Class SwaptionWithComponents

    • Constructor Detail

      • SwaptionWithComponents

        public SwaptionWithComponents​(double exerciseDate,
                                      double[] fixingDates,
                                      double[] paymentDates,
                                      double[] swaprates)
        exerciseDate - The exercise date
        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)
    • 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
        evaluationTime - The time on which this products value should be observed.
        model - The model used to price the product.
        The random variable representing the value of the product discounted to evaluation time
        CalculationException - Thrown when valuation fails from valuation model.