net.finmath.montecarlo.interestrate.products.indices

Class AbstractIndex

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.indices.AbstractIndex

All Implemented Interfaces:

java.io.Serializable, ProductInterface

Direct Known Subclasses:

AccruedInterest, AnalyticModelForwardCurveIndex, AnalyticModelIndex, CappedFlooredIndex, ConstantMaturitySwaprate, DateIndex, FixedCoupon, FowardCurveIndex, LaggedIndex, LIBORIndex, LinearCombinationIndex, MaxIndex, MinIndex, PerformanceIndex, PowIndex, ProductIndex, TimeDiscreteEndOfMonthIndex, TriggerIndex, UnsupportedIndex

public abstract class AbstractIndex
extends AbstractProductComponent

Base class for indices. Indices are small functions mapping time and a vector of random variables to a random variable, where the time is the fixing time of the index.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AbstractIndex() Initialize an abstract index which does not have a dedicated name or currency, e.g.
AbstractIndex(java.lang.String name) Initialize the name of an index.
AbstractIndex(java.lang.String name, java.lang.String currency) Initialize name and currency of an index.

Method Summary

Modifier and Type	Method and Description
java.lang.String	getName() Returns the name of the index.
abstract RandomVariableInterface	getValue(double fixingTime, 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.components.AbstractProductComponent

getValues, queryUnderlyings

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, 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

AbstractIndex

public AbstractIndex(java.lang.String name,
                     java.lang.String currency)

Initialize name and currency of an index.

Parameters:

name - The name of an index. Used to map an index on a curve.

currency - The natural currency of an index. This more for compatibility purposes, since the information sould be contained in the name.

AbstractIndex

public AbstractIndex(java.lang.String name)

Initialize the name of an index.

Parameters:

name - The name of an index. Used to map an index on a curve.

AbstractIndex

public AbstractIndex()

Initialize an abstract index which does not have a dedicated name or currency, e.g. a function of other indicies.

Method Detail

getValue

public abstract RandomVariableInterface getValue(double fixingTime,
                                                 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:

fixingTime - 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.

getName

public java.lang.String getName()

Returns the name of the index.

Returns:

The name of the index.