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

Class ConstantMaturitySwaprate

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.ConstantMaturitySwaprate
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class ConstantMaturitySwaprate extends AbstractIndex
An idealized (single curve) CMS index with given maturity and given period length.
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • 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 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