net.finmath.marketdata.products

Class Swap

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.Swap

All Implemented Interfaces:

AnalyticProductInterface, ProductInterface

public class Swap
extends AbstractAnalyticProduct
implements AnalyticProductInterface

Implements the valuation of a swap using curves (discount curve, forward curve). The swap valuation supports distinct discounting and forward curve. Support for day counting is limited to the capabilities of TimeDiscretizationInterface. The swap is just the composition of two SwapLegs, namely the receiver leg and the payer leg. The value of the swap is the value of the receiver leg minus the value of the payer leg.

Constructor Summary

Constructors

Constructor and Description
Swap(ScheduleInterface scheduleReceiveLeg, double spreadReceive, java.lang.String discountCurveReceiveName, ScheduleInterface schedulePayLeg, java.lang.String forwardCurvePayName, java.lang.String discountCurvePayName) Creates a swap with notional exchange.
Swap(ScheduleInterface scheduleReceiveLeg, java.lang.String forwardCurveReceiveName, double spreadReceive, java.lang.String discountCurveReceiveName, ScheduleInterface schedulePayLeg, java.lang.String forwardCurvePayName, double spreadPay, java.lang.String discountCurvePayName) Creates a swap with notional exchange.
Swap(ScheduleInterface scheduleReceiveLeg, java.lang.String forwardCurveReceiveName, double spreadReceive, java.lang.String discountCurveReceiveName, ScheduleInterface schedulePayLeg, java.lang.String forwardCurvePayName, double spreadPay, java.lang.String discountCurvePayName, boolean isNotionalExchanged) Creates a swap with notional exchange.

Method Summary

Modifier and Type	Method and Description
static double	getForwardSwapRate(ScheduleInterface fixSchedule, ScheduleInterface floatSchedule, ForwardCurveInterface forwardCurve)
static double	getForwardSwapRate(ScheduleInterface fixSchedule, ScheduleInterface floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModelInterface model)
static double	getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve)
static double	getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve)
SwapLeg	getLegPayer() Return the payer leg of the swap, i.e.
SwapLeg	getLegReceiver() Return the receiver leg of the swap, i.e.
double	getValue(double evaluationTime, AnalyticModelInterface model) Return the valuation of the product using the given model.
java.lang.String	toString()

Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct

getValue, getValue

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.modelling.ProductInterface

getValue

Constructor Detail

Swap

public Swap(ScheduleInterface scheduleReceiveLeg,
            java.lang.String forwardCurveReceiveName,
            double spreadReceive,
            java.lang.String discountCurveReceiveName,
            ScheduleInterface schedulePayLeg,
            java.lang.String forwardCurvePayName,
            double spreadPay,
            java.lang.String discountCurvePayName,
            boolean isNotionalExchanged)

Creates a swap with notional exchange. The swap has a unit notional of 1.

Parameters:

scheduleReceiveLeg - Schedule of the receiver leg.

forwardCurveReceiveName - Name of the forward curve, leave empty if this is a fix leg.

spreadReceive - Fixed spread on the forward or fix rate.

discountCurveReceiveName - Name of the discount curve for the receiver leg.

schedulePayLeg - Schedule of the payer leg.

forwardCurvePayName - Name of the forward curve, leave empty if this is a fix leg.

spreadPay - Fixed spread on the forward or fix rate.

discountCurvePayName - Name of the discount curve for the payer leg.

isNotionalExchanged - If true, both leg will pay notional at the beginning of each swap period and receive notional at the end of the swap period. Note that the cash flow date for the notional is periodStart and periodEnd (not fixingDate and paymentDate).

Swap

public Swap(ScheduleInterface scheduleReceiveLeg,
            java.lang.String forwardCurveReceiveName,
            double spreadReceive,
            java.lang.String discountCurveReceiveName,
            ScheduleInterface schedulePayLeg,
            java.lang.String forwardCurvePayName,
            double spreadPay,
            java.lang.String discountCurvePayName)

Creates a swap with notional exchange. The swap has a unit notional of 1.

Parameters:

scheduleReceiveLeg - Schedule of the receiver leg.

forwardCurveReceiveName - Name of the forward curve, leave empty if this is a fix leg.

spreadReceive - Fixed spread on the forward or fix rate.

discountCurveReceiveName - Name of the discount curve for the receiver leg.

schedulePayLeg - Schedule of the payer leg.

forwardCurvePayName - Name of the forward curve, leave empty if this is a fix leg.

spreadPay - Fixed spread on the forward or fix rate.

discountCurvePayName - Name of the discount curve for the payer leg.

Swap

public Swap(ScheduleInterface scheduleReceiveLeg,
            double spreadReceive,
            java.lang.String discountCurveReceiveName,
            ScheduleInterface schedulePayLeg,
            java.lang.String forwardCurvePayName,
            java.lang.String discountCurvePayName)

Creates a swap with notional exchange. The swap has a unit notional of 1.

Parameters:

scheduleReceiveLeg - Schedule of the receiver leg.

spreadReceive - Fixed spread on the forward or fix rate.

discountCurveReceiveName - Name of the discount curve for the receiver leg.

schedulePayLeg - Schedule of the payer leg.

forwardCurvePayName - Name of the forward curve, leave empty if this is a fix leg.

discountCurvePayName - Name of the discount curve for the payer leg.

Method Detail

getValue

public double getValue(double evaluationTime,
                       AnalyticModelInterface model)

Description copied from interface: AnalyticProductInterface

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

Specified by:

getValue in interface AnalyticProductInterface

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.

getForwardSwapRate

public static double getForwardSwapRate(TimeDiscretizationInterface fixTenor,
                                        TimeDiscretizationInterface floatTenor,
                                        ForwardCurveInterface forwardCurve)

getForwardSwapRate

public static double getForwardSwapRate(TimeDiscretizationInterface fixTenor,
                                        TimeDiscretizationInterface floatTenor,
                                        ForwardCurveInterface forwardCurve,
                                        DiscountCurveInterface discountCurve)

getForwardSwapRate

public static double getForwardSwapRate(ScheduleInterface fixSchedule,
                                        ScheduleInterface floatSchedule,
                                        ForwardCurveInterface forwardCurve)

getForwardSwapRate

public static double getForwardSwapRate(ScheduleInterface fixSchedule,
                                        ScheduleInterface floatSchedule,
                                        ForwardCurveInterface forwardCurve,
                                        AnalyticModelInterface model)

getLegReceiver

public SwapLeg getLegReceiver()

Return the receiver leg of the swap, i.e. the leg who's value is added to the swap value.

Returns:

The receiver leg of the swap.

getLegPayer

public SwapLeg getLegPayer()

Return the payer leg of the swap, i.e. the leg who's value is subtracted from the swap value.

Returns:

The payer leg of the swap.

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object