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

Class Swaption

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.Swaption
All Implemented Interfaces:
Product, Swaption, TermStructureMonteCarloProduct, MonteCarloProduct
public class Swaption extends AbstractTermStructureMonteCarloProduct implements Swaption
Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel. Note: This implementation is based on model relative times (using ACT/365 floating point offsets). An implementation using dates and exact swap schedules is provided by SwaptionFromSwapSchedules. Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does assume that the basis deterministic. For the valuation of a fully generalize swaption, you have to use the Option component on a Swap.
Version:
1.3
Author:
Christian Fries
See Also:
SwaptionFromSwapSchedules

  • Constructor Details

    • Swaption

      public Swaption​(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double[] swaprates, double notional)
      Create a swaption.
      Parameters:
      exerciseDate - The exercise date of the swaption.
      fixingDates - Vector of fixing dates.
      paymentDates - Vector of payment dates (must have same length as fixing dates).
      periodLengths - Vector of period lengths.
      swaprates - Vector of strikes (must have same length as fixing dates).
      notional - The notional date of the swaption.

    • Swaption

      public Swaption​(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double[] swaprates)
      Create a swaption.
      Parameters:
      exerciseDate - Vector of exercise dates.
      fixingDates - Vector of fixing dates.
      paymentDates - Vector of payment dates (must have same length as fixing dates).
      periodLengths - Vector of period lengths.
      swaprates - Vector of strikes (must have same length as fixing dates).

    • Swaption

      public Swaption​(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] swaprates)
      Create a swaption.
      Parameters:
      exerciseDate - Vector of exercise dates.
      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).

    • Swaption

      public Swaption​(double exerciseDate, TimeDiscretization swapTenor, double swaprate)
      Creates a swaption using a TimeDiscretizationFromArray
      Parameters:
      exerciseDate - Exercise date.
      swapTenor - Object specifying period start and end dates.
      swaprate - Strike.

  • Method Details

    • 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.

    • getValue

      public double getValue​(ForwardCurve forwardCurve, double swaprateVolatility)
      This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
      Parameters:
      forwardCurve - The forward curve on which to value the swap.
      swaprateVolatility - The Black volatility.
      Returns:
      Value of this product

    • toString

      public String toString()
      Overrides:
      toString in class AbstractMonteCarloProduct

    • getExerciseIndicator

      @Deprecated public RandomVariable getExerciseIndicator​(LIBORModelMonteCarloSimulationModel model) throws CalculationException
      Deprecated.
      Throws:
      CalculationException

    • getExerciseDate

      public double getExerciseDate()

    • getFixingDates

      public double[] getFixingDates()

    • getPaymentDates

      public double[] getPaymentDates()

    • getPeriodLengths

      public double[] getPeriodLengths()

    • getSwaprates

      public double[] getSwaprates()

    • getNotional

      public double getNotional()