Module net.finmath.smartderivativecontract

Package net.finmath.smartcontract.valuation

Class MarginCalculator

java.lang.Object

net.finmath.smartcontract.valuation.MarginCalculator

public class MarginCalculator
extends Object

Calculation of the settlement using Smart Derivative Contract with an Swap contained in a FPML, using a valuation oracle with historic market data. For details see the corresponding white paper at SSRN.

Author:

Christian Fries, Peter Kohl-Landgraf, Björn Paffen, Stefanie Weddigen, Dietmar Schnabel

Constructor Summary

Constructors

Constructor	Description
MarginCalculator()
MarginCalculator(DoubleUnaryOperator rounding)

Method Summary

Modifier and Type	Method	Description
ValueResult	getValue(String marketData, String productData)
MarginResult	getValue(String marketDataStart, String marketDataEnd, String productData)	Calculates the margin between t_2 and t_1.

Methods inherited from class java.lang.Object

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

Constructor Details

MarginCalculator

public MarginCalculator(DoubleUnaryOperator rounding)

MarginCalculator

public MarginCalculator()

Method Details

getValue

public MarginResult getValue(String marketDataStart,
 String marketDataEnd,
 String productData)
                      throws Exception

Calculates the margin between t_2 and t_1.

Parameters:

marketDataStart - Curve name at time t_1.

marketDataEnd - Curve name at time t_2.

productData - Trade.

Returns:

the margin (MarginResult).

Throws:

Exception - Exception

getValue

public ValueResult getValue(String marketData,
 String productData)
                     throws Exception

Throws:

Exception