net.finmath.montecarlo.interestrate.products

Class SwapLeg

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwapLeg

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

Direct Known Subclasses:

InterestRateMonteCarloProductFactory.SwapLegMonteCarlo

public class SwapLeg
extends AbstractLIBORMonteCarloProduct

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
SwapLeg(Schedule legSchedule, AbstractNotional[] notionals, AbstractIndex index, double[] spreads, boolean couponFlow, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean couponFlow, boolean isNotionalExchanged, boolean isNotionalAccruing) Creates a swap leg.

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

SwapLeg

public SwapLeg(Schedule legSchedule,
               AbstractNotional notional,
               AbstractIndex index,
               double spread,
               boolean couponFlow,
               boolean isNotionalExchanged,
               boolean isNotionalAccruing)

Creates a swap leg. The swap leg is build from elementary components.

Parameters:

legSchedule - ScheduleFromPeriods of the leg.

notional - The notional.

index - The index.

spread - Fixed spread on the forward or fix rate.

couponFlow - If true, the coupon is payed. If false, the coupon is not payed, but may still be part of an accruing notional, see isNotionalAccruing.

isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

isNotionalAccruing - If true, the notional is accruing, that is, the notional of a period is given by the notional of the previous period, accrued with the coupon of the previous period.

SwapLeg

public SwapLeg(Schedule legSchedule,
               AbstractNotional[] notionals,
               AbstractIndex index,
               double[] spreads,
               boolean couponFlow,
               boolean isNotionalExchanged)

Creates a swap leg. The swap leg is build from elementary components.

Parameters:

legSchedule - ScheduleFromPeriods of the leg.

notionals - An array of notionals for each period in the schedule.

index - The index.

spreads - Fixed spreads on the forward or fix rate.

couponFlow - If true, the coupon is payed. If false, the coupon is not payed, but may still be part of an accruing notional, see isNotionalAccruing.

isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

SwapLeg

public SwapLeg(Schedule legSchedule,
               AbstractNotional notional,
               AbstractIndex index,
               double spread,
               boolean isNotionalExchanged)

Creates a swap leg. The swap leg is build from elementary components

Parameters:

legSchedule - ScheduleFromPeriods of the leg.

notional - The notional.

index - The index.

spread - Fixed spread on the forward or fix rate.

isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

Method Detail

getValue

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

Description copied from interface: TermStructureMonteCarloProduct

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.