All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class PerformanceIndex extends AbstractIndex
A performance index being numeratorIndex(t) / denominatorIndex(t)
Christian Fries
See Also:
  • Constructor Details

    • PerformanceIndex

      public PerformanceIndex(AbstractProductComponent numeratorIndex, AbstractProductComponent denominatorIndex)
      Create a performance index being numeratorIndex(t) / denominatorIndex(t)
      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
      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.
    • getNumeratorIndex

      public AbstractProductComponent getNumeratorIndex()
      Returns the numerator index.
      the numerator index.
    • getDenominatorIndex

      public AbstractProductComponent getDenominatorIndex()
      Returns the denominator index.
      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
      A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.