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

Class UnsupportedIndex

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.UnsupportedIndex
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class UnsupportedIndex extends AbstractIndex
An index throwing an exception if his getValue method is called. This class can be used to created indices which triggers an exception only upon usage (i.e., late). A typical use case is a financial product referencing an index in one of its past payments, which is not supported by the current model. In that case the product can be valued as of a future date, but no necessarily as of a past date.
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • UnsupportedIndex

      public UnsupportedIndex(String name, Exception exception)
      Creates an unsupported index throwing an exception if his getValue method is called.
      Parameters:
      name - The name of the index.
      exception - The exception to be thrown if this index is valued.

    • UnsupportedIndex

      public UnsupportedIndex(Exception exception)
      Creates an unsupported index throwing an exception if his getValue method is called.
      Parameters:
      exception - The exception.

  • 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.