net.finmath.montecarlo.interestrate.products.indices

Class AnalyticModelForwardCurveIndex

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.AnalyticModelForwardCurveIndex

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class AnalyticModelForwardCurveIndex
extends AbstractIndex

An index which is given by a name referencing a curve of an analytic model.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AnalyticModelForwardCurveIndex(String name, String curveName, double fixingOffset, double paymentOffset) Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Method Summary

Modifier and Type	Method and Description
double	getPeriodStartOffset() Returns the fixingOffet as an act/365 day count.
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.
Set<String>	queryUnderlyings() Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
String	toString()

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

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

AnalyticModelForwardCurveIndex

public AnalyticModelForwardCurveIndex(String name,
                                      String curveName,
                                      double fixingOffset,
                                      double paymentOffset)

Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Parameters:

name - The name of an index. Used to map an index on a curve.

curveName - The name of the curve used to infer the forward of this index.

fixingOffset - An offset added to the fixing to define the period start.

paymentOffset - The payment offset passed to getForward.

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 AbstractIndex

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.

getPeriodStartOffset

public double getPeriodStartOffset()

Returns the fixingOffet as an act/365 day count.

Returns:

the fixingOffet

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.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct