net.finmath.marketdata2.products

Class Forward

java.lang.Object

net.finmath.marketdata2.products.AbstractAnalyticProduct

net.finmath.marketdata2.products.Forward

All Implemented Interfaces:

AnalyticProduct, Product

public class Forward
extends AbstractAnalyticProduct
implements AnalyticProduct

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.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
Forward(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName) Creates a forward.

Method Summary

Modifier and Type	Method and Description
RandomVariable	getValue(double evaluationTime, AnalyticModel model) Return the valuation of the product using the given model.

Methods inherited from class net.finmath.marketdata2.products.AbstractAnalyticProduct

getValue, getValue

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Constructor Detail

Forward

public Forward(double maturity,
               double paymentOffset,
               String forwardCurveName,
               double spread,
               String discountCurveName)

Creates a forward. The forward has a unit notional of 1.

Parameters:

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.

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               AnalyticModel model)

Description copied from interface: AnalyticProduct

Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.

Specified by:

getValue in interface AnalyticProduct

Parameters:

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.