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

## Class AccruedInterest

• All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class AccruedInterest
extends AbstractIndex
An accrued interest index. For a given index I this class's getValue function calculates the value $$I(t_{0}) \cdot \frac{\max(\text{dcf}(t,T_{end}),0)}{\text{dcf}(T_{start},T_{end})}$$ \text{,} where $$\text{dcf}$$ is the given day count convention and T_{start} and T_{end} are the period start and period end date respectively and $$t$$ is the fixing date. The fixingDate is provided as an argument to the getValue method in terms of a ACT/365 day count fraction from the given reference date. Note that the value returned is not numeraire adjusted, i.e., not discounted. Note that the index is fixed in $$t$$. For
Version:
1.0
Author:
Christian Fries
Serialized Form
• ### Constructor Summary

Constructors
Constructor and Description
AccruedInterest(String name, String currency, LocalDate referenceDate, LocalDate periodStartDate, LocalDate periodEndDate, AbstractIndex index, Double indexFixingTime, DayCountConvention daycountConvention, boolean isNegativeAccruedInterest)
Create an accrued interest index.
• ### Method Summary

All Methods
Modifier and Type Method and Description
RandomVariable getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Set<String> queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
• ### Methods inherited from class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex

getName
• ### Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getExecutor, getValues
• ### Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData
• ### Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
• ### Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
• ### Constructor Detail

• #### AccruedInterest

public AccruedInterest(String name,
String currency,
LocalDate referenceDate,
LocalDate periodStartDate,
LocalDate periodEndDate,
AbstractIndex index,
Double indexFixingTime,
DayCountConvention daycountConvention,
boolean isNegativeAccruedInterest)
Create an accrued interest index.
Parameters:
name - The name of the index.
currency - The payment currency.
referenceDate - The model reference date (corresponding to t=0).
periodStartDate - The period start date.
periodEndDate - The period end date.
index - The index.
indexFixingTime - The fixing time $$t_{0}$$ of the index.
daycountConvention - The day count convention.
isNegativeAccruedInterest - If true, the class represents the coupon payment minus the accrued interest, i.e., $$I(t_{0}) \cdot \frac{\max(\text{dcf}(T_{start},t),0)}{\text{dcf}(T_{start},T_{end})}$$.
• ### Method Detail

• #### getValue

public RandomVariable getValue(double fixingTime,
LIBORModelMonteCarloSimulationModel model)
throws CalculationException
Description copied from interface: TermStructureMonteCarloProduct
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 interface TermStructureMonteCarloProduct
Specified by:
getValue in class AbstractIndex
Parameters:
fixingTime - 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.
• #### queryUnderlyings

public Set<String> queryUnderlyings()
Description copied from class: AbstractProductComponent
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
Specified by:
queryUnderlyings in class AbstractProductComponent
Returns:
A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.