public class Forward extends AbstractAnalyticProduct implements AnalyticProduct
Constructor and Description |
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Forward(double maturity,
double paymentOffset,
String forwardCurveName,
double spread,
String discountCurveName)
Creates a forward.
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Modifier and Type | Method and Description |
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RandomVariable |
getValue(double evaluationTime,
AnalyticModel model)
Return the valuation of the product using the given model.
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getValue, getValue
public Forward(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName)
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 RandomVariable getValue(double evaluationTime, AnalyticModel model)
AnalyticProduct
AnalyticModel
.getValue
in interface AnalyticProduct
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.Copyright © 2019. All rights reserved.