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

Class PerformanceIndex

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.PerformanceIndex
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class PerformanceIndex extends AbstractIndex
A performance index being numeratorIndex(t) / denominatorIndex(t)
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • PerformanceIndex

      public PerformanceIndex(AbstractProductComponent numeratorIndex, AbstractProductComponent denominatorIndex)
      Create a performance index being numeratorIndex(t) / denominatorIndex(t)
      Parameters:
      numeratorIndex - First index.
      denominatorIndex - 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.

    • getNumeratorIndex

      public AbstractProductComponent getNumeratorIndex()
      Returns the numerator index.
      Returns:
      the numerator index.

    • getDenominatorIndex

      public AbstractProductComponent getDenominatorIndex()
      Returns the denominator index.
      Returns:
      the denominator index.

    • 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.