net.finmath.montecarlo.interestrate.products.components

Class AbstractPeriod

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.components.AbstractPeriod

All Implemented Interfaces:

java.io.Serializable, ProductInterface

Direct Known Subclasses:

Period

public abstract class AbstractPeriod
extends AbstractProductComponent

Base class for a period. A period has references to the index (coupon) and the notional. It provides the fixing date for the index, the period length, and the payment date.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, AbstractNotional notional, AbstractProductComponent index) Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.
AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, AbstractNotional notional, AbstractProductComponent index, double daycountFraction) Initialize basic properties of the period.

Method Summary

Modifier and Type	Method and Description
abstract RandomVariableInterface	getCoupon(LIBORModelMonteCarloSimulationInterface model)
java.lang.String	getCurrency() Returns the currency string of this notional.
double	getDaycountFraction()
double	getFixingDate()
AbstractProductComponent	getIndex()
AbstractNotional	getNotional()
double	getPaymentDate()
double	getPeriodEnd()
double	getPeriodStart()
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.
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.
java.lang.String	toString()

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

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractPeriod

public AbstractPeriod(double periodStart,
                      double periodEnd,
                      double fixingDate,
                      double paymentDate,
                      AbstractNotional notional,
                      AbstractProductComponent index,
                      double daycountFraction)

Initialize basic properties of the period.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (used for coupon calculation) associated with this period.

daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).

AbstractPeriod

public AbstractPeriod(double periodStart,
                      double periodEnd,
                      double fixingDate,
                      double paymentDate,
                      AbstractNotional notional,
                      AbstractProductComponent index)

Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (coupon) associated with this period.

Method Detail

getValue

public abstract 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.

getCoupon

public abstract RandomVariableInterface getCoupon(LIBORModelMonteCarloSimulationInterface model)
                                           throws CalculationException

Throws:

CalculationException

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

getPeriodStart

public double getPeriodStart()

Returns:

the period start

getPeriodEnd

public double getPeriodEnd()

Returns:

the period end

getFixingDate

public double getFixingDate()

Returns:

the fixing date

getPaymentDate

public double getPaymentDate()

Returns:

the payment date

getNotional

public AbstractNotional getNotional()

Returns:

the notional associated with this period.

getIndex

public AbstractProductComponent getIndex()

Returns:

the index associated with this period.

getDaycountFraction

public double getDaycountFraction()

Returns:

the daycount fraction used in this period.

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.

toString

public java.lang.String toString()

Overrides:

toString in class AbstractMonteCarloProduct