Class SwapLegWithFundingProvider

All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class SwapLegWithFundingProvider extends AbstractTermStructureMonteCarloProduct
Christian Fries
  • Constructor Details

    • SwapLegWithFundingProvider

      public SwapLegWithFundingProvider(Schedule legSchedule, double[] notionals, AbstractIndex index, double[] spreads, net.finmath.montecarlo.interestrate.models.funding.FundingCapacity fundingCapacity)
      Creates a swap leg. The swap leg is build from elementary components.
      legSchedule - ScheduleFromPeriods of the leg.
      notionals - An array of notionals for each period in the schedule.
      index - The index.
      spreads - Fixed spreads on the forward or fix rate.
      fundingCapacity - A funding capacity monitor.
  • 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
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      The random variable representing the value of the product discounted to evaluation time
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.