finMath lib documentation
net.finmath.montecarlo.interestrate.products

## Class Caplet

• ### Constructor Detail

• #### Caplet

public Caplet(double maturity,
double periodLength,
double strike,
double daycountFraction,
boolean isFloorlet,
Caplet.ValueUnit valueUnit)
Create a caplet or a floorlet. A caplet pays $$max(L-K,0) * daycountFraction$$ at maturity+periodLength where L is fixed at maturity. A floorlet pays $$-min(L-K,0) * daycountFraction$$ at maturity+periodLength where L is fixed at maturity.
Parameters:
maturity - The fixing date given as double. The payment is at the period end.
periodLength - The length of the forward rate period.
strike - The strike given as double.
daycountFraction - The daycount fraction used in the payout function.
isFloorlet - If true, this object will represent a floorlet, otherwise a caplet.
valueUnit - The unit of the value returned by the getValue method.
• #### Caplet

public Caplet(double maturity,
double periodLength,
double strike,
boolean isFloorlet)
Create a caplet or a floorlet. A caplet pays $$max(L-K,0) * daycountFraction$$ at maturity+periodLength where L is fixed at maturity. A floorlet pays $$-min(L-K,0) * daycountFraction$$ at maturity+periodLength where L is fixed at maturity. This simplified constructor uses daycountFraction = periodLength.
Parameters:
maturity - The fixing date given as double. The payment is at the period end.
periodLength - The length of the forward rate period in ACT/365 convention.
strike - The strike given as double.
isFloorlet - If true, this object will represent a floorlet, otherwise a caplet.
• #### Caplet

public Caplet(double maturity,
double periodLength,
double strike)
Create a caplet. A caplet pays $$max(L-K,0) * periodLength$$ at maturity+periodLength where L is fixed at maturity.
Parameters:
maturity - The fixing date given as double. The payment is at the period end.
periodLength - The length of the forward rate period.
strike - The strike given as double.
• ### Method Detail

• #### getValue

public RandomVariableInterface getValue(double evaluationTime,
LIBORModelMonteCarloSimulationInterface model)
throws CalculationException
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 AbstractLIBORMonteCarloProduct
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.