Class SwaptionFromSwapSchedules

All Implemented Interfaces:
Product, Swaption, TermStructureMonteCarloProduct, MonteCarloProduct, ProcessTimeDiscretizationProvider

public class SwaptionFromSwapSchedules extends AbstractTermStructureMonteCarloProduct implements ProcessTimeDiscretizationProvider, Swaption
Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD. The valuation internally uses an analytic valuation of a swap such that the getValue(double, TermStructureMonteCarloSimulationModel) method returns an valuation being \( \mathcal{F}_{t} \}-measurable where \( t \) is the evaluationTime argument.
Christian Fries