Class CappedFlooredIndex

All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class CappedFlooredIndex extends AbstractIndex
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing AbstractIndex.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form
  • Constructor Details

    • CappedFlooredIndex

      public CappedFlooredIndex(AbstractIndex index, AbstractIndex cap, AbstractIndex floor)
      Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).
      Parameters:
      index - An index.
      cap - An index.
      floor - An index.
  • 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.
    • 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