Class ConstantMaturitySwaprate

    • Constructor Detail

      • ConstantMaturitySwaprate

        public ConstantMaturitySwaprate​(String name,
                                        String currency,
                                        double fixingOffset,
                                        double[] periodLengths)
        Create a CMS index with given fixing offset and given period lengths.
        Parameters:
        name - The name of the underlying index.
        currency - The currency of the underlying index, if any.
        fixingOffset - Fixing offset of this index.
        periodLengths - Period length of underlying swap, used for the swap annuity calculation.
      • ConstantMaturitySwaprate

        public ConstantMaturitySwaprate​(double fixingOffset,
                                        double[] periodLengths)
        Create a CMS index with given fixing offset and given period lengths.
        Parameters:
        fixingOffset - Fixing offset of this index.
        periodLengths - Period length of underlying swap, used for the swap annuity calculation.
      • ConstantMaturitySwaprate

        public ConstantMaturitySwaprate​(double[] periodLengths)
        Create a CMS index with given period lengths.
        Parameters:
        periodLengths - Period length of underlying swap, used for the swap annuity calculation.
      • ConstantMaturitySwaprate

        public ConstantMaturitySwaprate​(String name,
                                        String currency,
                                        double fixingOffset,
                                        double maturity,
                                        double periodLength)
        Create a CMS index with given fixing offset and given maturity and given period length. Note that maturity must be a multiple of the period length.
        Parameters:
        name - The name of the underlying index.
        currency - The currency of the underlying index, if any.
        fixingOffset - Fixing offset of this index.
        maturity - The maturity.
        periodLength - Period length of underlying swap, used for the swap annuity calculation.
      • ConstantMaturitySwaprate

        public ConstantMaturitySwaprate​(double fixingOffset,
                                        double maturity,
                                        double periodLength)
        Create a CMS index with given fixing offset and given maturity and given period length. Note that maturity must be a multiple of the period length.
        Parameters:
        fixingOffset - Fixing offset of this index.
        maturity - The maturity.
        periodLength - Period length of underlying swap, used for the swap annuity calculation.
      • ConstantMaturitySwaprate

        public ConstantMaturitySwaprate​(double maturity,
                                        double periodLength)
        Create a CMS index with given maturity and given period length. Note that maturity must be a multiple of the period length.
        Parameters:
        maturity - Maturity of the swap rate.
        periodLength - Period length of the fixed size (determines the swap annuity used)
    • Method Detail

      • 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.