Module net.finmath.lib

Package net.finmath.marketdata.products

Class Portfolio

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.Portfolio

All Implemented Interfaces:

AnalyticProduct, Product

public class Portfolio
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements the valuation of a portfolio of products implementing AnalyticProductInterface.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
Portfolio(List<AnalyticProduct> products)	Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(List<AnalyticProduct> products, List<Double> weights)	Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(AnalyticProduct product, double weight)	Create a portfolio consisting of a single product with a given weight.
Portfolio(Portfolio portfolio, List<AnalyticProduct> products, List<Double> weights)	Create a portfolio of products implementing AnalyticProductInterface.

Method Summary

Modifier and Type	Method	Description
List<AnalyticProduct>	getProducts()	Returns the list of products as an unmodifiable list.
double	getValue(double evaluationTime, AnalyticModel model)	Return the valuation of the product using the given model.
List<Double>	getWeights()	Returns the list of weights as an unmodifiable list.

Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct

getValue, getValue

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Constructor Detail

Portfolio

public Portfolio(List<AnalyticProduct> products,
                 List<Double> weights)

Create a portfolio of products implementing AnalyticProductInterface. The portfolio consists of an array of products and a corresponding array of weights. The value of the portfolio is given by the sum over weights[i] * products.get(i).getValue(evaluationTime, model) Note that a product in the array of products may itself be a Portfolio (hence you may easily combine portfolios).

Parameters:

products - Array of products implementing AnalyticProductInterface.

weights - Array of weights used in the valuation as a multiplicator.

Portfolio

public Portfolio(Portfolio portfolio,
                 List<AnalyticProduct> products,
                 List<Double> weights)

Create a portfolio of products implementing AnalyticProductInterface. The portfolio consists of an array of products and a corresponding array of weights. The value of the portfolio is given by the sum over weights[i] * products.get(i).getValue(evaluationTime, model) The portfolio is created by taking all products and weights of a given portfolio and adding other given products and weights.

Parameters:

portfolio - A given portfolio, which will become part of this portfolio.

products - Array of products implementing AnalyticProductInterface.

weights - Array of weights used in the valuation as a multiplicator.

Portfolio

public Portfolio(AnalyticProduct product,
                 double weight)

Create a portfolio consisting of a single product with a given weight.

Parameters:

product - A product, implementing implementing AnalyticProductInterface.

weight - A weight used in the valuation as a multiplicator.

Portfolio

public Portfolio(List<AnalyticProduct> products)

Create a portfolio of products implementing AnalyticProductInterface. The value of the portfolio is given by the sum over products.get(i).getValue(evaluationTime, model) Note that a product in the array of products may itself be a Portfolio (hence you may easily combine portfolios).

Parameters:

products - Array of products implementing AnalyticProductInterface.

Method Detail

getValue

public double getValue(double evaluationTime,
                       AnalyticModel model)

Description copied from interface: AnalyticProduct

Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.

Specified by:

getValue in interface AnalyticProduct

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

The value of the product using the given model.

getProducts

public List<AnalyticProduct> getProducts()

Returns the list of products as an unmodifiable list. Calling add on this list will result in an UnsupportedOperationException.

Returns:

The list of products as an unmodifiable list.

getWeights

public List<Double> getWeights()

Returns the list of weights as an unmodifiable list. Calling add on this list will result in an UnsupportedOperationException.

Returns:

The list of weights as an unmodifiable list.