net.finmath.montecarlo.interestrate.products.components

Class AbstractProductComponent

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

All Implemented Interfaces:

java.io.Serializable, ProductInterface

Direct Known Subclasses:

AbstractIndex, AbstractPeriod, AccrualAccount, Cashflow, Exposure, IndexedValue, Option, Portfolio, ProductCollection

public abstract class AbstractProductComponent
extends AbstractLIBORMonteCarloProduct
implements java.io.Serializable

Base class for product components. Product components are small functions mapping a vector of random variables to a random variable. Components are numeraire adjusted and can be valued on its own.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AbstractProductComponent()
AbstractProductComponent(java.lang.String currency)

Method Summary

Modifier and Type	Method and Description
java.util.Map<java.lang.String,java.lang.Object>	getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
abstract 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.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValue, getValueForModifiedData

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

AbstractProductComponent

public AbstractProductComponent(java.lang.String currency)

AbstractProductComponent

public AbstractProductComponent()

Method Detail

queryUnderlyings

public abstract 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.

Returns:

A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

getValues

public java.util.Map<java.lang.String,java.lang.Object> getValues(double evaluationTime,
                                                                  LIBORModelMonteCarloSimulationInterface model)
                                                           throws CalculationException

Description copied from class: AbstractLIBORMonteCarloProduct

This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. 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.

Overrides:

getValues 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.