net.finmath.montecarlo.interestrate.products.indices

Class DateIndex

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.DateIndex

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class DateIndex
extends AbstractIndex

An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH. This index is useful in building date based interpolation formulas using other indices.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	DateIndex.DateIndexType

Constructor Summary

Constructors

Constructor and Description
DateIndex(String name, DateIndex.DateIndexType dateIndexType) Construct a date index.
DateIndex(String name, String currency, DateIndex.DateIndexType dateIndexType) Construct a date 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

DateIndex

public DateIndex(String name,
                 String currency,
                 DateIndex.DateIndexType dateIndexType)

Construct a date index.

Parameters:

name - Name of this index.

currency - Currency (if any - in natural situations this index is a scalar).

dateIndexType - The date index type.

DateIndex

public DateIndex(String name,
                 DateIndex.DateIndexType dateIndexType)

Construct a date index.

Parameters:

name - Name of this index.

dateIndexType - The date index type.

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.