net.finmath.montecarlo.interestrate.products.indices

Class AccruedInterest

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

net.finmath.montecarlo.interestrate.products.indices.AbstractIndex

net.finmath.montecarlo.interestrate.products.indices.AccruedInterest

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class AccruedInterest
extends AbstractIndex

An accrued interest index. For a given index I this class's getValue function calculates the value \( I(t_{0}) \cdot \frac{\max(\text{dcf}(t,T_{end}),0)}{\text{dcf}(T_{start},T_{end})} \) \text{,} where \( \text{dcf} \) is the given day count convention and T_{start} and T_{end} are the period start and period end date respectively and \( t \) is the fixing date. The fixingDate is provided as an argument to the getValue method in terms of a ACT/365 day count fraction from the given reference date. Note that the value returned is not numeraire adjusted, i.e., not discounted. Note that the index is fixed in \( t \). For

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AccruedInterest(String name, String currency, LocalDate referenceDate, LocalDate periodStartDate, LocalDate periodEndDate, AbstractIndex index, Double indexFixingTime, DayCountConvention daycountConvention, boolean isNegativeAccruedInterest) Create an accrued interest index.

Method Summary

Modifier and Type	Method and Description
RandomVariable	getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Set<String>	queryUnderlyings() Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Methods inherited from class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex

getName

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getExecutor, getValues

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData

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

AccruedInterest

public AccruedInterest(String name,
                       String currency,
                       LocalDate referenceDate,
                       LocalDate periodStartDate,
                       LocalDate periodEndDate,
                       AbstractIndex index,
                       Double indexFixingTime,
                       DayCountConvention daycountConvention,
                       boolean isNegativeAccruedInterest)

Create an accrued interest index.

Parameters:

name - The name of the index.

currency - The payment currency.

referenceDate - The model reference date (corresponding to t=0).

periodStartDate - The period start date.

periodEndDate - The period end date.

index - The index.

indexFixingTime - The fixing time \( t_{0} \) of the index.

daycountConvention - The day count convention.

isNegativeAccruedInterest - If true, the class represents the coupon payment minus the accrued interest, i.e., \( I(t_{0}) \cdot \frac{\max(\text{dcf}(T_{start},t),0)}{\text{dcf}(T_{start},T_{end})} \).

Method Detail

getValue

public RandomVariable getValue(double fixingTime,
                               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 AbstractIndex

Parameters:

fixingTime - 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.

queryUnderlyings

public Set<String> queryUnderlyings()

Description copied from class: AbstractProductComponent

Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Specified by:

queryUnderlyings in class AbstractProductComponent

Returns:

A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.