Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class FlexiCap

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.FlexiCap

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class FlexiCap
extends AbstractLIBORMonteCarloProduct

This class implements the valuation of a Flexi Cap (aka Auto Cap). If maximumNumberOfExercises = fixingDates.length then this is a Cap. The payoff of the product is L(T_i) - K_i if L(T_i) - K_i > 0 and the number of j < i such that L(T_j) - K_j if L(T_j) - K_j > 0 is less than maximumNumberOfExercises, where T_i is an element of fixingDates.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
FlexiCap(double[] fixingDates, double[] paymentDates, double[] strikes, int maximumNumberOfExercises)	Create a Flexi Cap (aka Auto Cap).

Method Summary

Modifier and Type	Method	Description
double[]	getStrikes()
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.

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Detail

FlexiCap

public FlexiCap(double[] fixingDates,
                double[] paymentDates,
                double[] strikes,
                int maximumNumberOfExercises)

Create a Flexi Cap (aka Auto Cap). If maximumNumberOfExercises = fixingDates.length then this is a Cap.

Parameters:

fixingDates - Vector of fixing dates

paymentDates - Vector of payment dates (must have same length as fixing dates)

strikes - Vector of strikes (must have same length as fixing dates)

maximumNumberOfExercises - Maximum number of exercises.

Method Detail

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.

getStrikes

public double[] getStrikes()

Returns:

Returns the strikes.