Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products.indices

Class NumerairePerformanceOnScheduleIndex

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.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:

  • Constructor Details

    • NumerairePerformanceOnScheduleIndex

      public NumerairePerformanceOnScheduleIndex(String name, String currency, Schedule schedule)

  • 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.

    • 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