Module net.finmath.lib
Class NotionalFromComponent
java.lang.Object
net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
- All Implemented Interfaces:
Notional
A stochastic notional derived from the valuation of a component.
- Since:
- finmath-lib 3.6.0
- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
ConstructorDescriptionCreates a notional which is derived by calling the getValue method on the period start of a given component. -
Method Summary
Modifier and TypeMethodDescriptionReturns the currency string of this notional.Calculates the notional at the end of a period, given a period.Calculates the notional at the start of a period, given a period.
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Constructor Details
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NotionalFromComponent
Creates a notional which is derived by calling the getValue method on the period start of a given component. Note: The class performs a check of the measurability of the notional. If the notional is not \( F_{t} \)-measurable (for t = period start), an exception is thrown.- Parameters:
notional
- The component providing the notation.
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Method Details
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getCurrency
Description copied from interface:Notional
Returns the currency string of this notional.- Specified by:
getCurrency
in interfaceNotional
- Returns:
- the currency
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getNotionalAtPeriodEnd
public RandomVariable getNotionalAtPeriodEnd(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) 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 interfaceNotional
- Parameters:
period
- Period.model
- The model against we are evaluation.- Returns:
- The notional for the given period as of period end.
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getNotionalAtPeriodStart
public RandomVariable getNotionalAtPeriodStart(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) 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 interfaceNotional
- Parameters:
period
- Period.model
- The model against we are evaluation.- Returns:
- The notional for the given period as of period start.
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