net.finmath.montecarlo.interestrate.products.components

Class NotionalFromComponent

java.lang.Object

net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent

All Implemented Interfaces:

AbstractNotional

public class NotionalFromComponent
extends Object
implements AbstractNotional

A stochastic notional derived from the valuation of a component.

Since:

finmath-lib 3.6.0

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
NotionalFromComponent(AbstractProductComponent notional) Creates a notional which is derived by calling the getValue method on the period start of a given component.

Method Summary

Modifier and Type	Method and Description
String	getCurrency() Returns the currency string of this notional.
RandomVariable	getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model) Calculates the notional at the end of a period, given a period.
RandomVariable	getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model) Calculates the notional at the start of a period, given a period.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

NotionalFromComponent

public NotionalFromComponent(AbstractProductComponent notional)

Creates a notional which is derived by calling the getValue method on the period start of a given component. Note: The class performs a check of the measurability of the notional. If the notional is not \( F_{t} \)-measurable (for t = period start), an exception is thrown.

Parameters:

notional - The component providing the notation.

Method Detail

getCurrency

public String getCurrency()

Description copied from interface: AbstractNotional

Returns the currency string of this notional.

Specified by:

getCurrency in interface AbstractNotional

Returns:

the currency

getNotionalAtPeriodEnd

public RandomVariable getNotionalAtPeriodEnd(AbstractPeriod period,
                                             LIBORModelMonteCarloSimulationModel model)

Description copied from interface: AbstractNotional

Calculates the notional at the end of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).

Specified by:

getNotionalAtPeriodEnd in interface AbstractNotional

Parameters:

period - Period.

model - The model against we are evaluation.

Returns:

The notional for the given period as of period end.

getNotionalAtPeriodStart

public RandomVariable getNotionalAtPeriodStart(AbstractPeriod period,
                                               LIBORModelMonteCarloSimulationModel model)

Description copied from interface: AbstractNotional

Calculates the notional at the start of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).

Specified by:

getNotionalAtPeriodStart in interface AbstractNotional

Parameters:

period - Period.

model - The model against we are evaluation.

Returns:

The notional for the given period as of period start.