Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class SwaptionFromSwapSchedules

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.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.

Author:

Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	SwaptionFromSwapSchedules.SwaptionType

Nested classes/interfaces inherited from interface net.finmath.modelling.products.Swaption

Swaption.ValueUnit

Constructor Summary

Constructors

Constructor	Description
SwaptionFromSwapSchedules(LocalDateTime referenceDate, SwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate exerciseDate, Schedule scheduleFixedLeg, Schedule scheduleFloatLeg, double swaprate, double notional, Swaption.ValueUnit valueUnit)

Method Summary

Modifier and Type	Method	Description
LocalDate	getExerciseDate()
TimeDiscretization	getProcessTimeDiscretization(LocalDateTime referenceDate)	Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
static RandomVariable	getValueOfLegAnalytic(double evaluationTime, TermStructureMonteCarloSimulationModel model, Schedule schedule, boolean paysFloatingRate, double fixRate, double notional)	Determines the time \( t \)-measurable value of a swap leg (can handle fix or float).
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

SwaptionFromSwapSchedules

public SwaptionFromSwapSchedules(LocalDateTime referenceDate,
 SwaptionFromSwapSchedules.SwaptionType swaptionType,
 LocalDate exerciseDate,
 Schedule scheduleFixedLeg,
 Schedule scheduleFloatLeg,
 double swaprate,
 double notional,
 Swaption.ValueUnit valueUnit)

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

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.

getProcessTimeDiscretization

public TimeDiscretization getProcessTimeDiscretization(LocalDateTime referenceDate)

Description copied from interface: ProcessTimeDiscretizationProvider

Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.

Specified by:

getProcessTimeDiscretization in interface ProcessTimeDiscretizationProvider

Parameters:

referenceDate - A reference date relative to which the discretization is generated.

Returns:

A time discretization.

getExerciseDate

public LocalDate getExerciseDate()

Returns:

the exercise date

getValueOfLegAnalytic

public static RandomVariable getValueOfLegAnalytic(double evaluationTime,
 TermStructureMonteCarloSimulationModel model,
 Schedule schedule,
 boolean paysFloatingRate,
 double fixRate,
 double notional)
                                            throws CalculationException

Determines the time \( t \)-measurable value of a swap leg (can handle fix or float).

Parameters:

evaluationTime - The time \( t \) conditional to which the value is calculated.

model - The model implmeneting LIBORModelMonteCarloSimulationModel.

schedule - The schedule of the leg.

paysFloatingRate - If true, the leg will pay TermStructureMonteCarloSimulationModel.getForwardRate(double, double, double)

fixRate - The fixed rate (if any)

notional - The notional

Returns:

The time \( t \)-measurable value

Throws:

CalculationException - Thrown is model failed to provide the required quantities.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct