Class NumerairePerformanceOnScheduleIndex

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

    public class NumerairePerformanceOnScheduleIndex
    extends AbstractIndex
    A (floating) rate index representing the performance of the numeraire asset. 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. The index fetches fixing, payment and daycount conventions, etc. from a given schedule. The index fails to evaluate
    Version:
    1.1
    Author:
    Christian Fries
    See Also:
    Serialized Form
    • Constructor Detail

      • NumerairePerformanceOnScheduleIndex

        public NumerairePerformanceOnScheduleIndex​(String name,
                                                   String currency,
                                                   Schedule schedule)
    • 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
        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.