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 Summary

Constructors

Constructor	Description
SmartDerivativeContractSettlementOracle(ValuationOracle derivativeValuationOracle)

Method Summary

Modifier and Type	Method	Description
Map<String,BigDecimal>	getMargin(LocalDateTime marginPeriodStart, LocalDateTime marginPeriodEnd)	Get the margin of the contract based on the valuation oracles.

Methods inherited from class java.lang.Object

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

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.