Class LinearCombinationIndex

    • Constructor Detail

      • LinearCombinationIndex

        public LinearCombinationIndex​(double scaling1,
                                      AbstractProductComponent index1,
                                      double scaling2,
                                      AbstractProductComponent index2)
        Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
        scaling1 - Scaling for first index.
        index1 - First index.
        scaling2 - Scaling for second index.
        index2 - Second index.
    • 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
        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.
      • getScaling1

        public double getScaling1()
        Returns the scaling 1.
        the scaling 1
      • getScaling2

        public double getScaling2()
        Returns the scaling 2.
        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
        A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.