net.finmath.montecarlo.interestrate.products.indices

Class LIBORIndex

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

net.finmath.montecarlo.interestrate.products.indices.LIBORIndex

All Implemented Interfaces:

java.io.Serializable, ProductInterface

public class LIBORIndex
extends AbstractIndex

A forward rate index for a given period start offset (offset from fixing) and period length.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
LIBORIndex(double periodStartOffset, double periodLength) Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(java.lang.String name, double periodStartOffset, double periodLength) Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Method Summary

Modifier and Type	Method and Description
double	getPeriodLength() Returns the tenor encoded as an pseudo act/365 daycount fraction.
double	getPeriodStartOffset() Returns the periodStartOffset as an act/365 daycount.
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.indices.AbstractIndex

getName

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

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

LIBORIndex

public LIBORIndex(java.lang.String name,
                  double periodStartOffset,
                  double periodLength)

Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Parameters:

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

periodStartOffset - An offset added to the fixing to define the period start.

periodLength - The period length

LIBORIndex

public LIBORIndex(double periodStartOffset,
                  double periodLength)

Creates a forward rate index for a given period start offset (offset from fixing) and period length.

Parameters:

periodStartOffset - An offset added to the fixing to define the period start.

periodLength - The period length

Method Detail

getValue

public 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 AbstractIndex

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.

getPeriodStartOffset

public double getPeriodStartOffset()

Returns the periodStartOffset as an act/365 daycount.

Returns:

the periodStartOffset

getPeriodLength

public double getPeriodLength()

Returns the tenor encoded as an pseudo act/365 daycount fraction.

Returns:

the periodLength The tenor as an act/365 daycount fraction.

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