Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products.components

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 Details

    • 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 Details

    • 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.