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

Class AnalyticModelForwardCurveIndex

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.AnalyticModelForwardCurveIndex
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class AnalyticModelForwardCurveIndex extends AbstractIndex
An index which is given by a name referencing a curve of an analytic model.
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • AnalyticModelForwardCurveIndex

      public AnalyticModelForwardCurveIndex(String name, String curveName, double fixingOffset, double paymentOffset)
      Creates a forward rate index for a given period start offset (offset from fixing) and period length.
      Parameters:
      name - The name of an index. Used to map an index on a curve.
      curveName - The name of the curve used to infer the forward of this index.
      fixingOffset - An offset added to the fixing to define the period start.
      paymentOffset - The payment offset passed to getForward.

  • Method Details

    • getValue

      public RandomVariable getValue(double evaluationTime, 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:
      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.

    • getPeriodStartOffset

      public double getPeriodStartOffset()
      Returns the fixingOffet as an act/365 day count.
      Returns:
      the fixingOffet

    • 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.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractMonteCarloProduct