net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor Maven / Gradle / Ivy
package net.finmath.modelling.descriptor;
import java.time.LocalDate;
import net.finmath.modelling.InterestRateProductDescriptor;
/**
* Product descriptor for an interest rate swaption.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
public class InterestRateSwaptionProductDescriptor implements InterestRateProductDescriptor {
private static final String productName = "Interest Rate Swap";
private final InterestRateSwapProductDescriptor swap;
private final LocalDate excerciseDate;
private final double strikeRate;
/**
* Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.
*
* @param swap Descriptor of the underlying swap.
* @param excerciseDate Exercise date of the option as abolute LocalDate.
* @param strikeRate Strike rate of the option.
*/
public InterestRateSwaptionProductDescriptor(final InterestRateSwapProductDescriptor swap, final LocalDate excerciseDate,
final double strikeRate) {
super();
this.swap = swap;
this.excerciseDate = excerciseDate;
this.strikeRate = strikeRate;
}
@Override
public Integer version() {
return 1;
}
@Override
public String name() {
return productName;
}
/**
* Return the descriptor of the underlying swap.
*
* @return THe swap descriptor.
*/
public InterestRateSwapProductDescriptor getUnderlyingSwap() {
return swap;
}
/**
* Return the exercise date of the option.
*
* @return The exercise date as absolute LocalDate.
*/
public LocalDate getExcerciseDate() {
return excerciseDate;
}
/**
* Return the strike rate of the option.
*
* @return The strike rate.
*/
public double getStrikeRate() {
return strikeRate;
}
}