net.finmath.montecarlo.interestrate.products.components

Class Exposure

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.Exposure

All Implemented Interfaces:

java.io.Serializable, ProductInterface

public class Exposure
extends AbstractProductComponent

Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluton time. The conditional expectation is estimated using a regression.

See Also:

AbstractLIBORMonteCarloProduct, Serialized Form

Constructor Summary

Constructors

Constructor and Description
Exposure(AbstractLIBORMonteCarloProduct underlying) Creates the function underlying(evaluationTime) ≥ strikeProduct ? underlying : strikeProduct
Exposure(double evaluationTime, double strikePrice, boolean isCall, AbstractLIBORMonteCarloProduct underlying) Creates the function underlying(evaluationTime) ≥ strikePrice ? underlying : strikePrice

Method Summary

Modifier and Type	Method and Description
java.lang.String	getCurrency() Returns the currency string of this notional.
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.

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, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

Exposure

public Exposure(double evaluationTime,
                double strikePrice,
                boolean isCall,
                AbstractLIBORMonteCarloProduct underlying)

Creates the function underlying(evaluationTime) ≥ strikePrice ? underlying : strikePrice

Parameters:

evaluationTime - The exercise date of the option (given as a double).

strikePrice - The strike price.

isCall - If true, the function implements is underlying(evaluationTime) ≥ strikePrice ? underlying : strikePrice. Otherwise it is underlying(evaluationTime) < strikePrice ? underlying : strikePrice.

underlying - The underlying.

Exposure

public Exposure(AbstractLIBORMonteCarloProduct underlying)

Creates the function underlying(evaluationTime) ≥ strikeProduct ? underlying : strikeProduct

Parameters:

underlying - The underlying.

Method Detail

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

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.

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.