Interface AnalyticVolatilityCubeProduct

All Superinterfaces:
AnalyticProduct, Product
All Known Implementing Classes:
AbstractAnalyticVolatilityCubeProduct, AbstractSingleSwapRateProduct, AnnuityDummyProduct, CashSettledPayerSwaption, CashSettledReceiverSwaption, ConstantMaturitySwap, NormalizingDummyProduct
public interface AnalyticVolatilityCubeProduct extends AnalyticProduct
The interface of a product to be evaluated using a VolatilityCubeModel.
Author:
Christian Fries, Roland Bachl

  • Method Details

    • getValue

      double getValue(double evaluationTime, VolatilityCubeModel model)
      Return the valuation of the product using the given model. The model has to implement the modes of VolatilityCubeModel.
      Parameters:
      evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
      model - The model under which the product is valued.
      Returns:
      The value of the product using the given model.