net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.PiecewiseCurve

All Implemented Interfaces:: Serializable, Cloneable, ParameterObject, Curve

Direct Known Subclasses:: ForwardCurveWithFixings

public class PiecewiseCurve
extends AbstractCurve
implements Curve

A piecewise curve. The curve consists of a base curve and a second curve. If the time parameter of the getValue(AnalyticModel, double) method falls inside a pre-defined open interval, it is delegated to the second curve, otherwise it is delegated to the base curve.

Version:: 1.0
Author:: Christian Fries
See Also:: Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type Class Description

static class PiecewiseCurve.Builder
A builder (following the builder pattern) for PiecewiseCurve objects.
Constructor Summary

Constructors

Constructor Description

PiecewiseCurve(Curve curve, Curve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime)

Method Summary

Modifier and Type	Method	Description
`PiecewiseCurve`	`clone()`	Create a deep copied clone.
`Curve`	`getBaseCurve()`
`PiecewiseCurve.Builder`	`getCloneBuilder()`	Returns a curve builder bases on a clone of this curve.
`Curve`	`getCloneForParameter(double[] value)`	Create a clone with a modified parameter.
`Curve`	`getFixedPartCurve()`
`double`	`getFixedPartEndTime()`
`double`	`getFixedPartStartTime()`
`String`	`getName()`	Get the name of the curve.
`double[]`	`getParameter()`	Get the current parameter associated with the state of the objects.
`LocalDate`	`getReferenceDate()`	Return the reference date of this curve, i.e. the date associated with t=0.
`double`	`getValue(double time)`	Returns the value for the time using the interpolation method associated with this curve.
`double`	`getValue(AnalyticModel model, double time)`	Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
`void`	`setParameter(double[] parameter)`	Set the current parameter and change the state of the objects.
`String`	`toString()`

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

getValues

Methods inherited from class java.lang.Object

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

Constructor Details
- PiecewiseCurve
  
  public PiecewiseCurve(Curve curve, Curve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime)
Method Details
- getParameter
  
  public double[] getParameter()
  
  Description copied from interface: ParameterObject
  
  Get the current parameter associated with the state of the objects.
  
  Specified by:
  
  getParameter in interface ParameterObject
  
  Returns:
  
  The parameter.
- setParameter
  
  public void setParameter(double[] parameter)
  
  Description copied from interface: ParameterObject
  
  Set the current parameter and change the state of the objects.
  
  Specified by:
  
  setParameter in interface ParameterObject
  
  Parameters:
  
  parameter - The parameter associated with the new state of the objects.
- getName
  
  public String getName()
  
  Description copied from interface: Curve
  
  Get the name of the curve.
  
  Specified by:
  
  getName in interface Curve
  
  Overrides:
  
  getName in class AbstractCurve
  
  Returns:
  
  The name of this curve
- getReferenceDate
  
  public LocalDate getReferenceDate()
  
  Description copied from interface: Curve
  
  Return the reference date of this curve, i.e. the date associated with t=0. May be null in case the curve is not associated with a fixed date (e.g. a time homogenous model).
  
  Specified by:
  
  getReferenceDate in interface Curve
  
  Overrides:
  
  getReferenceDate in class AbstractCurve
  
  Returns:
  
  The date identified as t=0.
- getBaseCurve
  
  public Curve getBaseCurve()
  
  Returns:
  
  the baseCurve
- getFixedPartCurve
  
  public Curve getFixedPartCurve()
  
  Returns:
  
  the fixedPartCurve
- getFixedPartStartTime
  
  public double getFixedPartStartTime()
  
  Returns:
  
  the fixedPartStartTime
- getFixedPartEndTime
  
  public double getFixedPartEndTime()
  
  Returns:
  
  the fixedPartEndTime
- getValue
  
  public double getValue(double time)
  
  Description copied from interface: Curve
  
  Returns the value for the time using the interpolation method associated with this curve.
  
  Specified by:
  
  getValue in interface Curve
  
  Overrides:
  
  getValue in class AbstractCurve
  
  Parameters:
  
  time - Time for which the value should be returned.
  
  Returns:
  
  The value at the give time.
- getValue
  
  public double getValue(AnalyticModel model, double time)
  
  Description copied from interface: Curve
  
  Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model. The model (context) is needed only if the curve relies on another curve. Examples are a forward curve which relies on a discount curve or a discount curve which is defined via a spread over another curve.
  
  Specified by:
  
  getValue in interface Curve
  
  Parameters:
  
  model - An analytic model providing a context.
  
  time - Time for which the value should be returned.
  
  Returns:
  
  The value at the give time.
- getCloneForParameter
  
  public Curve getCloneForParameter(double[] value) throws CloneNotSupportedException
  
  Description copied from interface: ParameterObject
  
  Create a clone with a modified parameter.
  
  Specified by:
  
  getCloneForParameter in interface Curve
  
  Specified by:
  
  getCloneForParameter in interface ParameterObject
  
  Overrides:
  
  getCloneForParameter in class AbstractCurve
  
  Parameters:
  
  value - The new parameter.
  
  Returns:
  
  A clone with an otherwise modified parameter.
  
  Throws:
  
  CloneNotSupportedException - Thrown, when the curve could not be cloned.
- clone
  
  public PiecewiseCurve clone() throws CloneNotSupportedException
  
  Description copied from interface: Curve
  
  Create a deep copied clone.
  
  Specified by:
  
  clone in interface Curve
  
  Overrides:
  
  clone in class AbstractCurve
  
  Returns:
  
  A clone (deep copied).
  
  Throws:
  
  CloneNotSupportedException - Thrown, when the curve could not be cloned.
- getCloneBuilder
  
  public PiecewiseCurve.Builder getCloneBuilder() throws CloneNotSupportedException
  
  Description copied from interface: Curve
  
  Returns a curve builder bases on a clone of this curve. Using that curve builder you may create a new curve from this curve by adding points or changing properties. Note: The clone has the same name than this one.
  
  Specified by:
  
  getCloneBuilder in interface Curve
  
  Returns:
  
  An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.
  
  Throws:
  
  CloneNotSupportedException - Thrown, when this curve could not be cloned.
- toString
  
  public String toString()
  
  Overrides:
  
  toString in class AbstractCurve

Class PiecewiseCurve

Nested Class Summary

Constructor Summary

Method Summary

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

Methods inherited from class java.lang.Object

Constructor Details

Method Details