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

Class AccruedInterest

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
net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class AccruedInterest extends AbstractIndex
An accrued interest index. For a given index I this class's getValue function calculates the value \( I(t_{0}) \cdot \frac{\max(\text{dcf}(t,T_{end}),0)}{\text{dcf}(T_{start},T_{end})} \) \text{,} where \( \text{dcf} \) is the given day count convention and T_{start} and T_{end} are the period start and period end date respectively and \( t \) is the fixing date. The fixingDate is provided as an argument to the getValue method in terms of a ACT/365 day count fraction from the given reference date. Note that the value returned is not numeraire adjusted, i.e., not discounted. Note that the index is fixed in \( t \). For
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • AccruedInterest

      public AccruedInterest​(String name, String currency, LocalDate referenceDate, LocalDate periodStartDate, LocalDate periodEndDate, AbstractIndex index, Double indexFixingTime, DayCountConvention daycountConvention, boolean isNegativeAccruedInterest)
      Create an accrued interest index.
      Parameters:
      name - The name of the index.
      currency - The payment currency.
      referenceDate - The model reference date (corresponding to t=0).
      periodStartDate - The period start date.
      periodEndDate - The period end date.
      index - The index.
      indexFixingTime - The fixing time \( t_{0} \) of the index.
      daycountConvention - The day count convention.
      isNegativeAccruedInterest - If true, the class represents the coupon payment minus the accrued interest, i.e., \( I(t_{0}) \cdot \frac{\max(\text{dcf}(T_{start},t),0)}{\text{dcf}(T_{start},T_{end})} \).

  • Method Details

    • getValue

      public 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 AbstractIndex
      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.

    • 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.