Module net.finmath.lib

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

Class LIBORIndex

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.LIBORIndex

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class LIBORIndex
extends AbstractIndex

A (floating) forward rate index for a given period start offset (offset from fixing) and period length.

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
LIBORIndex(double periodStartOffset, double periodLength)	Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(String name, double periodStartOffset, double periodLength)	Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(String name, String currency, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention)

Method Summary

Modifier and Type	Method	Description
double	getPeriodLength()	Returns the tenor encoded as an pseudo act/365 daycount fraction.
double	getPeriodLength(LIBORModelMonteCarloSimulationModel model, double fixingTime)
double	getPeriodStartOffset()	Returns the periodStartOffset as an act/365 daycount.
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

LIBORIndex

public LIBORIndex(String name,
                  String currency,
                  String paymentOffsetCode,
                  BusinessdayCalendar paymentBusinessdayCalendar,
                  BusinessdayCalendar.DateRollConvention paymentDateRollConvention)

LIBORIndex

public LIBORIndex(String name,
                  double periodStartOffset,
                  double periodLength)

Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Parameters:

name - The name of an index. Used to map an index on a curve.

periodStartOffset - An offset added to the fixing to define the period start.

periodLength - The period length

LIBORIndex

public LIBORIndex(double periodStartOffset,
                  double periodLength)

Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Parameters:

periodStartOffset - An offset added to the fixing to define the period start.

periodLength - The period length

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.

getPeriodStartOffset

public double getPeriodStartOffset()

Returns the periodStartOffset as an act/365 daycount.

Returns:

the periodStartOffset

getPeriodLength

public double getPeriodLength(LIBORModelMonteCarloSimulationModel model,
                              double fixingTime)

getPeriodLength

public double getPeriodLength()

Returns the tenor encoded as an pseudo act/365 daycount fraction.

Returns:

the periodLength The tenor as an act/365 daycount fraction.

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