## Class AccruingNotional

• java.lang.Object
• net.finmath.montecarlo.interestrate.products.components.AccruingNotional
• All Implemented Interfaces:
Notional

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

Constructors
Constructor Description
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.
• ### Method Summary

All Methods
Modifier and Type Method Description
String getCurrency()
Returns the currency string of this notional.
RandomVariable getNotionalAtPeriodEnd​(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
Calculates the notional at the end of a period, given a period.
RandomVariable getNotionalAtPeriodStart​(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
Calculates the notional at the start of a period, given a period.
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### 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.