net.finmath.marketdata.model

Class AnalyticModel

java.lang.Object

net.finmath.marketdata.model.AnalyticModel

All Implemented Interfaces:

Cloneable, AnalyticModelInterface, ModelInterface

public class AnalyticModel
extends Object
implements AnalyticModelInterface, Cloneable

Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves"). This can be seen as a model to be used in analytic pricing formulas - hence this class is termed AnalyticModel.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
AnalyticModel() Create an empty analytic model.
AnalyticModel(Collection<CurveInterface> curves) Create an analytic model with the given curves.
AnalyticModel(CurveInterface[] curves) Create an analytic model with the given curves.

Method Summary

Modifier and Type	Method and Description
AnalyticModelInterface	addCurve(CurveInterface curve)
AnalyticModelInterface	addCurve(String name, CurveInterface curve) Add a reference to a given curve under a given name to this model.
AnalyticModelInterface	addCurves(CurveInterface... curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModelInterface	addCurves(Set<CurveInterface> curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModelInterface	addVolatilitySurface(VolatilitySurfaceInterface volatilitySurface)
AnalyticModelInterface	addVolatilitySurfaces(Set<AbstractVolatilitySurface> volatilitySurfaces) Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModelInterface	addVolatilitySurfaces(VolatilitySurfaceInterface... volatilitySurfaces)
AnalyticModel	clone()
AnalyticModelInterface	getCloneForParameter(Map<ParameterObjectInterface,double[]> curveParameterPairs)
CurveInterface	getCurve(String name) Get a curve by a given curve name.
DiscountCurveInterface	getDiscountCurve(String discountCurveName)
ForwardCurveInterface	getForwardCurve(String forwardCurveName)
VolatilitySurfaceInterface	getVolatilitySurface(String name)
void	setCurve(CurveInterface curve) Deprecated. This class will become immutable. Use addCurve instead.
void	setCurves(CurveInterface[] curves) Deprecated. This class will become immutable. Use addCurve instead.
void	setVolatilitySurface(VolatilitySurfaceInterface volatilitySurface) Deprecated. This class will become immutable. Use addVolatilitySurface instead.

Methods inherited from class java.lang.Object

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

Constructor Detail

AnalyticModel

public AnalyticModel()

Create an empty analytic model.

AnalyticModel

public AnalyticModel(CurveInterface[] curves)

Create an analytic model with the given curves.

Parameters:

curves - The vector of curves.

AnalyticModel

public AnalyticModel(Collection<CurveInterface> curves)

Create an analytic model with the given curves.

Parameters:

curves - A collection of curves.

Method Detail

getCurve

public CurveInterface getCurve(String name)

Description copied from interface: AnalyticModelInterface

Get a curve by a given curve name.

Specified by:

getCurve in interface AnalyticModelInterface

Parameters:

name - The name of the curve.

Returns:

The curve with the corresponding name, given that it is part of this model, otherwise null is return.

addCurve

public AnalyticModelInterface addCurve(String name,
                                       CurveInterface curve)

Description copied from interface: AnalyticModelInterface

Add a reference to a given curve under a given name to this model. It is not necessary that the name given agrees with curve.getName(). This method comes in handy, if you like to create curve mappings.

Specified by:

addCurve in interface AnalyticModelInterface

Parameters:

name - Name under which the curve is known in the model.

curve - The curve.

Returns:

A clone of this model, containing the curves of this model which are not known under the given name and the new curve under the given name.

addCurve

public AnalyticModelInterface addCurve(CurveInterface curve)

addCurves

public AnalyticModelInterface addCurves(CurveInterface... curves)

Description copied from interface: AnalyticModelInterface

Create a new analytic model consisting of a clone of this one together with the given curves added.

Specified by:

addCurves in interface AnalyticModelInterface

Parameters:

curves - The set of curves to add.

Returns:

A new analytic model.

addCurves

public AnalyticModelInterface addCurves(Set<CurveInterface> curves)

Description copied from interface: AnalyticModelInterface

Create a new analytic model consisting of a clone of this one together with the given curves added.

Specified by:

addCurves in interface AnalyticModelInterface

Parameters:

curves - The list of curves to add.

Returns:

A new analytic model.

setCurve

@Deprecated
public void setCurve(CurveInterface curve)

Deprecated. This class will become immutable. Use addCurve instead.

Specified by:

setCurve in interface AnalyticModelInterface

setCurves

@Deprecated
public void setCurves(CurveInterface[] curves)

Deprecated. This class will become immutable. Use addCurve instead.

Set some curves.

Parameters:

curves - Array of curves to set.

getDiscountCurve

public DiscountCurveInterface getDiscountCurve(String discountCurveName)

Specified by:

getDiscountCurve in interface AnalyticModelInterface

getForwardCurve

public ForwardCurveInterface getForwardCurve(String forwardCurveName)

Specified by:

getForwardCurve in interface AnalyticModelInterface

getVolatilitySurface

public VolatilitySurfaceInterface getVolatilitySurface(String name)

Specified by:

getVolatilitySurface in interface AnalyticModelInterface

addVolatilitySurface

public AnalyticModelInterface addVolatilitySurface(VolatilitySurfaceInterface volatilitySurface)

addVolatilitySurfaces

public AnalyticModelInterface addVolatilitySurfaces(VolatilitySurfaceInterface... volatilitySurfaces)

Specified by:

addVolatilitySurfaces in interface AnalyticModelInterface

addVolatilitySurfaces

public AnalyticModelInterface addVolatilitySurfaces(Set<AbstractVolatilitySurface> volatilitySurfaces)

Description copied from interface: AnalyticModelInterface

Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.

Specified by:

addVolatilitySurfaces in interface AnalyticModelInterface

Parameters:

volatilitySurfaces - The list of volatility surfaces to add.

Returns:

A new analytic model.

setVolatilitySurface

@Deprecated
public void setVolatilitySurface(VolatilitySurfaceInterface volatilitySurface)

Deprecated. This class will become immutable. Use addVolatilitySurface instead.

Specified by:

setVolatilitySurface in interface AnalyticModelInterface

clone

public AnalyticModel clone()

Specified by:

clone in interface AnalyticModelInterface

Overrides:

clone in class Object

getCloneForParameter

public AnalyticModelInterface getCloneForParameter(Map<ParameterObjectInterface,double[]> curveParameterPairs)
                                            throws CloneNotSupportedException

Specified by:

getCloneForParameter in interface AnalyticModelInterface

Throws:

CloneNotSupportedException