net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols

All Implemented Interfaces:: Serializable, Cloneable, AnalyticModel, Model

public class AnalyticModelFromCurvesAndVols
extends Object
implements AnalyticModel, Serializable, 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 AnalyticModelFromCuvesAndVols.

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

Constructor Summary

Constructors
Constructor	Description
`AnalyticModelFromCurvesAndVols()`	Create an empty analytic model.
`AnalyticModelFromCurvesAndVols(Collection<Curve> curves)`	Create an analytic model with the given curves.
`AnalyticModelFromCurvesAndVols(Curve[] curves)`	Create an analytic model with the given curves.
`AnalyticModelFromCurvesAndVols(RandomVariableFactory abstractRandomVariableFactory)`	Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
`AnalyticModelFromCurvesAndVols(RandomVariableFactory abstractRandomVariableFactory, Curve[] curves)`	Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.

Method Summary

Modifier and Type	Method	Description
`AnalyticModel`	`addCurve(String name, Curve curve)`	Add a reference to a given curve under a given name to this model.
`AnalyticModel`	`addCurve(Curve curve)`
`AnalyticModel`	`addCurves(Set<Curve> curves)`	Create a new analytic model consisting of a clone of this one together with the given curves added.
`AnalyticModel`	`addCurves(Curve... curves)`	Create a new analytic model consisting of a clone of this one together with the given curves added.
`AnalyticModel`	`addVolatilitySurface(VolatilitySurface volatilitySurface)`
`AnalyticModel`	`addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)`	Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
`AnalyticModel`	`addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)`
`AnalyticModelFromCurvesAndVols`	`clone()`
`AnalyticModel`	`getCloneForParameter(Map<ParameterObject,RandomVariable[]> curveParameterPairs)`
`Curve`	`getCurve(String name)`	Get a curve by a given curve name.
`Map<String,Curve>`	`getCurves()`	Returns an unmodifiable map of all curves.
`DiscountCurveInterface`	`getDiscountCurve(String discountCurveName)`	Returns a discount curve for a given name.
`ForwardCurveInterface`	`getForwardCurve(String forwardCurveName)`	Returns a forward curve for a given name.
`RandomVariable`	`getRandomVariableForConstant(double value)`
`VolatilitySurface`	`getVolatilitySurface(String name)`	Returns a volatility surface for a given name.
`Map<String,VolatilitySurface>`	`getVolatilitySurfaces()`	Returns an unmodifiable map of all volatility surfaces.
`void`	`setCurve(Curve curve)`	Deprecated. This class will become immutable.
`void`	`setCurves(Curve[] curves)`	Deprecated. This class will become immutable.
`String`	`toString()`

Methods inherited from class java.lang.Object

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

Constructor Details
- AnalyticModelFromCurvesAndVols
  
  public AnalyticModelFromCurvesAndVols()
  
  Create an empty analytic model.
- AnalyticModelFromCurvesAndVols
  
  public AnalyticModelFromCurvesAndVols(RandomVariableFactory abstractRandomVariableFactory)
  
  Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
  
  Parameters:
  
  abstractRandomVariableFactory - given AbstractRandomVariableFactory for construction of result types.
- AnalyticModelFromCurvesAndVols
  
  public AnalyticModelFromCurvesAndVols(Curve[] curves)
  
  Create an analytic model with the given curves.
  
  Parameters:
  
  curves - The vector of curves.
- AnalyticModelFromCurvesAndVols
  
  public AnalyticModelFromCurvesAndVols(RandomVariableFactory abstractRandomVariableFactory, Curve[] curves)
  
  Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.
  
  Parameters:
  
  abstractRandomVariableFactory - given AbstractRandomVariableFactory for construction of result types.
  
  curves - The vector of curves.
- AnalyticModelFromCurvesAndVols
  
  public AnalyticModelFromCurvesAndVols(Collection<Curve> curves)
  
  Create an analytic model with the given curves.
  
  Parameters:
  
  curves - A collection of curves.
Method Details
- getRandomVariableForConstant
  
  public RandomVariable getRandomVariableForConstant(double value)
  
  Specified by:
  
  getRandomVariableForConstant in interface AnalyticModel
- getCurve
  
  public Curve getCurve(String name)
  
  Description copied from interface: AnalyticModel
  
  Get a curve by a given curve name.
  
  Specified by:
  
  getCurve in interface AnalyticModel
  
  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.
- getCurves
  
  public Map<String,Curve> getCurves()
  
  Description copied from interface: AnalyticModel
  
  Returns an unmodifiable map of all curves.
  
  Specified by:
  
  getCurves in interface AnalyticModel
  
  Returns:
  
  Map of all curves.
- addCurve
  
  public AnalyticModel addCurve(String name, Curve curve)
  
  Description copied from interface: AnalyticModel
  
  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 AnalyticModel
  
  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 AnalyticModel addCurve(Curve curve)
- addCurves
  
  public AnalyticModel addCurves(Curve... curves)
  
  Description copied from interface: AnalyticModel
  
  Create a new analytic model consisting of a clone of this one together with the given curves added.
  
  Specified by:
  
  addCurves in interface AnalyticModel
  
  Parameters:
  
  curves - The set of curves to add.
  
  Returns:
  
  A new analytic model.
- addCurves
  
  public AnalyticModel addCurves(Set<Curve> curves)
  
  Description copied from interface: AnalyticModel
  
  Create a new analytic model consisting of a clone of this one together with the given curves added.
  
  Specified by:
  
  addCurves in interface AnalyticModel
  
  Parameters:
  
  curves - The list of curves to add.
  
  Returns:
  
  A new analytic model.
- setCurve
  
  @Deprecated public void setCurve(Curve curve)
  
  Deprecated.
  This class will become immutable. Use addCurve instead.
  
  Specified by:
  
  setCurve in interface AnalyticModel
- setCurves
  
  @Deprecated public void setCurves(Curve[] 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)
  
  Description copied from interface: AnalyticModel
  
  Returns a discount curve for a given name.
  
  Specified by:
  
  getDiscountCurve in interface AnalyticModel
  
  Parameters:
  
  discountCurveName - The name of the requested curve.
  
  Returns:
  
  discount curve corresponding to discountCurveName or null if no discountCurve with this name exists in the model
- getForwardCurve
  
  public ForwardCurveInterface getForwardCurve(String forwardCurveName)
  
  Description copied from interface: AnalyticModel
  
  Returns a forward curve for a given name.
  
  Specified by:
  
  getForwardCurve in interface AnalyticModel
  
  Parameters:
  
  forwardCurveName - The name of the requested curve.
  
  Returns:
  
  forward curve corresponding to forwardCurveName or null if no forwardCurve with this name exists in the model
- getVolatilitySurface
  
  public VolatilitySurface getVolatilitySurface(String name)
  
  Description copied from interface: AnalyticModel
  
  Returns a volatility surface for a given name.
  
  Specified by:
  
  getVolatilitySurface in interface AnalyticModel
  
  Parameters:
  
  name - THe name of the requested surface.
  
  Returns:
  
  The volatility surface corresponding to the name.
- getVolatilitySurfaces
  
  public Map<String,VolatilitySurface> getVolatilitySurfaces()
  
  Description copied from interface: AnalyticModel
  
  Returns an unmodifiable map of all volatility surfaces.
  
  Specified by:
  
  getVolatilitySurfaces in interface AnalyticModel
  
  Returns:
  
  Map of all volatility surfaces.
- addVolatilitySurface
  
  public AnalyticModel addVolatilitySurface(VolatilitySurface volatilitySurface)
- addVolatilitySurfaces
  
  public AnalyticModel addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
  
  Specified by:
  
  addVolatilitySurfaces in interface AnalyticModel
- addVolatilitySurfaces
  
  public AnalyticModel addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)
  
  Description copied from interface: AnalyticModel
  
  Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
  
  Specified by:
  
  addVolatilitySurfaces in interface AnalyticModel
  
  Parameters:
  
  volatilitySurfaces - The list of volatility surfaces to add.
  
  Returns:
  
  A new analytic model.
- clone
  
  public AnalyticModelFromCurvesAndVols clone()
  
  Specified by:
  
  clone in interface AnalyticModel
  
  Overrides:
  
  clone in class Object
- getCloneForParameter
  
  public AnalyticModel getCloneForParameter(Map<ParameterObject,RandomVariable[]> curveParameterPairs) throws CloneNotSupportedException
  
  Specified by:
  
  getCloneForParameter in interface AnalyticModel
  
  Throws:
  
  CloneNotSupportedException
- toString
  
  public String toString()
  
  Overrides:
  
  toString in class Object

Class AnalyticModelFromCurvesAndVols

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Details

Method Details