net.finmath.modelling.productfactory

Class InterestRateMonteCarloProductFactory.SwapLegMonteCarlo

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwapLeg

net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapLegMonteCarlo

All Implemented Interfaces:

DescribedProduct<InterestRateSwapLegProductDescriptor>, Product, TermStructureMonteCarloProduct, MonteCarloProduct

Enclosing class:

InterestRateMonteCarloProductFactory

public static class InterestRateMonteCarloProductFactory.SwapLegMonteCarlo
extends SwapLeg
implements DescribedProduct<InterestRateSwapLegProductDescriptor>

Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor and Description
SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor descriptor, LocalDate referenceDate) Create product from descriptor.

Method Summary

Modifier and Type	Method and Description
InterestRateSwapLegProductDescriptor	getDescriptor() Return a product descriptor representing this product.

Methods inherited from class net.finmath.montecarlo.interestrate.products.SwapLeg

getValue

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Detail

SwapLegMonteCarlo

public SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor descriptor,
                         LocalDate referenceDate)

Create product from descriptor.

Parameters:

descriptor - The descriptor of the product.

referenceDate - The reference date of the data for the valuation, used to convert absolute date to relative dates in double representation.

Method Detail

getDescriptor

public InterestRateSwapLegProductDescriptor getDescriptor()

Description copied from interface: DescribedProduct

Return a product descriptor representing this product.

Specified by:

getDescriptor in interface DescribedProduct<InterestRateSwapLegProductDescriptor>

Returns:

The product descriptor of this product.