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

Class AbstractIndex

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.indices.AbstractIndex
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
Direct Known Subclasses:
AccruedInterest, AnalyticModelForwardCurveIndex, AnalyticModelIndex, CappedFlooredIndex, ConstantMaturitySwaprate, DateIndex, FixedCoupon, ForwardCurveIndex, LaggedIndex, LIBORIndex, LinearCombinationIndex, MaxIndex, MinIndex, NumerairePerformanceIndex, NumerairePerformanceOnScheduleIndex, PerformanceIndex, PowIndex, ProductIndex, TimeDiscreteEndOfMonthIndex, TriggerIndex, UnsupportedIndex
public abstract class AbstractIndex extends AbstractProductComponent
Base class for indices. Indices are small functions mapping time and a vector of random variables to a random variable, where the time is the fixing time of the index.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • AbstractIndex

      public AbstractIndex​(String name, String currency)
      Initialize name and currency of an index.
      Parameters:
      name - The name of an index. Used to map an index on a curve.
      currency - The natural currency of an index. This more for compatibility purposes, since the information sould be contained in the name.

    • AbstractIndex

      public AbstractIndex​(String name)
      Initialize the name of an index.
      Parameters:
      name - The name of an index. Used to map an index on a curve.

    • AbstractIndex

      public AbstractIndex()
      Initialize an abstract index which does not have a dedicated name or currency, e.g. a function of other indicies.

  • Method Details

    • getValue

      public abstract RandomVariable getValue​(double fixingTime, TermStructureMonteCarloSimulationModel model) throws CalculationException
      Description copied from interface: TermStructureMonteCarloProduct
      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:
      fixingTime - 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.

    • getName

      public String getName()
      Returns the name of the index.
      Returns:
      The name of the index.