net.finmath.montecarlo.interestrate.products

Class SwapLeg

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwapLeg

All Implemented Interfaces:

ProductInterface

public class SwapLeg
extends AbstractLIBORMonteCarloProduct

Constructor Summary

Constructors

Constructor and Description
SwapLeg(ScheduleInterface legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean isNotionalExchanged) Creates a swap leg.

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.

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, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

SwapLeg

public SwapLeg(ScheduleInterface legSchedule,
               AbstractNotional notional,
               AbstractIndex index,
               double spread,
               boolean isNotionalExchanged)

Creates a swap leg. The swap leg is build from elementary components

Parameters:

legSchedule - Schedule of the leg.

notional - The notional.

index - The index.

spread - Fixed spread on the forward or fix rate.

isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

Method Detail

getValue

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

Description copied from class: AbstractLIBORMonteCarloProduct

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.