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 Summary

    Modifier and Type
    Method
    Description
    double
    getValue(double evaluationTime, VolatilityCubeModel model)
    Return the valuation of the product using the given model.

    Methods inherited from interface net.finmath.marketdata.products.AnalyticProduct

    getValue

    Methods inherited from interface net.finmath.modelling.Product

    getValue, getValues
  • 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.