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

## Class AccruedInterest

• All Implemented Interfaces:
Serializable, ProductInterface

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
Author:
Christian Fries
Serialized Form
• ### Constructor Detail

• #### AccruedInterest

public AccruedInterest(String name,
String currency,
java.time.LocalDate referenceDate,
java.time.LocalDate periodStartDate,
java.time.LocalDate periodEndDate,
AbstractIndex index,
Double indexFixingTime,
DayCountConventionInterface 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 RandomVariableInterface getValue(double fixingTime,
LIBORModelMonteCarloSimulationInterface model)
throws CalculationException
Description copied from class: AbstractLIBORMonteCarloProduct
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 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.