public class ValuationOraclePlainSwapHistoricScenarios extends Object implements ValuationOracle
| Constructor and Description |
|---|
ValuationOraclePlainSwapHistoricScenarios(Swap product,
double notionalAmount,
List<IRMarketDataScenario> scenarioList)
Oracle will be instantiated based on a Swap product an market data scenario list
|
| Modifier and Type | Method and Description |
|---|---|
MonetaryAmount |
getAmount(LocalDateTime evaluationTime,
LocalDateTime marketDataTime)
Provides the value of the Oracle at a given evaluation time.
|
Double |
getValue(LocalDateTime evaluationDate,
LocalDateTime marketDataTime)
Provides the value of the Oracle at a given evaluation time using market data from a given time.
|
public ValuationOraclePlainSwapHistoricScenarios(Swap product, double notionalAmount, List<IRMarketDataScenario> scenarioList)
product - The underlying swap product.notionalAmount - The notional of the product.scenarioList - The list of market data scenarios to be used for valuation.public Double getValue(LocalDateTime evaluationDate, LocalDateTime marketDataTime)
ValuationOraclegetValue in interface ValuationOracleevaluationDate - The evaluation time.marketDataTime - The market data time.public MonetaryAmount getAmount(LocalDateTime evaluationTime, LocalDateTime marketDataTime)
ValuationOraclegetAmount in interface ValuationOracleevaluationTime - The evaluation time.marketDataTime - The market data time.Copyright © 2019. All rights reserved.