net.finmath.montecarlo.interestrate

Interface TermStructureModelInterface

All Superinterfaces:

AbstractModelInterface

All Known Subinterfaces:

LIBORMarketModelInterface, LIBORModelInterface

All Known Implementing Classes:

HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, LIBORMarketModel, LIBORMarketModelStandard, LIBORMarketModelWithTenorRefinement

public interface TermStructureModelInterface
extends AbstractModelInterface

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
AnalyticModelInterface	getAnalyticModel() Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
TermStructureModelInterface	getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing TermStructureModelInterface, using the new data.
DiscountCurveInterface	getDiscountCurve() Return the discount curve associated the forwards.
ForwardCurveInterface	getForwardRateCurve() Return the initial forward rate curve.
RandomVariableInterface	getLIBOR(double time, double periodStart, double periodEnd)

Methods inherited from interface net.finmath.montecarlo.model.AbstractModelInterface

applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getProcess, getRandomVariableForConstant, getTimeDiscretization, setProcess

Method Detail

getLIBOR

RandomVariableInterface getLIBOR(double time,
                                 double periodStart,
                                 double periodEnd)
                          throws CalculationException

Throws:

CalculationException

getAnalyticModel

AnalyticModelInterface getAnalyticModel()

Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.

Returns:

The associated analytic model.

getDiscountCurve

DiscountCurveInterface getDiscountCurve()

Return the discount curve associated the forwards.

Returns:

the discount curve associated the forwards.

getForwardRateCurve

ForwardCurveInterface getForwardRateCurve()

Return the initial forward rate curve.

Returns:

the forward rate curve

getCloneWithModifiedData

TermStructureModelInterface getCloneWithModifiedData(Map<String,Object> dataModified)
                                              throws CalculationException

Create a new object implementing TermStructureModelInterface, using the new data.

Specified by:

getCloneWithModifiedData in interface AbstractModelInterface

Parameters:

dataModified - A map with values to be used in constructions (keys are identical to parameter names of the constructors).

Returns:

A new object implementing TermStructureModelInterface, using the new data.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.