net.finmath.marketdata.products

Class Performance

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.Performance

All Implemented Interfaces:

AnalyticProduct, Product

public class Performance
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements an analytic product given by the ratio of two analytic products. This class may become handy when constructing calibrations products. For example: The swap rate is the performance of a SwapLeg relative to a SwapAnnuity. Note: In the strict sense, the performance is an index an not a product (e.g. it does not have a currency unit). With respect to the implementation we do not make a difference here and implement the AbstractAnalyticProduct interface.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
Performance(AbstractAnalyticProduct productNumerator, AbstractAnalyticProduct productDenominator) Creates a Performance product.

Method Summary

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

Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct

getValue, getValue

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Constructor Detail

Performance

public Performance(AbstractAnalyticProduct productNumerator,
                   AbstractAnalyticProduct productDenominator)

Creates a Performance product.

Parameters:

productNumerator - A product implementing AbstractAnalyticProduct for the numerator.

productDenominator - A product implementing AbstractAnalyticProduct for the denominator.

Method Detail

getValue

public double getValue(double evaluationTime,
                       AnalyticModel model)

Description copied from interface: AnalyticProduct

Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.

Specified by:

getValue in interface AnalyticProduct

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.

toString

public String toString()

Overrides:

toString in class Object