webcab.lib.finance.pricing.contracts
Class FixedExchangeMarkovContractCommon

java.lang.Object
  |
  +--webcab.lib.finance.pricing.contracts.GeneralContractCommon
        |
        +--webcab.lib.finance.pricing.contracts.FixedExchangeMomentsContractCommon
              |
              +--webcab.lib.finance.pricing.contracts.FixedExchangeMarkovContractCommon

All Implemented Interfaces:

FixedExchangeMarkovContract, FixedExchangeMomentsContract, GeneralContract, Serializable

Direct Known Subclasses:

ExplicitBoundariesContractCommon, Forward, Future, RegularPayoffContractCommon

public abstract class FixedExchangeMarkovContractCommon

extends FixedExchangeMomentsContractCommon

implements FixedExchangeMarkovContract

You will need to extend this abstract class in order to define a FixedExchangeMarkovContract.

See Also:

Serialized Form

Field Summary

Fields inherited from class webcab.lib.finance.pricing.contracts.GeneralContractCommon

BUYER_INITIATED, NO_EARLY_EXERCISE, SELLER_INITIATED

Constructor Summary

FixedExchangeMarkovContractCommon()

Method Summary

double	getPayoff(int moment, ContextGraph contextGraph, Path paths, StochasticDifferentialModel updatedModel) Returns the amount exchanged at a moment specified by its index in the payoff moments vector (the vector returned by method getMoments()).
abstract double	getPayoff(int moment, ContextGraph contextGraph, StochasticDifferentialModel updatedModel) Returns the amount exchanged at a moment specified by its index in the payoff moments vector (the vector returned by method getMoments()).

Methods inherited from class webcab.lib.finance.pricing.contracts.FixedExchangeMomentsContractCommon

getAccumulatedCashflow, getFirstMoment, getMoments, getNMoments

Methods inherited from class webcab.lib.finance.pricing.contracts.GeneralContractCommon

getEarlyExercise, getExpiry, needsUpdatedModel

Methods inherited from class java.lang.Object

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

Methods inherited from interface webcab.lib.finance.pricing.contracts.FixedExchangeMomentsContract

getFirstMoment, getMoments, getNMoments

Methods inherited from interface webcab.lib.finance.pricing.contracts.GeneralContract

getAccumulatedCashflow, getExpiry, needsUpdatedModel

Constructor Detail

FixedExchangeMarkovContractCommon

public FixedExchangeMarkovContractCommon()

Method Detail

getPayoff

public abstract double getPayoff(int moment,
                                 ContextGraph contextGraph,
                                 StochasticDifferentialModel updatedModel)
                          throws BondsException

Description copied from interface: FixedExchangeMarkovContract

Returns the amount exchanged at a moment specified by its index in the payoff moments vector (the vector returned by method getMoments()). Only the current values of the variables are available (the current context graph).

Specified by:

getPayoff in interface FixedExchangeMarkovContract

Parameters:

moment - the index of the moment for which the payoff is computed (the current moment)

contextGraph - the context graph produced by the model. The context graph contains a snapshot of the models' variables at the current moment. See ContextGraph for information on how to search for a specific variable on which the contract is dependent.

updatedModel - an instance of the model used to price the contract. It can be used with a pricer to evaluate an underlying contract (in case we have a second-order contract like, for example, a bond option). The initial values for this models' variables are implicitly set to the current values. If the higher order contract is path dependent and needs the values from the underlying contract at previous moments of time, you need to set the initial values of the model to the values that existed at that moment of time. You can use the path to find the historic context and then use the updatedModel.setInitialContext() method to set the initial values.

Returns:

double which represents the cash flow resulting from a contract at a given point in time.

Throws:

BondsException

getPayoff

public double getPayoff(int moment,
                        ContextGraph contextGraph,
                        Path paths,
                        StochasticDifferentialModel updatedModel)
                 throws BondsException

Description copied from interface: FixedExchangeMomentsContract

Returns the amount exchanged at a moment specified by its index in the payoff moments vector (the vector returned by method getMoments()).

Specified by:

getPayoff in interface FixedExchangeMomentsContract

Specified by:

getPayoff in class FixedExchangeMomentsContractCommon

Parameters:

moment - the index of the moment for which the payoff is computed (the current moment)

contextGraph - the context graph produced by the model. The context graph contains a snapshot of the models' variables at the current moment. See ContextGraph for information on how to search for a specific variable on which the contract is dependent.

paths - provides access to previous values of all the models' variables. The full history of the simulation between settlement and the current moment is accessible.

updatedModel - an instance of the model used to price the contract. It can be used with a pricer to evaluate an underlying contract (in case we have a second-order contract like, for example, a bond option). The initial values for this models' variables are implicitly set to the current values. If the higher order contract is path dependent and needs the values for the underlying contract at previous moments of time, you need to set the initial values of the model to the values that existed at that moment of time. You can use the path to find the historic context and then use the updatedModel.setInitialContext() method to set the initial values.

Returns:

double

Throws:

BondsException