Module net.finmath.lib

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

Class ProductCollection

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.ProductCollection

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class ProductCollection
extends AbstractProductComponent

A collection of product components (like periods, options, etc.) paying the sum of their payouts.

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
ProductCollection(Collection<AbstractProductComponent> products)	Creates a collection of product components paying the sum of their payouts.
ProductCollection(AbstractProductComponent... products)	Creates a collection of product components paying the sum of their payouts.

Method Summary

Modifier and Type	Method	Description
String	getCurrency()	Returns the currency string of this product.
Collection<AbstractProductComponent>	getProducts()	Returns the collection containing all products as an unmodifiable collection.
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Set<String>	queryUnderlyings()	Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getExecutor, getValues

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

ProductCollection

public ProductCollection(AbstractProductComponent... products)

Creates a collection of product components paying the sum of their payouts.

Parameters:

products - Array of AbstractProductComponent objects

ProductCollection

public ProductCollection(Collection<AbstractProductComponent> products)

Creates a collection of product components paying the sum of their payouts.

Parameters:

products - Collection of AbstractProductComponent objects

Method Details

getCurrency

public String getCurrency()

Description copied from interface: MonteCarloProduct

Returns the currency string of this product.

Specified by:

getCurrency in interface MonteCarloProduct

Overrides:

getCurrency in class AbstractMonteCarloProduct

Returns:

the currency

getProducts

public Collection<AbstractProductComponent> getProducts()

Returns the collection containing all products as an unmodifiable collection.

Returns:

the collection containing all products.

queryUnderlyings

public Set<String> queryUnderlyings()

Description copied from class: AbstractProductComponent

Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Specified by:

queryUnderlyings in class AbstractProductComponent

Returns:

A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

getValue

public RandomVariable getValue(double evaluationTime,
 TermStructureMonteCarloSimulationModel model)
                        throws CalculationException

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractTermStructureMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

See Also:

AbstractMonteCarloProduct.getValue(double, net.finmath.montecarlo.MonteCarloSimulationModel)

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct