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

Class SwaptionSingleCurve

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
All Implemented Interfaces:
Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class SwaptionSingleCurve extends AbstractTermStructureMonteCarloProduct
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 Details

    • 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 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