net.finmath.montecarlo.interestrate.products

Class Swaption

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.Swaption

All Implemented Interfaces:

ProductInterface

public class Swaption
extends AbstractLIBORMonteCarloProduct

Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationInterface

Constructor Summary

Constructors

Constructor and Description
Swaption(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] swaprates) Create a swaption.
Swaption(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double[] swaprates) Create a swaption.
Swaption(double exerciseDate, TimeDiscretizationInterface swapTenor, double swaprate) Creates a swaption using a TimeDiscretization

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.
double	getValue(ForwardCurveInterface forwardCurve, double swaprateVolatility) This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
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

Swaption

public Swaption(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] periodLengths,
                double[] swaprates)

Create a swaption.

Parameters:

exerciseDate - Vector of exercise dates.

fixingDates - Vector of fixing dates.

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

periodLengths - Vector of period lengths.

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

Swaption

public Swaption(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] swaprates)

Create a swaption.

Parameters:

exerciseDate - Vector of exercise dates.

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).

Swaption

public Swaption(double exerciseDate,
                TimeDiscretizationInterface swapTenor,
                double swaprate)

Creates a swaption using a TimeDiscretization

Parameters:

exerciseDate - Exercise date.

swapTenor - Object specifying period start and end dates.

swaprate - Strike.

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.

getValue

public double getValue(ForwardCurveInterface forwardCurve,
                       double swaprateVolatility)

This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.

Parameters:

forwardCurve - The forward curve on which to value the swap.

swaprateVolatility - The Black volatility.

Returns:

Value of this product

toString

public java.lang.String toString()

Overrides:

toString in class AbstractMonteCarloProduct