Module net.finmath.lib

Package net.finmath.singleswaprate.products

Interface AnalyticVolatilityCubeProduct

All Superinterfaces:

AnalyticProduct, Product

All Known Implementing Classes:

AbstractAnalyticVolatilityCubeProduct, AbstractSingleSwapRateProduct, AnnuityDummyProduct, CashSettledPayerSwaption, CashSettledReceiverSwaption, ConstantMaturitySwap, NormalizingDummyProduct

public interface AnalyticVolatilityCubeProduct
extends AnalyticProduct

The interface of a product to be evaluated using a VolatilityCubeModel.

Author:

Christian Fries, Roland Bachl

Method Summary

Modifier and Type	Method	Description
double	getValue(double evaluationTime, VolatilityCubeModel model)	Return the valuation of the product using the given model.

Methods inherited from interface net.finmath.marketdata.products.AnalyticProduct

getValue

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Method Detail

getValue

double getValue(double evaluationTime,
                VolatilityCubeModel model)

Return the valuation of the product using the given model. The model has to implement the modes of VolatilityCubeModel.

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

The value of the product using the given model.