Class SwaptionSimple

    • Constructor Detail

      • SwaptionSimple

        public SwaptionSimple​(double swaprate,
                              TimeDiscretization swapTenor)
        Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
        Parameters:
        swaprate - The strike swaprate of the swaption.
        swapTenor - The swap tenor in doubles.
      • SwaptionSimple

        public SwaptionSimple​(double swaprate,
                              double[] swapTenor,
                              Swaption.ValueUnit valueUnit)
        Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
        Parameters:
        swaprate - The strike swaprate of the swaption.
        swapTenor - The swap tenor in doubles.
        valueUnit - See getValue(AbstractLIBORMarketModel model)
    • 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.