Package net.finmath.smartcontract.valuation.oracle

Class SmartDerivativeContractSettlementOracle

java.lang.Object
net.finmath.smartcontract.valuation.oracle.SmartDerivativeContractSettlementOracle
public class SmartDerivativeContractSettlementOracle extends Object
The margin agreement of a smart derivative contract. The agreement consists of
  • a valuation oracle, implementing net.finmath.smartcontract.oracle.ValuationOracle

The accrual of the collateral is assumed to e consistent with the valuation, hence, the accrued collateral can be determined from calling getValue(marginPeriodEnd, marginPeriodStart).

Author:
Christian Fries
See Also:
ValuationOracle

  • Constructor Details

    • SmartDerivativeContractSettlementOracle

      public SmartDerivativeContractSettlementOracle​(ValuationOracle derivativeValuationOracle)

  • Method Details

    • getMargin

      public Map<String,​BigDecimal> getMargin​(LocalDateTime marginPeriodStart, LocalDateTime marginPeriodEnd)
      Get the margin of the contract based on the valuation oracles.
      Parameters:
      marginPeriodStart - Period start time of the margin period.
      marginPeriodEnd - Period end time of the margin period.
      Returns:
      The margin.