Package net.finmath.smartcontract.valuation.oracle.simulated

Class ContinouslyCompoundedBankAccountOracle

java.lang.Object

net.finmath.smartcontract.valuation.oracle.simulated.ContinouslyCompoundedBankAccountOracle

All Implemented Interfaces:

StochasticValuationOracle

public class ContinouslyCompoundedBankAccountOracle
extends Object
implements StochasticValuationOracle

A dummy oracle which generates values as initalValue * Math.exp(r T).

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
ContinouslyCompoundedBankAccountOracle()	A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle(LocalDateTime initialTime)	A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle(LocalDateTime initialTime, double initialValue, double timeHorizon, double riskFreeRate)	A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle(net.finmath.time.TimeDiscretization timeDiscretization, LocalDateTime initialTime, double initialValue, double riskFreeRate)

Method Summary

Modifier and Type	Method	Description
net.finmath.stochastic.RandomVariable	getValue(LocalDateTime evaluationTime, LocalDateTime marketDataTime)	Provides that value of the Oracle at a given evaluation time.

Methods inherited from class java.lang.Object

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

Constructor Details

ContinouslyCompoundedBankAccountOracle

public ContinouslyCompoundedBankAccountOracle()

A dummy oracle which generates values as initalValue * Math.exp(r T).

Caution: The object is initialized with LocalDateTime.now(). This will result in different Oracles each time the object is instantiated.

ContinouslyCompoundedBankAccountOracle

public ContinouslyCompoundedBankAccountOracle(LocalDateTime initialTime)

A dummy oracle which generates values as initalValue * Math.exp(r T).

Using a given initial time and default parameters.

Parameters:

initialTime - The date corresponding to the initial time of the oracle. Valuation prior this time is not provided.

ContinouslyCompoundedBankAccountOracle

public ContinouslyCompoundedBankAccountOracle(LocalDateTime initialTime,
 double initialValue,
 double timeHorizon,
 double riskFreeRate)

A dummy oracle which generates values as initalValue * Math.exp(r T).

Using a given initial time and default parameters.

Parameters:

initialTime - The date corresponding to the initial time of the oracle. Valuation prior this time is not provided.

initialValue - The initial value.

timeHorizon - The time horizon in ACT/365 from initialTime.

riskFreeRate - The drift.

ContinouslyCompoundedBankAccountOracle

public ContinouslyCompoundedBankAccountOracle(net.finmath.time.TimeDiscretization timeDiscretization,
 LocalDateTime initialTime,
 double initialValue,
 double riskFreeRate)

Method Details

getValue

public net.finmath.stochastic.RandomVariable getValue(LocalDateTime evaluationTime,
 LocalDateTime marketDataTime)

Description copied from interface: StochasticValuationOracle

Provides that value of the Oracle at a given evaluation time.

Specified by:

getValue in interface StochasticValuationOracle

Parameters:

evaluationTime - The evaluation time.

marketDataTime - The market data time.

Returns:

The value.