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

Class Period

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct
net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
net.finmath.montecarlo.interestrate.products.components.Period
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class Period extends AbstractPeriod
A period. A period has references to the index (coupon) and the notional. It provides the fixing date for the index, the period length, and the payment date.
Version:
1.1
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • Period

      public Period​(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest)
      Create a simple period with notional and index (coupon) flow.
      Parameters:
      referenceDate - The date corresponding to time \( t = 0 \).
      periodStart - The period start.
      periodEnd - The period end.
      fixingDate - The fixing date (as double).
      paymentDate - The payment date (as double).
      notional - The notional object relevant for this period.
      index - The index (used for coupon calculation) associated with this period.
      daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).
      couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.
      notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.
      payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.
      isExcludeAccruedInterest - If the true, the valuation will exclude accrued interest, if any.

    • Period

      public Period​(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest)
      Create a simple period with notional and index (coupon) flow.
      Parameters:
      periodStart - The period start.
      periodEnd - The period end.
      fixingDate - The fixing date (as double).
      paymentDate - The payment date (as double).
      notional - The notional object relevant for this period.
      index - The index (used for coupon calculation) associated with this period.
      daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).
      couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.
      notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.
      payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.
      isExcludeAccruedInterest - If the true, the valuation will exclude accrued interest, if any.

    • Period

      public Period​(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer)
      Create a simple period with notional and index (coupon) flow. The valuation does not exclude the accrued interest, i.e., the valuation reports a so called dirty price.
      Parameters:
      periodStart - The period start.
      periodEnd - The period end.
      fixingDate - The fixing date (as double).
      paymentDate - The payment date (as double).
      notional - The notional object relevant for this period.
      index - The index (used for coupon calculation) associated with this period.
      daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).
      couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.
      notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.
      payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.

    • Period

      public Period​(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, boolean couponFlow, boolean notionalFlow, boolean payer)
      Create a simple period with notional and index (coupon) flow. The valuation does not exclude the accrued interest, i.e., the valuation reports a so called dirty price.
      Parameters:
      periodStart - The period start.
      periodEnd - The period end.
      fixingDate - The fixing date (as double).
      paymentDate - The payment date (as double).
      notional - The notional object relevant for this period.
      index - The index (coupon) associated with this period.
      couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.
      notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.
      payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.

  • Method Details