net.finmath.modelling.descriptor

Class InterestRateSwaptionProductDescriptor

java.lang.Object

net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor

All Implemented Interfaces:

InterestRateProductDescriptor, ProductDescriptor

public class InterestRateSwaptionProductDescriptor
extends Object
implements InterestRateProductDescriptor

Product descriptor for an interest rate swaption.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor and Description
InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor swap, LocalDate excerciseDate, double strikeRate) Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.

Method Summary

Modifier and Type	Method and Description
LocalDate	getExcerciseDate() Return the exercise date of the option.
double	getStrikeRate() Return the strike rate of the option.
InterestRateSwapProductDescriptor	getUnderlyingSwap() Return the descriptor of the underlying swap.
String	name() Return the name of the model represented by this descriptor.
Integer	version() Return the version of the model description.

Methods inherited from class java.lang.Object

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

Constructor Detail

InterestRateSwaptionProductDescriptor

public InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor swap,
                                             LocalDate excerciseDate,
                                             double strikeRate)

Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.

Parameters:

swap - Descriptor of the underlying swap.

excerciseDate - Exercise date of the option as abolute LocalDate.

strikeRate - Strike rate of the option.

Method Detail

version

public Integer version()

Description copied from interface: ProductDescriptor

Return the version of the model description.

Specified by:

version in interface ProductDescriptor

Returns:

Version number.

name

public String name()

Description copied from interface: ProductDescriptor

Return the name of the model represented by this descriptor.

Specified by:

name in interface ProductDescriptor

Returns:

Name of the model.

getUnderlyingSwap

public InterestRateSwapProductDescriptor getUnderlyingSwap()

Return the descriptor of the underlying swap.

Returns:

THe swap descriptor.

getExcerciseDate

public LocalDate getExcerciseDate()

Return the exercise date of the option.

Returns:

The exercise date as absolute LocalDate.

getStrikeRate

public double getStrikeRate()

Return the strike rate of the option.

Returns:

The strike rate.