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.
RandomVariable 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 © 2019. All rights reserved.