Package net.finmath.smartcontract.valuation.oracle.interestrates

Class ValuationOraclePlainSwap

java.lang.Object

net.finmath.smartcontract.valuation.oracle.interestrates.ValuationOraclePlainSwap

All Implemented Interfaces:

ValuationOracle

public class ValuationOraclePlainSwap
extends Object
implements ValuationOracle

An oracle for swap valuation which generates values using externally provided historical market data scenarios.

Author:

Peter Kohl-Landgraf, Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ValuationOraclePlainSwap.ValuationTypeSwap

Constructor Summary

Constructors

Constructor	Description
ValuationOraclePlainSwap(Map<String,net.finmath.marketdata.products.AnalyticProduct> products, List<CalibrationDataset> scenarioList)	Oracle will be instantiated based on a Swap product and market data scenario list
ValuationOraclePlainSwap(Map<String,net.finmath.marketdata.products.AnalyticProduct> products, List<CalibrationDataset> scenarioList, int scale)	Oracle will be instantiated based on a Swap product an market data scenario list

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 evaluationDate, 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 evaluationDate, LocalDateTime marketDataTime)

Methods inherited from class java.lang.Object

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

Constructor Details

ValuationOraclePlainSwap

public ValuationOraclePlainSwap(Map<String,net.finmath.marketdata.products.AnalyticProduct> products,
 List<CalibrationDataset> scenarioList,
 int scale)

Oracle will be instantiated based on a Swap product an market data scenario list

Parameters:

products - The underlying products.

scenarioList - The list of market data scenarios to be used for valuation.

scale - Specification of the rounding.

ValuationOraclePlainSwap

public ValuationOraclePlainSwap(Map<String,net.finmath.marketdata.products.AnalyticProduct> products,
 List<CalibrationDataset> scenarioList)

Oracle will be instantiated based on a Swap product and market data scenario list

Parameters:

products - A list of products to valuate.

scenarioList - The list of market data scenarios to be used for valuation.

Method Details

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.

getValue

public BigDecimal getValue(LocalDateTime evaluationDate,
 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:

evaluationDate - The evaluation time.

marketDataTime - The market data time.

Returns:

The value.

getValues

public Map<String,BigDecimal> getValues(LocalDateTime evaluationDate,
 LocalDateTime marketDataTime)

Specified by:

getValues in interface ValuationOracle