net.finmath.smartcontract.oracle

Class ValuationOraclePlainSwapHistoricScenarios

java.lang.Object

net.finmath.smartcontract.oracle.ValuationOraclePlainSwapHistoricScenarios

All Implemented Interfaces:

ValuationOracle

public class ValuationOraclePlainSwapHistoricScenarios
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

Constructor Summary

Constructors

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

Method Summary

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.

Methods inherited from class java.lang.Object

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

Constructor Detail

ValuationOraclePlainSwapHistoricScenarios

public ValuationOraclePlainSwapHistoricScenarios(Swap product,
                                                 double notionalAmount,
                                                 List<IRMarketDataScenario> scenarioList)

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

Parameters:

product - The underlying swap product.

notionalAmount - The notional of the product.

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

Method Detail

getValue

public Double 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.

getAmount

public 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.