Module net.finmath.lib

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

Class AccruingNotional

java.lang.Object

net.finmath.montecarlo.interestrate.products.components.AccruingNotional

All Implemented Interfaces:

Notional

public class AccruingNotional
extends Object
implements Notional

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
AccruingNotional(Notional previousPeriodNotional, AbstractPeriod previousPeriod)	Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.

Method Summary

Modifier and Type	Method	Description
String	getCurrency()	Returns the currency string of this notional.
RandomVariable	getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)	Calculates the notional at the end of a period, given a period.
RandomVariable	getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)	Calculates the notional at the start of a period, given a period.

Methods inherited from class java.lang.Object

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

Constructor Detail

AccruingNotional

public AccruingNotional(Notional previousPeriodNotional,
                        AbstractPeriod previousPeriod)

Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.

Parameters:

previousPeriodNotional - The notional of the previous period.

previousPeriod - The previous period.

Method Detail

getCurrency

public String getCurrency()

Description copied from interface: Notional

Returns the currency string of this notional.

Specified by:

getCurrency in interface Notional

Returns:

the currency

getNotionalAtPeriodStart

public RandomVariable getNotionalAtPeriodStart(AbstractPeriod period,
                                               LIBORModelMonteCarloSimulationModel model)
                                        throws CalculationException

Description copied from interface: Notional

Calculates the notional at the start of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).

Specified by:

getNotionalAtPeriodStart in interface Notional

Parameters:

period - Period.

model - The model against we are evaluation.

Returns:

The notional for the given period as of period start.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getNotionalAtPeriodEnd

public RandomVariable getNotionalAtPeriodEnd(AbstractPeriod period,
                                             LIBORModelMonteCarloSimulationModel model)
                                      throws CalculationException

Description copied from interface: Notional

Calculates the notional at the end of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).

Specified by:

getNotionalAtPeriodEnd in interface Notional

Parameters:

period - Period.

model - The model against we are evaluation.

Returns:

The notional for the given period as of period end.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.