public class DateIndex extends AbstractIndex
Modifier and Type | Class and Description |
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static class |
DateIndex.DateIndexType |
executor
Constructor and Description |
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DateIndex(String name,
DateIndex.DateIndexType dateIndexType)
Construct a date index.
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DateIndex(String name,
String currency,
DateIndex.DateIndexType dateIndexType)
Construct a date index.
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Modifier and Type | Method and Description |
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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.
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Set<String> |
queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
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getName
getValues
getFactorDrift, getValue, getValueForModifiedData
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
public DateIndex(String name, String currency, DateIndex.DateIndexType dateIndexType)
name
- Name of this index.currency
- Currency (if any - in natural situations this index is a scalar).dateIndexType
- The date index type.public DateIndex(String name, DateIndex.DateIndexType dateIndexType)
name
- Name of this index.dateIndexType
- The date index type.public RandomVariable getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
TermStructureMonteCarloProduct
getValue
in interface TermStructureMonteCarloProduct
getValue
in class AbstractIndex
fixingTime
- The time on which this products value should be observed.model
- The model used to price the product.CalculationException
- Thrown if the valuation fails, specific cause may be available via the cause()
method.public Set<String> queryUnderlyings()
AbstractProductComponent
queryUnderlyings
in class AbstractProductComponent
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