net.finmath.smartcontract.contract

Class SmartDerivativeContractMargining

java.lang.Object

net.finmath.smartcontract.contract.SmartDerivativeContractMargining

public class SmartDerivativeContractMargining
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 and Description
SmartDerivativeContractMargining(ValuationOracle derivativeValuationOracle)

Method Summary

Modifier and Type	Method and Description
Double	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 Detail

SmartDerivativeContractMargining

public SmartDerivativeContractMargining(ValuationOracle derivativeValuationOracle)

Method Detail

getMargin

public Double 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.