Class AccrualAccount

    • Constructor Detail

      • AccrualAccount

        public AccrualAccount​(String currency,
                              AnalyticModelIndex pastFixings,
                              AbstractIndex accrualIndex,
                              double accrualPeriod)
        Create an accrual account.
        Parameters:
        currency - The currency of this account.
        pastFixings - An analytic model index which is used for past fixings, i.e., all calls to getValue with evaluationTime < 0 are delegated to this index.
        accrualIndex - The accrual index.
        accrualPeriod - The accrual period.
    • Method Detail

      • queryUnderlyings

        public Set<String> queryUnderlyings()
        Description copied from class: AbstractProductComponent
        Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
        Specified by:
        queryUnderlyings in class AbstractProductComponent
        Returns:
        A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
      • getValue

        public RandomVariable getValue​(double evaluationTime,
                                       TermStructureMonteCarloSimulationModel model)
                                throws CalculationException
        Description copied from interface: TermStructureMonteCarloProduct
        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.