net.finmath.montecarlo.interestrate.products

Class SimpleSwap

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SimpleSwap

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class SimpleSwap
extends AbstractLIBORMonteCarloProduct

Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel

Version:

1.2

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
SimpleSwap(double[] fixingDates, double[] paymentDates, double[] swaprates) Deprecated.
SimpleSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, boolean isPayFix, double notional) Create a swap.
SimpleSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, boolean isPayFix, double[] notional) Create a swap.
SimpleSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, double notional) Create a swap.
SimpleSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, double[] notional) Create a swap.

Method Summary

Modifier and Type	Method and Description
double[]	getFixingDates()
double[]	getNotional()
double[]	getPaymentDates()
double[]	getPeriodLengths()
double	getStartTime()
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.
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

SimpleSwap

public SimpleSwap(double[] fixingDates,
                  double[] paymentDates,
                  double[] swaprates,
                  boolean isPayFix,
                  double[] notional)

Create a swap.

Parameters:

fixingDates - Vector of fixing dates

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

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

isPayFix - If true, the swap is receive float - pay fix, otherwise its receive fix - pay float.

notional - The notional as a vector for all periods

SimpleSwap

public SimpleSwap(double[] fixingDates,
                  double[] paymentDates,
                  double[] swaprates,
                  boolean isPayFix,
                  double notional)

Create a swap.

Parameters:

fixingDates - Vector of fixing dates

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

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

isPayFix - If true, the swap is receive float - pay fix, otherwise its receive fix - pay float.

notional - The constant notional

SimpleSwap

public SimpleSwap(double[] fixingDates,
                  double[] paymentDates,
                  double[] swaprates,
                  double notional)

Create a swap.

Parameters:

fixingDates - Vector of fixing dates

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

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

notional - The constant notional

SimpleSwap

public SimpleSwap(double[] fixingDates,
                  double[] paymentDates,
                  double[] swaprates,
                  double[] notional)

Create a swap.

Parameters:

fixingDates - Vector of fixing dates

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

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

notional - The notional as a vector for all periods

SimpleSwap

@Deprecated
public SimpleSwap(double[] fixingDates,
                              double[] paymentDates,
                              double[] swaprates)

Deprecated.

Create a swap.

Parameters:

fixingDates - Vector of fixing dates

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

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

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.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct

getStartTime

public double getStartTime()

getFixingDates

public double[] getFixingDates()

getNotional

public double[] getNotional()

getSwapRates

public double[] getSwapRates()

getPaymentDates

public double[] getPaymentDates()

getPeriodLengths

public double[] getPeriodLengths()