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 Summary

Constructors

Constructor	Description
ValuationOracleSamplePath(StochasticValuationOracle stochasticValuationOracle, int path)	Create a valuation oracle from a simulation providing a stochastic valuation oracle by extracting a given sample path.

Method Summary

Modifier and Type	Method	Description
javax.money.MonetaryAmount	getAmount(LocalDateTime evaluationTime, LocalDateTime marketDataTime)	Provides the value of the Oracle at a given evaluation time.
BigDecimal	getValue(LocalDateTime evaluationTime, LocalDateTime marketDataTime)	Provides the value of the Oracle at a given evaluation time using market data from a given time.
Map<String,BigDecimal>	getValues(LocalDateTime evaluationTime, LocalDateTime marketDataTime)

Methods inherited from class java.lang.Object

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

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.