Class SwaptionSingleCurve

  • All Implemented Interfaces:
    Product, TermStructureMonteCarloProduct, MonteCarloProduct

    public class SwaptionSingleCurve
    extends AbstractLIBORMonteCarloProduct
    Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel 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 not result in the valuation of a collaterlized option on a collateralized swap. It will be a collaterlized option on a single curve (uncolateralized) swap. For a multi-curve valuation see Swaption.
    Version:
    1.1
    Author:
    Christian Fries
    • Constructor Detail

      • SwaptionSingleCurve

        public SwaptionSingleCurve​(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).
      • SwaptionSingleCurve

        public SwaptionSingleCurve​(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).
      • SwaptionSingleCurve

        public SwaptionSingleCurve​(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 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.
      • 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