net.finmath.montecarlo.interestrate.products

Class SimpleZeroSwap

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SimpleZeroSwap

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class SimpleZeroSwap
extends AbstractLIBORMonteCarloProduct

Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel. The notional of the swap accrues with the floatIndex. The swap is "simple" in the sense that it does not consider complex schedules and daycount fractions. See Swap for a more general implementation.

Version:

1.2

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
SimpleZeroSwap(double[] fixingDates, double[] paymentDates, double[] swaprates) Create a swap.
SimpleZeroSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, AbstractIndex floatIndex, boolean isPayFix) Create a swap.
SimpleZeroSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, boolean isPayFix) Create a swap.

Method Summary

Modifier and Type	Method and Description
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.

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.montecarlo.MonteCarloProduct

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

Constructor Detail

SimpleZeroSwap

public SimpleZeroSwap(double[] fixingDates,
                      double[] paymentDates,
                      double[] swaprates,
                      AbstractIndex floatIndex,
                      boolean isPayFix)

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)

floatIndex - The float index. If null, LIBOR will be used.

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

SimpleZeroSwap

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

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.

SimpleZeroSwap

public SimpleZeroSwap(double[] fixingDates,
                      double[] paymentDates,
                      double[] swaprates)

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.