net.finmath.marketdata.products

Class SwapLeg

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.SwapLeg

All Implemented Interfaces:

AnalyticProductInterface, ProductInterface

public class SwapLeg
extends AbstractAnalyticProduct
implements AnalyticProductInterface

Implements the valuation of a swap leg using curves (discount curve, forward curve). The swap leg valuation supports distinct discounting and forward curves. Support for day counting is limited to the capabilities of TimeDiscretizationInterface.

Constructor Summary

Constructors

Constructor and Description
SwapLeg(ScheduleInterface legSchedule, java.lang.String forwardCurveName, double spread, java.lang.String discountCurveName) Creates a swap leg (without notional exchange).
SwapLeg(ScheduleInterface legSchedule, java.lang.String forwardCurveName, double spread, java.lang.String discountCurveName, boolean isNotionalExchanged) Creates a swap leg.

Method Summary

Modifier and Type	Method and Description
java.lang.String	getDiscountCurveName()
java.lang.String	getForwardCurveName()
ScheduleInterface	getSchedule()
double	getSpread()
double	getValue(double evaluationTime, AnalyticModelInterface model) Return the valuation of the product using the given model.
boolean	isNotionalExchanged()
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

SwapLeg

public SwapLeg(ScheduleInterface legSchedule,
               java.lang.String forwardCurveName,
               double spread,
               java.lang.String discountCurveName,
               boolean isNotionalExchanged)

Creates a swap leg. The swap leg has a unit notional of 1.

Parameters:

legSchedule - Schedule of the leg.

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

spread - Fixed spread on the forward or fix rate.

discountCurveName - Name of the discount curve for the leg.

isNotionalExchanged - If true, the 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).

SwapLeg

public SwapLeg(ScheduleInterface legSchedule,
               java.lang.String forwardCurveName,
               double spread,
               java.lang.String discountCurveName)

Creates a swap leg (without notional exchange). The swap leg has a unit notional of 1.

Parameters:

legSchedule - Schedule of the leg.

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

spread - Fixed spread on the forward or fix rate.

discountCurveName - Name of the discount curve for the 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.

getSchedule

public ScheduleInterface getSchedule()

getForwardCurveName

public java.lang.String getForwardCurveName()

getSpread

public double getSpread()

getDiscountCurveName

public java.lang.String getDiscountCurveName()

isNotionalExchanged

public boolean isNotionalExchanged()

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object