net.finmath.montecarlo.interestrate.products

Class BermudanSwaption

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.BermudanSwaption

All Implemented Interfaces:

Product, RegressionBasisFunctionsProvider, TermStructureMonteCarloProduct, MonteCarloProduct

public class BermudanSwaption
extends AbstractLIBORMonteCarloProduct
implements RegressionBasisFunctionsProvider

Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel

Version:

1.3

Author:

Christian Fries

Date:

06.12.2009

Constructor Summary

Constructors

Constructor and Description
BermudanSwaption(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates)
BermudanSwaption(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates, boolean isCallable)
BermudanSwaption(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates, boolean isCallable, RegressionBasisFunctionsProvider regressionBasisFunctionsProvider)

Method Summary

Modifier and Type	Method and Description
RandomVariable[]	getBasisFunctions(double fixingDate, LIBORModelMonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.
RandomVariable[]	getBasisFunctions(double fixingDate, MonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.
ConditionalExpectationEstimator	getConditionalExpectationEstimator(double fixingDate, LIBORModelMonteCarloSimulationModel model) Return the conditional expectation estimator suitable for this product.
double[]	getExerciseTimes()
double	getFinalMaturity()
double[]	getFixingDates(double evaluationTime)
boolean	getIsCallable()
double[]	getPaymentDates()
double[]	getPeriodLengths()
double[]	getPeriodNotionals()
SimpleSwap	getSwap()
double[]	getSwapRates()
RandomVariable	getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Map<String,Object>	getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

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

getFactorDrift, getValue, getValueForModifiedData

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.montecarlo.MonteCarloProduct

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

Constructor Detail

BermudanSwaption

public BermudanSwaption(boolean[] isPeriodStartDateExerciseDate,
                        double[] fixingDates,
                        double[] periodLength,
                        double[] paymentDates,
                        double[] periodNotionals,
                        double[] swaprates,
                        boolean isCallable,
                        RegressionBasisFunctionsProvider regressionBasisFunctionsProvider)

Parameters:

isPeriodStartDateExerciseDate - If true, we may exercise at period start

fixingDates - Vector of fixing dates

periodLength - Period lengths (must have same length as fixing dates)

paymentDates - Vector of payment dates (must have same length as fixing dates)

periodNotionals - Period notionals (must have same length as fixing dates)

swaprates - Vector of strikes (must have same length as fixing dates)

isCallable - If true, the product represent the Bermudan right to enter into a swap. If false the product represents the Bermudan right to terminate a running swap.

regressionBasisFunctionsProvider - Used to determine the regression basis functions for the conditional expectation operator.

BermudanSwaption

public BermudanSwaption(boolean[] isPeriodStartDateExerciseDate,
                        double[] fixingDates,
                        double[] periodLength,
                        double[] paymentDates,
                        double[] periodNotionals,
                        double[] swaprates,
                        boolean isCallable)

Parameters:

isPeriodStartDateExerciseDate - If true, we may exercise at period start

fixingDates - Vector of fixing dates

periodLength - Period lengths (must have same length as fixing dates)

paymentDates - Vector of payment dates (must have same length as fixing dates)

periodNotionals - Period notionals (must have same length as fixing dates)

swaprates - Vector of strikes (must have same length as fixing dates)

isCallable - If true, the product represent the Bemrudan right to enter into a swap. If false the product represents the Bermudan right to terminate a running swap.

BermudanSwaption

public BermudanSwaption(boolean[] isPeriodStartDateExerciseDate,
                        double[] fixingDates,
                        double[] periodLength,
                        double[] paymentDates,
                        double[] periodNotionals,
                        double[] swaprates)

Parameters:

isPeriodStartDateExerciseDate - If true, we may exercise at period start

fixingDates - Vector of fixing dates

periodLength - Period lengths (must have same length as fixing dates)

paymentDates - Vector of payment dates (must have same length as fixing dates)

periodNotionals - Period notionals (must have same length as fixing dates)

swaprates - Vector of strikes (must have same length as fixing dates)

Method Detail

getValues

public Map<String,Object> getValues(double evaluationTime,
                                    LIBORModelMonteCarloSimulationModel model)
                             throws CalculationException

Description copied from interface: TermStructureMonteCarloProduct

This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.

Specified by:

getValues in interface TermStructureMonteCarloProduct

Overrides:

getValues in class AbstractLIBORMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValue

public RandomVariable getValue(double evaluationTime,
                               LIBORModelMonteCarloSimulationModel model)
                        throws CalculationException

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractLIBORMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getConditionalExpectationEstimator

public ConditionalExpectationEstimator getConditionalExpectationEstimator(double fixingDate,
                                                                          LIBORModelMonteCarloSimulationModel model)
                                                                   throws CalculationException

Return the conditional expectation estimator suitable for this product.

Parameters:

fixingDate - The condition time.

model - The model

Returns:

The conditional expectation estimator suitable for this product

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getBasisFunctions

public RandomVariable[] getBasisFunctions(double fixingDate,
                                          MonteCarloSimulationModel model)
                                   throws CalculationException

Return the basis functions for the regression suitable for this product.

Specified by:

getBasisFunctions in interface RegressionBasisFunctionsProvider

Parameters:

fixingDate - The condition time.

model - The model

Returns:

The basis functions for the regression suitable for this product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getBasisFunctions

public RandomVariable[] getBasisFunctions(double fixingDate,
                                          LIBORModelMonteCarloSimulationModel model)
                                   throws CalculationException

Return the basis functions for the regression suitable for this product.

Parameters:

fixingDate - The condition time.

model - The model

Returns:

The basis functions for the regression suitable for this product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getExerciseTimes

public double[] getExerciseTimes()

getFixingDates

public double[] getFixingDates(double evaluationTime)

getSwap

public SimpleSwap getSwap()

getPaymentDates

public double[] getPaymentDates()

getPeriodNotionals

public double[] getPeriodNotionals()

getSwapRates

public double[] getSwapRates()

getPeriodLengths

public double[] getPeriodLengths()

getFinalMaturity

public double getFinalMaturity()

getIsCallable

public boolean getIsCallable()