Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products

Class BermudanSwaption

    • Constructor Detail

      • BermudanSwaption

        public BermudanSwaption​(boolean[] isPeriodStartDateExerciseDate,
                        double[] fixingDates,
                        double[] periodLength,
                        double[] paymentDates,
                        double[] periodNotionals,
                        double[] swaprates,
                        boolean isCallable,
                        RegressionBasisFunctionsProvider regressionBasisFunctionsProvider)
        Parameters:
        isPeriodStartDateExerciseDate - If true, we may exercise at period start
        fixingDates - Vector of fixing dates
        periodLength - Period lengths (must have same length as fixing dates)
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        periodNotionals - Period notionals (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
        isCallable - If true, the product represent the Bermudan right to enter into a swap. If false the product represents the Bermudan right to terminate a running swap.
        regressionBasisFunctionsProvider - Used to determine the regression basis functions for the conditional expectation operator.

      • BermudanSwaption

        public BermudanSwaption​(boolean[] isPeriodStartDateExerciseDate,
                        double[] fixingDates,
                        double[] periodLength,
                        double[] paymentDates,
                        double[] periodNotionals,
                        double[] swaprates,
                        boolean isCallable)
        Parameters:
        isPeriodStartDateExerciseDate - If true, we may exercise at period start
        fixingDates - Vector of fixing dates
        periodLength - Period lengths (must have same length as fixing dates)
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        periodNotionals - Period notionals (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)
        isCallable - If true, the product represent the Bemrudan right to enter into a swap. If false the product represents the Bermudan right to terminate a running swap.

      • BermudanSwaption

        public BermudanSwaption​(boolean[] isPeriodStartDateExerciseDate,
                        double[] fixingDates,
                        double[] periodLength,
                        double[] paymentDates,
                        double[] periodNotionals,
                        double[] swaprates)
        Parameters:
        isPeriodStartDateExerciseDate - If true, we may exercise at period start
        fixingDates - Vector of fixing dates
        periodLength - Period lengths (must have same length as fixing dates)
        paymentDates - Vector of payment dates (must have same length as fixing dates)
        periodNotionals - Period notionals (must have same length as fixing dates)
        swaprates - Vector of strikes (must have same length as fixing dates)

    • Method Detail

      • getValues

        public Map<String,​Object> getValues​(double evaluationTime,
                                          LIBORModelMonteCarloSimulationModel model)
                                   throws CalculationException
        Description copied from interface: TermStructureMonteCarloProduct
        This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. 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:
        getValues in interface TermStructureMonteCarloProduct
        Overrides:
        getValues in class AbstractLIBORMonteCarloProduct
        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.

      • getValue

        public RandomVariable getValue​(double evaluationTime,
                               LIBORModelMonteCarloSimulationModel 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 interface TermStructureMonteCarloProduct
        Specified by:
        getValue in class AbstractLIBORMonteCarloProduct
        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.

      • getConditionalExpectationEstimator

        public ConditionalExpectationEstimator getConditionalExpectationEstimator​(double fixingDate,
                                                                          LIBORModelMonteCarloSimulationModel model)
                                                                   throws CalculationException
        Return the conditional expectation estimator suitable for this product.
        Parameters:
        fixingDate - The condition time.
        model - The model
        Returns:
        The conditional expectation estimator suitable for this product
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

      • getBasisFunctions

        public RandomVariable[] getBasisFunctions​(double fixingDate,
                                          LIBORModelMonteCarloSimulationModel model)
                                   throws CalculationException
        Return the basis functions for the regression suitable for this product.
        Parameters:
        fixingDate - The condition time.
        model - The model
        Returns:
        The basis functions for the regression suitable for this product.
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

      • getExerciseTimes

        public double[] getExerciseTimes()

      • getFixingDates

        public double[] getFixingDates​(double evaluationTime)

      • getPaymentDates

        public double[] getPaymentDates()

      • getPeriodNotionals

        public double[] getPeriodNotionals()

      • getSwapRates

        public double[] getSwapRates()

      • getPeriodLengths

        public double[] getPeriodLengths()

      • getFinalMaturity

        public double getFinalMaturity()

      • getIsCallable

        public boolean getIsCallable()