Class LinearCombinationIndex

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.LinearCombinationIndex
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class LinearCombinationIndex extends AbstractIndex
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • LinearCombinationIndex

      public LinearCombinationIndex(double scaling1, AbstractProductComponent index1, double scaling2, AbstractProductComponent index2)
      Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
      Parameters:
      scaling1 - Scaling for first index.
      index1 - First index.
      scaling2 - Scaling for second index.
      index2 - Second 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.

    • getIndex1

      public AbstractProductComponent getIndex1()
      Returns the index 1.
      Returns:
      the index 1.

    • getIndex2

      public AbstractProductComponent getIndex2()
      Returns the index 2.
      Returns:
      the index 2

    • getScaling1

      public double getScaling1()
      Returns the scaling 1.
      Returns:
      the scaling 1

    • getScaling2

      public double getScaling2()
      Returns the scaling 2.
      Returns:
      the scaling 2

    • 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