Module net.finmath.lib

Package net.finmath.marketdata2.products

Class Deposit

java.lang.Object

net.finmath.marketdata2.products.AbstractAnalyticProduct

net.finmath.marketdata2.products.Deposit

All Implemented Interfaces:

AnalyticProduct, Product

public class Deposit
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements the valuation of the (overnight) deposit (maturity t+1 or t+2). May be used in curve calibration. For definition and convention see Ametrano/Bianchetti (2013). Following the notation there,...

• for deposit ON set spot offset = 0, start = 0D, maturity = 1D
• for deposit TN set spot offset = 1, start = 0D, maturity = 1D
• for deposit ST set spot offset = 2, start = 0D, maturity as given.

Date rolling convention: "following" for T < 1M, "modified following, eom" for T ≥ 1 The getValue method returns the value df(T) * (1.0+rate*periodLength) - df(t), where t = schedule.getPeriodStart(0), T = schedule.getPayment(0) and df denotes discountCurve.getDiscountFactor. This corresponds to the valuation of an investment of 1 in t, paid back as (1.0+rate*periodLength) in time T.

Version:

1.0

Author:

Rebecca Declara, Christian Fries

Constructor Summary

Constructors

Constructor	Description
Deposit(Schedule schedule, double rate, String discountCurveName)

Method Summary

Modifier and Type	Method	Description
String	getDiscountCurveName()
double	getFixingTime()
double	getPeriodEndTime()
double	getRate()
RandomVariable	getRate(AnalyticModel model)	Return the deposit rate implied by the given model's curve.
Schedule	getSchedule()
RandomVariable	getValue(double evaluationTime, AnalyticModel model)	Return the valuation of the product using the given model.
String	toString()

Methods inherited from class net.finmath.marketdata2.products.AbstractAnalyticProduct

getValue, getValue

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Constructor Detail

Deposit

public Deposit(Schedule schedule,
               double rate,
               String discountCurveName)

Parameters:

schedule - The schedule of the deposit consisting of one period, providing start, payment and periodLength.

rate - The deposit rate.

discountCurveName - The discount curve name.

Method Detail

getValue

public RandomVariable 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.

getRate

public RandomVariable getRate(AnalyticModel model)

Return the deposit rate implied by the given model's curve.

Parameters:

model - The given model containing the curve of name discountCurveName.

Returns:

The value of the deposit rate implied by the given model's curve.

getSchedule

public Schedule getSchedule()

getDiscountCurveName

public String getDiscountCurveName()

getRate

public double getRate()

getPeriodEndTime

public double getPeriodEndTime()

getFixingTime

public double getFixingTime()

toString

public String toString()

Overrides:

toString in class Object