Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate.products

Class BondWithForeignNumeraire

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct

net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire

All Implemented Interfaces:

Product, MonteCarloProduct

public class BondWithForeignNumeraire
extends HybridAssetMonteCarloProduct

This class implements the valuation of a zero coupon bond.

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
BondWithForeignNumeraire(String account, double maturity)
BondWithForeignNumeraire(LocalDateTime referenceDate, String account, double maturity)

Method Summary

Modifier and Type	Method	Description
double	getMaturity()
RandomVariable	getValue(double evaluationTime, HybridAssetMonteCarloSimulation model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

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

Constructor Detail

BondWithForeignNumeraire

public BondWithForeignNumeraire(LocalDateTime referenceDate,
                                String account,
                                double maturity)

Parameters:

referenceDate - The date corresponding to \( t = 0 \).

account - The account name to be used (determines the numeraire).

maturity - The maturity given as double.

BondWithForeignNumeraire

public BondWithForeignNumeraire(String account,
                                double maturity)

Parameters:

account - The account name to be used (determines the numeraire).

maturity - The maturity given as double.

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               HybridAssetMonteCarloSimulation model)
                        throws CalculationException

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 class HybridAssetMonteCarloProduct

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.

getMaturity

public double getMaturity()

Returns:

Returns the maturity.