Class NumerairePerformanceIndex

• All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class NumerairePerformanceIndex
extends AbstractIndex
A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length. The index is given give $$F = \frac{1}{dc(t-s)} ( N(t)/N(s) - 1 )$$. where $$s$$ denotes the period start and $$t$$ denotes the period end and dc is a given daycount convention.
Version:
1.1
Author:
Christian Fries