finMath lib documentation
All Implemented Interfaces:
Implements the valuation of a forward using curves (discount curve, forward curve).
The forward value is simply the product of a discount factor and a forward.
This is similar to a FRA (a forward rate), except that there is no scaling with a period length.
The class can be used to define equity forwards. Here the discount curve can be interpreted
as a repo curve.
Author: Christian Fries
Constructor and Description
Forward String forwardCurveName,
Creates a forward.
Methods inherited from class java.lang.
Object clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
public Forward(double maturity,
Creates a forward. The forward has a unit notional of 1.
maturity - Maturity, i.e., fixing on the forward curve.
paymentOffset - Payment offset, i.e. payment is maturity + paymentOffset.
forwardCurveName - Name of the forward curve, leave empty if this is a fix payment.
spread - Additional fixed payment (if any).
discountCurveName - Name of the discount curve for the forward.
public double getValue(double evaluationTime,
Return the valuation of the product using the given model.
The model has to implement the modes of
evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
model - The model under which the product is valued.
Returns: The value of the product using the given model.
Copyright © 2018 Christian P. Fries.
Copyright © 2018. All rights reserved.