net.finmath.montecarlo.interestrate.products

Class AbstractLIBORMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

All Implemented Interfaces:

ProductInterface

Direct Known Subclasses:

AbstractProductComponent, BermudanSwaption, Bond, Caplet, CMSOption, DigitalCaplet, FlexiCap, ForwardRateVolatilitySurfaceCurvature, MoneyMarketAccount, SimpleSwap, Swap, SwapLeg, Swaption, SwaptionAnalyticApproximation, SwaptionAnalyticApproximationRebonato, SwaptionSimple, SwaptionSingleCurveAnalyticApproximation

public abstract class AbstractLIBORMonteCarloProduct
extends AbstractMonteCarloProduct

Base calls for product that need an AbstractLIBORMarketModel as base class

Constructor Summary

Constructors

Constructor and Description
AbstractLIBORMonteCarloProduct()
AbstractLIBORMonteCarloProduct(java.lang.String currency)

Method Summary

Modifier and Type	Method and Description
FactorDriftInterface	getFactorDrift(LIBORModelMonteCarloSimulationInterface referenceScheme, LIBORModelMonteCarloSimulationInterface targetScheme) Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
abstract RandomVariableInterface	getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	getValue(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	getValueForModifiedData(double evaluationTime, MonteCarloSimulationInterface monteCarloSimulationInterface, java.util.Map<java.lang.String,java.lang.Object> dataModified)
java.util.Map<java.lang.String,java.lang.Object>	getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractLIBORMonteCarloProduct

public AbstractLIBORMonteCarloProduct(java.lang.String currency)

Parameters:

currency - The currency of this product (may be null for "any currency").

AbstractLIBORMonteCarloProduct

public AbstractLIBORMonteCarloProduct()

Method Detail

getValue

public abstract RandomVariableInterface getValue(double evaluationTime,
                                                 LIBORModelMonteCarloSimulationInterface model)
                                          throws CalculationException

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.

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.

getValueForModifiedData

public RandomVariableInterface getValueForModifiedData(double evaluationTime,
                                                       MonteCarloSimulationInterface monteCarloSimulationInterface,
                                                       java.util.Map<java.lang.String,java.lang.Object> dataModified)
                                                throws CalculationException

Throws:

CalculationException

getValues

public java.util.Map<java.lang.String,java.lang.Object> getValues(double evaluationTime,
                                                                  LIBORModelMonteCarloSimulationInterface model)
                                                           throws CalculationException

This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. 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.

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.

getValue

public RandomVariableInterface getValue(double evaluationTime,
                                        MonteCarloSimulationInterface model)
                                 throws CalculationException

Description copied from class: AbstractMonteCarloProduct

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. 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. More generally: The value random variable is a random variable V^*(t) such that the time-t conditional expectation of V^*(t) is equal to the value of the financial product in time t. An example for V^*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in class AbstractMonteCarloProduct

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.

getFactorDrift

public FactorDriftInterface getFactorDrift(LIBORModelMonteCarloSimulationInterface referenceScheme,
                                           LIBORModelMonteCarloSimulationInterface targetScheme)

Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.

Parameters:

referenceScheme - The reference scheme

targetScheme - The target scheme

Returns:

The FactorDriftInterface