonteCarloProduct, MonteCarloProduct

    public class SimpleZeroSwap
    extends AbstractLIBORMonteCarloProduct
    Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel. The notional of the swap accrues with the floatIndex. The swap is "simple" in the sense that it does not consider complex schedules and daycount fractions. See Swap for a more general implementation.
    Version:
    1.2
    Author:
    Christian Fries
    • Constructor Detail

      • SimpleZeroSwap

        public SimpleZeroSwap​(double[] fixingDates,
                              double[] paymentDates,
                              double[] swaprates,
                              AbstractIndex floatIndex,
                              boolean isPayFix)
        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)
        floatIndex - The float index. If null, LIBOR will be used.
        isPayFix - If true, the swap is receive float - pay fix, otherwise its receive fix - pay float.
      • SimpleZeroSwap

        public SimpleZeroSwap​(double[] fixingDates,
                              double[] paymentDates,
                              double[] swaprates,
                              boolean isPayFix)
        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.
      • SimpleZeroSwap

        public SimpleZeroSwap​(double[] fixingDates,
                              double[] paymentDates,
                              double[] swaprates)
        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.