net.finmath.montecarlo.interestrate.products.SwapWithComponents Maven / Gradle / Ivy

/*
 * Created on 06.12.2009
 */
package net.finmath.montecarlo.interestrate.products;

import java.util.ArrayList;
import java.util.Collection;

import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel;
import net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent;
import net.finmath.montecarlo.interestrate.products.components.Notional;
import net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant;
import net.finmath.montecarlo.interestrate.products.components.Period;
import net.finmath.montecarlo.interestrate.products.components.ProductCollection;
import net.finmath.montecarlo.interestrate.products.indices.AbstractIndex;
import net.finmath.montecarlo.interestrate.products.indices.FixedCoupon;
import net.finmath.montecarlo.interestrate.products.indices.LIBORIndex;
import net.finmath.stochastic.RandomVariable;

/**
 * Implements the pricing of a swap under a AbstractLIBORMarketModel
 *
 * @author Christian Fries
 * @version 1.2
 */
public class SwapWithComponents extends AbstractTermStructureMonteCarloProduct {

	private final ProductCollection underlying;

	/**
	 * @param fixingDates Vector of fixing dates
	 * @param paymentDates Vector of payment dates (must have same length as fixing dates)
	 * @param swaprates Vector of strikes (must have same length as fixing dates)
	 */
	public SwapWithComponents(
			final double[] fixingDates,
			final double[] paymentDates,
			final double[] swaprates) {
		super();

		/*
		 * Create components.
		 *
		 * The interesting part here is, that the creation of the components implicitly
		 * constitutes the (traditional) pricing algorithms (e.g., loop over all periods).
		 * Hence, the definition of the product is the definition of the pricing algorithm.
		 */

		final Collection legs = new ArrayList<>();

		final Notional notional = new NotionalFromConstant(1.0);

		final Collection fixedLegPeriods = new ArrayList<>();
		for(int periodIndex=0; periodIndex floatingLegPeriods = new ArrayList<>();
		for(int periodIndex=0; periodIndexcause() method.
	 */
	@Override
	public RandomVariable getValue(final double evaluationTime, final TermStructureMonteCarloSimulationModel model) throws CalculationException {
		final RandomVariable	values	= 	underlying.getValue(evaluationTime, model);

		return values;
	}
}