Class AccruingNotional

  • All Implemented Interfaces:
    Notional

    public class AccruingNotional
    extends Object
    implements Notional
    Version:
    1.0
    Author:
    Christian Fries
    • Constructor Detail

      • AccruingNotional

        public AccruingNotional​(Notional previousPeriodNotional,
                                AbstractPeriod previousPeriod)
        Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.
        Parameters:
        previousPeriodNotional - The notional of the previous period.
        previousPeriod - The previous period.
    • Method Detail

      • getCurrency

        public String getCurrency()
        Description copied from interface: Notional
        Returns the currency string of this notional.
        Specified by:
        getCurrency in interface Notional
        Returns:
        the currency
      • getNotionalAtPeriodStart

        public RandomVariable getNotionalAtPeriodStart​(AbstractPeriod period,
                                                       TermStructureMonteCarloSimulationModel model)
                                                throws CalculationException
        Description copied from interface: Notional
        Calculates the notional at the start of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).
        Specified by:
        getNotionalAtPeriodStart in interface Notional
        Parameters:
        period - Period.
        model - The model against we are evaluation.
        Returns:
        The notional for the given period as of period start.
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
      • getNotionalAtPeriodEnd

        public RandomVariable getNotionalAtPeriodEnd​(AbstractPeriod period,
                                                     TermStructureMonteCarloSimulationModel model)
                                              throws CalculationException
        Description copied from interface: Notional
        Calculates the notional at the end of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).
        Specified by:
        getNotionalAtPeriodEnd in interface Notional
        Parameters:
        period - Period.
        model - The model against we are evaluation.
        Returns:
        The notional for the given period as of period end.
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.