Package net.finmath.smartcontract.valuation.oracle

Class ValuationOracleSamplePath

java.lang.Object
net.finmath.smartcontract.valuation.oracle.ValuationOracleSamplePath
All Implemented Interfaces:
ValuationOracle
public class ValuationOracleSamplePath extends Object implements ValuationOracle
A valuation oracle constructed from a simulation providing a stochastic valuation oracle by extracting a given sample path.
Author:
Christian Fries

  • Constructor Details

    • ValuationOracleSamplePath

      public ValuationOracleSamplePath​(StochasticValuationOracle stochasticValuationOracle, int path)
      Create a valuation oracle from a simulation providing a stochastic valuation oracle by extracting a given sample path.
      Parameters:
      stochasticValuationOracle - A given stochastic oracle.
      path - The sample path to extract from the stochastic oracle.

  • Method Details

    • getValue

      public BigDecimal getValue​(LocalDateTime evaluationTime, LocalDateTime marketDataTime)
      Description copied from interface: ValuationOracle
      Provides the value of the Oracle at a given evaluation time using market data from a given time.

      Note: The use of two different dates allows to model the accrual/discounting at a (market data given) accrual rate.

      Specified by:
      getValue in interface ValuationOracle
      Parameters:
      evaluationTime - The evaluation time.
      marketDataTime - The market data time.
      Returns:
      The value.

    • getValues

      public Map<String,​BigDecimal> getValues​(LocalDateTime evaluationTime, LocalDateTime marketDataTime)
      Specified by:
      getValues in interface ValuationOracle

    • getAmount

      public javax.money.MonetaryAmount getAmount​(LocalDateTime evaluationTime, LocalDateTime marketDataTime)
      Description copied from interface: ValuationOracle
      Provides the value of the Oracle at a given evaluation time.

      Note: The use of two different dates allows to model the accrual/discounting at a (market data given) accrual rate.

      Specified by:
      getAmount in interface ValuationOracle
      Parameters:
      evaluationTime - The evaluation time.
      marketDataTime - The market data time.
      Returns:
      The amount.