Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.components

Class AbstractProductComponent

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

Direct Known Subclasses:

AbstractIndex, AbstractPeriod, AccrualAccount, Cashflow, Choice, ExpectedTailLoss, ExposureEstimator, FundingCapacity, IndexedValue, Numeraire, Option, Portfolio, ProductCollection, Selector

public abstract class AbstractProductComponent
extends AbstractLIBORMonteCarloProduct
implements Serializable

Base class for product components. Product components are small functions mapping a vector of random variables to a random variable. Components are numeraire adjusted and can be valued on its own.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
AbstractProductComponent()
AbstractProductComponent(String currency)

Method Summary

Modifier and Type	Method	Description
protected static ThreadPoolExecutor	getExecutor()
Map<String,Object>	getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
abstract Set<String>	queryUnderlyings()	Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

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

getFactorDrift, getValue, getValue, getValueForModifiedData

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

AbstractProductComponent

public AbstractProductComponent(String currency)

AbstractProductComponent

public AbstractProductComponent()

Method Detail

queryUnderlyings

public abstract Set<String> queryUnderlyings()

Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Returns:

A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

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.

getExecutor

protected static ThreadPoolExecutor getExecutor()