net.finmath.montecarlo.interestrate.products

Class SimpleSwap

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SimpleSwap

All Implemented Interfaces:

ProductInterface

public class SimpleSwap
extends AbstractLIBORMonteCarloProduct

Implements the valuation of a swap under a LIBORModelMonteCarloSimulationInterface

Constructor Summary

Constructors

Constructor and Description
SimpleSwap(double[] fixingDates, double[] paymentDates, double[] swaprates) Create a swap.

Method Summary

Modifier and Type	Method and Description
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.
java.lang.String	toString()

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

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

Methods inherited from class java.lang.Object

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

Constructor Detail

SimpleSwap

public SimpleSwap(double[] fixingDates,
                  double[] paymentDates,
                  double[] swaprates)

Create a swap.

Parameters:

fixingDates - Vector of fixing dates

paymentDates - Vector of payment dates (must have same length as fixing dates)

swaprates - Vector of strikes (must have same length as fixing dates)

Method Detail

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.

toString

public java.lang.String toString()

Overrides:

toString in class AbstractMonteCarloProduct