net.finmath.smartcontract.oracle

Class ValuationOracleSamplePath

java.lang.Object

net.finmath.smartcontract.oracle.ValuationOracleSamplePath

All Implemented Interfaces:

ValuationOracle

public class ValuationOracleSamplePath
extends Object
implements ValuationOracle

A valuation oracle constructed from a simulation providing a stochastic valuation oracle by extracting a given sample path.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
ValuationOracleSamplePath(StochasticValuationOracle stochasticValuationOracle, int path) Create a valuation oracle from a simulation providing a stochastic valuation oracle by extracting a given sample path.

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 evaluationTime, 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

ValuationOracleSamplePath

public ValuationOracleSamplePath(StochasticValuationOracle stochasticValuationOracle,
                                 int path)

Create a valuation oracle from a simulation providing a stochastic valuation oracle by extracting a given sample path.

Parameters:

stochasticValuationOracle - A given stochastic oracle.

path - The sample path to extract from the stochastic oracle.

Method Detail

getValue

public Double getValue(LocalDateTime evaluationTime,
                       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:

evaluationTime - 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.