Package net.finmath.smartcontract.valuation.implementation

Class MarginCalculator

java.lang.Object

net.finmath.smartcontract.valuation.implementation.MarginCalculator

public class MarginCalculator
extends Object

Calculation of the settlement using Smart Derivative Contract with an Swap contained in a FPML, using a valuation oracle with historic market data. For details see the corresponding white paper at SSRN.

Author:

Christian Fries, Peter Kohl-Landgraf, Björn Paffen, Stefanie Weddigen, Dietmar Schnabel

Constructor Summary

Constructors

Constructor	Description
MarginCalculator()
MarginCalculator(DoubleUnaryOperator rounding)

Method Summary

Modifier and Type	Method	Description
ValueResult	getValue(String marketData, String productData)
MarginResult	getValue(String marketDataStart, String marketDataEnd, String productData)
ValueResult	getValue(MarketDataList marketData, String productData)
MarginResult	getValue(MarketDataList marketDataStart, MarketDataList marketDataEnd, String productData)
ValueResult	getValueAtEvaluationTime(String marketData, String productData, LocalDateTime evaluationTime)
Map<String,BigDecimal>	getValues(String marketDataStart, String marketDataEnd, String productData)	Calculates the margin between t_2 and t_1.
Map<String,BigDecimal>	getValues(MarketDataList marketDataStart, MarketDataList marketDataEnd, String productData)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MarginCalculator

public MarginCalculator(DoubleUnaryOperator rounding)

MarginCalculator

public MarginCalculator()

Method Details

getValues

public Map<String,BigDecimal> getValues(String marketDataStart,
 String marketDataEnd,
 String productData)
                                 throws Exception

Calculates the margin between t_2 and t_1.

Parameters:

marketDataStart - Curve name at time t_1.

marketDataEnd - Curve name at time t_2.

productData - Trade.

Returns:

the margin (MarginResult).

Throws:

Exception - Exception

getValue

public MarginResult getValue(String marketDataStart,
 String marketDataEnd,
 String productData)
                      throws Exception

Throws:

Exception

getValues

public Map<String,BigDecimal> getValues(MarketDataList marketDataStart,
 MarketDataList marketDataEnd,
 String productData)
                                 throws Exception

Throws:

Exception

getValue

public MarginResult getValue(MarketDataList marketDataStart,
 MarketDataList marketDataEnd,
 String productData)
                      throws Exception

Throws:

Exception

getValue

public ValueResult getValue(String marketData,
 String productData)
                     throws Exception

Throws:

Exception

getValueAtEvaluationTime

public ValueResult getValueAtEvaluationTime(String marketData,
 String productData,
 LocalDateTime evaluationTime)
                                     throws Exception

Throws:

Exception

getValue

public ValueResult getValue(MarketDataList marketData,
 String productData)
                     throws Exception

Throws:

Exception