Class AbstractIndex

    • Constructor Detail

      • 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 Detail

      • 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 AbstractLIBORMonteCarloProduct
        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.