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

Class NotionalFromComponent

  • All Implemented Interfaces:
    Notional
    public class NotionalFromComponent
extends Object
implements Notional
    A stochastic notional derived from the valuation of a component.
    Since:
    finmath-lib 3.6.0
    Version:
    1.0
    Author:
    Christian Fries

    • Constructor Detail

      • NotionalFromComponent

        public NotionalFromComponent​(AbstractProductComponent notional)
        Creates a notional which is derived by calling the getValue method on the period start of a given component. Note: The class performs a check of the measurability of the notional. If the notional is not \( F_{t} \)-measurable (for t = period start), an exception is thrown.
        Parameters:
        notional - The component providing the notation.

    • 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

      • getNotionalAtPeriodEnd

        public RandomVariable getNotionalAtPeriodEnd​(AbstractPeriod period,
                                             LIBORModelMonteCarloSimulationModel model)
        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.

      • getNotionalAtPeriodStart

        public RandomVariable getNotionalAtPeriodStart​(AbstractPeriod period,
                                               LIBORModelMonteCarloSimulationModel model)
        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.