Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.indices

Class ConstantMaturitySwaprate

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

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

net.finmath.montecarlo.interestrate.products.indices.AbstractIndex

net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class ConstantMaturitySwaprate
extends AbstractIndex

An idealized (single curve) CMS index with given maturity and given period length.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
ConstantMaturitySwaprate(double[] periodLengths)	Create a CMS index with given period lengths.
ConstantMaturitySwaprate(double maturity, double periodLength)	Create a CMS index with given maturity and given period length.
ConstantMaturitySwaprate(double fixingOffset, double[] periodLengths)	Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(double fixingOffset, double maturity, double periodLength)	Create a CMS index with given fixing offset and given maturity and given period length.
ConstantMaturitySwaprate(String name, String currency, double fixingOffset, double[] periodLengths)	Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(String name, String currency, double fixingOffset, double maturity, double periodLength)	Create a CMS index with given fixing offset and given maturity and given period length.

Method Summary

Modifier and Type	Method	Description
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.
Set<String>	queryUnderlyings()	Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex

getName

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getExecutor, getValues

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

getFactorDrift, getValue, getValueForModifiedData

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

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

ConstantMaturitySwaprate

public ConstantMaturitySwaprate(String name,
                                String currency,
                                double fixingOffset,
                                double[] periodLengths)

Create a CMS index with given fixing offset and given period lengths.

Parameters:

name - The name of the underlying index.

currency - The currency of the underlying index, if any.

fixingOffset - Fixing offset of this index.

periodLengths - Period length of underlying swap, used for the swap annuity calculation.

ConstantMaturitySwaprate

public ConstantMaturitySwaprate(double fixingOffset,
                                double[] periodLengths)

Create a CMS index with given fixing offset and given period lengths.

Parameters:

fixingOffset - Fixing offset of this index.

periodLengths - Period length of underlying swap, used for the swap annuity calculation.

ConstantMaturitySwaprate

public ConstantMaturitySwaprate(double[] periodLengths)

Create a CMS index with given period lengths.

Parameters:

periodLengths - Period length of underlying swap, used for the swap annuity calculation.

ConstantMaturitySwaprate

public ConstantMaturitySwaprate(String name,
                                String currency,
                                double fixingOffset,
                                double maturity,
                                double periodLength)

Create a CMS index with given fixing offset and given maturity and given period length. Note that maturity must be a multiple of the period length.

Parameters:

name - The name of the underlying index.

currency - The currency of the underlying index, if any.

fixingOffset - Fixing offset of this index.

maturity - The maturity.

periodLength - Period length of underlying swap, used for the swap annuity calculation.

ConstantMaturitySwaprate

public ConstantMaturitySwaprate(double fixingOffset,
                                double maturity,
                                double periodLength)

Create a CMS index with given fixing offset and given maturity and given period length. Note that maturity must be a multiple of the period length.

Parameters:

fixingOffset - Fixing offset of this index.

maturity - The maturity.

periodLength - Period length of underlying swap, used for the swap annuity calculation.

ConstantMaturitySwaprate

public ConstantMaturitySwaprate(double maturity,
                                double periodLength)

Create a CMS index with given maturity and given period length. Note that maturity must be a multiple of the period length.

Parameters:

maturity - Maturity of the swap rate.

periodLength - Period length of the fixed size (determines the swap annuity used)

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               LIBORModelMonteCarloSimulationModel model)
                        throws CalculationException

Description copied from interface: TermStructureMonteCarloProduct

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 AbstractIndex

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.

queryUnderlyings

public Set<String> queryUnderlyings()

Description copied from class: AbstractProductComponent

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

Specified by:

queryUnderlyings in class AbstractProductComponent

Returns:

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

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct