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

## Class NumerairePerformanceIndex

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

public class NumerairePerformanceIndex
extends AbstractIndex
A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length. The index is given give $$F = \frac{1}{dc(t-s)} ( N(t)/N(s) - 1 )$$. where $$s$$ denotes the period start and $$t$$ denotes the period end and dc is a given daycount convention.
Version:
1.1
Author:
Christian Fries
Serialized Form
• ### Constructor Summary

Constructors
Constructor and Description
NumerairePerformanceIndex(String name, String currency, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, DayCountConvention daycountConvention)
• ### Method Summary

All Methods
Modifier and Type Method and Description
RandomVariable getValue(double evaluationTime, 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.
String toString()
• ### 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
• ### 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

• #### NumerairePerformanceIndex

public NumerairePerformanceIndex(String name,
String currency,
String paymentOffsetCode,
DayCountConvention daycountConvention)
• ### Method Detail

• #### getValue

public RandomVariable getValue(double evaluationTime,
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:
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.
• #### 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.
• #### toString

public String toString()
Overrides:
toString in class AbstractMonteCarloProduct