net.finmath.montecarlo.interestrate.products.indices

Class LinearCombinationIndex

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.LinearCombinationIndex

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class LinearCombinationIndex
extends AbstractIndex

A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
LinearCombinationIndex(double scaling1, AbstractProductComponent index1, double scaling2, AbstractProductComponent index2) Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)

Method Summary

Modifier and Type	Method and Description
AbstractProductComponent	getIndex1() Returns the index 1.
AbstractProductComponent	getIndex2() Returns the index 2.
double	getScaling1() Returns the scaling 1.
double	getScaling2() Returns the scaling 2.
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

LinearCombinationIndex

public LinearCombinationIndex(double scaling1,
                              AbstractProductComponent index1,
                              double scaling2,
                              AbstractProductComponent index2)

Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)

Parameters:

scaling1 - Scaling for first index.

index1 - First index.

scaling2 - Scaling for second index.

index2 - Second index.

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.

getIndex1

public AbstractProductComponent getIndex1()

Returns the index 1.

Returns:

the index 1.

getIndex2

public AbstractProductComponent getIndex2()

Returns the index 2.

Returns:

the index 2

getScaling1

public double getScaling1()

Returns the scaling 1.

Returns:

the scaling 1

getScaling2

public double getScaling2()

Returns the scaling 2.

Returns:

the scaling 2

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