Class AbstractProductComponent

    • Constructor Detail

      • AbstractProductComponent

        public AbstractProductComponent​(String currency)
      • AbstractProductComponent

        public AbstractProductComponent()
    • Method Detail

      • queryUnderlyings

        public abstract Set<String> queryUnderlyings()
        Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
        Returns:
        A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
      • getValues

        public Map<String,​Object> getValues​(double evaluationTime,
                                                  TermStructureMonteCarloSimulationModel model)
                                           throws CalculationException
        Description copied from interface: TermStructureMonteCarloProduct
        This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. 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:
        getValues in interface TermStructureMonteCarloProduct
        Overrides:
        getValues 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.