net.finmath.montecarlo.interestrate.products

Class Portfolio

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.Portfolio

All Implemented Interfaces:

java.io.Serializable, ProductInterface

public class Portfolio
extends AbstractProductComponent

Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel. The products can be scaled by weights. The value of the portfolio is that of \( \sum_{i=0}^{n} weights\[i\] \cdot products\[i\] \text{.} \) Note: Currently the products have to be of the same currency.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
Portfolio(AbstractLIBORMonteCarloProduct[] products, double[] weights) Creates a portfolio consisting of a set of products and a weights.
Portfolio(AbstractLIBORMonteCarloProduct product, double weight) Creates a portfolio consisting of a single product and a weight.
Portfolio(java.lang.String currency, AbstractLIBORMonteCarloProduct[] products, double[] weights) Creates a portfolio consisting of a set of products and a weights.

Method Summary

Modifier and Type	Method and Description
java.lang.String	getCurrency() Returns the currency string of this notional.
AbstractLIBORMonteCarloProduct[]	getProducts()
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.
double[]	getWeights()
java.util.Set<java.lang.String>	queryUnderlyings() Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getValues

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

Portfolio

public Portfolio(AbstractLIBORMonteCarloProduct product,
                 double weight)

Creates a portfolio consisting of a single product and a weight. The currency of this portfolio is the currency of the product.

Parameters:

product - A product.

weight - A weight.

Portfolio

public Portfolio(AbstractLIBORMonteCarloProduct[] products,
                 double[] weights)

Creates a portfolio consisting of a set of products and a weights. Note: Currently the products have to be of the same currency.

Parameters:

products - An array of products.

weights - An array of weights (having the same lengths as the array of products).

Portfolio

public Portfolio(java.lang.String currency,
                 AbstractLIBORMonteCarloProduct[] products,
                 double[] weights)

Creates a portfolio consisting of a set of products and a weights. Note: Currently the products have to be of the same currency, namely the one provided.

Parameters:

currency - The currency of the value of this portfolio when calling getValue.

products - An array of products.

weights - An array of weights (having the same lengths as the array of products).

Method Detail

getCurrency

public java.lang.String getCurrency()

Description copied from class: AbstractMonteCarloProduct

Returns the currency string of this notional.

Overrides:

getCurrency in class AbstractMonteCarloProduct

Returns:

the currency

queryUnderlyings

public java.util.Set<java.lang.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.

getValue

public 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.

Specified by:

getValue in class AbstractLIBORMonteCarloProduct

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.

getProducts

public AbstractLIBORMonteCarloProduct[] getProducts()

Returns:

the products

getWeights

public double[] getWeights()

Returns:

the weights