net.finmath.montecarlo.interestrate.products

Class LIBORBond

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.LIBORBond

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class LIBORBond
extends AbstractLIBORMonteCarloProduct

This class implements the valuation of a zero (forward) bond on the models forward rate curve. The value returned by getValue(t) is \( F_{t} \) measurable, since the valuation uses getLIBOR(t,t,T) only.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORBond(double maturity)

Method Summary

Modifier and Type	Method and Description
double	getMaturity()
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.
String	toString()

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

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

LIBORBond

public LIBORBond(double maturity)

Parameters:

maturity - The maturity given as double.

Method Detail

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.

getMaturity

public double getMaturity()

Returns:

Returns the maturity.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct