net.finmath.montecarlo.interestrate.products

Class Swaption

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.Swaption

All Implemented Interfaces:

Product, Swaption, TermStructureMonteCarloProduct, MonteCarloProduct

public class Swaption
extends AbstractLIBORMonteCarloProduct
implements Swaption

Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel. Note: This implementation is based on model relative times (using ACT/365 floating point offsets). An implementation using dates and exact swap schedules is provided by SwaptionFromSwapSchedules. Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does assume that the basis deterministic. For the valuation of a fully generalize swaption, you have to use the Option component on a Swap.

Version:

1.3

Author:

Christian Fries

See Also:

SwaptionFromSwapSchedules

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.modelling.products.Swaption

Swaption.ValueUnit

Constructor Summary

Constructors

Constructor and Description
Swaption(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] swaprates) Create a swaption.
Swaption(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double[] swaprates) Create a swaption.
Swaption(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double[] swaprates, double notional) Create a swaption.
Swaption(double exerciseDate, TimeDiscretization swapTenor, double swaprate) Creates a swaption using a TimeDiscretizationFromArray

Method Summary

Modifier and Type	Method and Description
double	getExerciseDate()
RandomVariable	getExerciseIndicator(LIBORModelMonteCarloSimulationModel model) Deprecated.
double[]	getFixingDates()
double	getNotional()
double[]	getPaymentDates()
double[]	getPeriodLengths()
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.
double	getValue(ForwardCurve forwardCurve, double swaprateVolatility) This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
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

Swaption

public Swaption(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] periodLengths,
                double[] swaprates,
                double notional)

Create a swaption.

Parameters:

exerciseDate - The exercise date of the swaption.

fixingDates - Vector of fixing dates.

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

periodLengths - Vector of period lengths.

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

notional - The notional date of the swaption.

Swaption

public Swaption(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] periodLengths,
                double[] swaprates)

Create a swaption.

Parameters:

exerciseDate - Vector of exercise dates.

fixingDates - Vector of fixing dates.

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

periodLengths - Vector of period lengths.

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

Swaption

public Swaption(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] swaprates)

Create a swaption.

Parameters:

exerciseDate - Vector of exercise dates.

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).

Swaption

public Swaption(double exerciseDate,
                TimeDiscretization swapTenor,
                double swaprate)

Creates a swaption using a TimeDiscretizationFromArray

Parameters:

exerciseDate - Exercise date.

swapTenor - Object specifying period start and end dates.

swaprate - Strike.

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.

getValue

public double getValue(ForwardCurve forwardCurve,
                       double swaprateVolatility)

This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.

Parameters:

forwardCurve - The forward curve on which to value the swap.

swaprateVolatility - The Black volatility.

Returns:

Value of this product

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct

getExerciseIndicator

@Deprecated
public RandomVariable getExerciseIndicator(LIBORModelMonteCarloSimulationModel model)
                                                throws CalculationException

Deprecated.

Throws:

CalculationException

getExerciseDate

public double getExerciseDate()

getFixingDates

public double[] getFixingDates()

getPaymentDates

public double[] getPaymentDates()

getPeriodLengths

public double[] getPeriodLengths()

getSwaprates

public double[] getSwaprates()

getNotional

public double getNotional()