public class TriggerIndex extends AbstractIndex
executor
Constructor and Description |
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TriggerIndex(AbstractProductComponent trigger,
AbstractProductComponent indexIfTriggerIsPositive,
AbstractProductComponent indexIfTriggerIsNegative)
Creates the function trigger(t) ≥ 0.0 ?
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Modifier and Type | Method and Description |
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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.
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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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String |
toString() |
getName
getValues
getFactorDrift, getValue, getValueForModifiedData
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
public TriggerIndex(AbstractProductComponent trigger, AbstractProductComponent indexIfTriggerIsPositive, AbstractProductComponent indexIfTriggerIsNegative)
trigger
- An index whose value determines which of the following indices is taken.indexIfTriggerIsPositive
- An index representing the result if trigger is non-negative (≥ 0).indexIfTriggerIsNegative
- An index representing the result if trigger is negative (< 0)public RandomVariable getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
TermStructureMonteCarloProduct
getValue
in interface TermStructureMonteCarloProduct
getValue
in class AbstractIndex
evaluationTime
- 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
public String toString()
toString
in class AbstractMonteCarloProduct
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