All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class LaggedIndex extends AbstractIndex
A time-lagged index paying index(t+fixingOffset)
Christian Fries
See Also:
  • Constructor Details

    • LaggedIndex

      public LaggedIndex(AbstractProductComponent index, String fixingOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar)
    • LaggedIndex

      public LaggedIndex(AbstractProductComponent index, double fixingOffset)
      Creates a time-lagged index paying index(t+fixingOffset).
      index - An index.
      fixingOffset - Offset added to the fixing (evaluation time) of this index to fix the underlying index.
  • Method Details

    • 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
      A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
    • 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
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      The random variable representing the value of the product discounted to evaluation time
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.