Module net.finmath.lib

Package net.finmath.parser

Class CSVCurveParser

java.lang.Object

net.finmath.parser.CSVCurveParser

public class CSVCurveParser
extends Object

Provides options to parse curves.

Author:

Roland Bachl

Constructor Summary

Constructors

Constructor	Description
CSVCurveParser()	Set up the parser with default interpolation.
CSVCurveParser(CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)	Set up the parser with given interpolation.

Method Summary

Modifier and Type	Method	Description
static LocalDate[]	getReferenceDates(Curve[] curves)	Extract the reference date of each curve in an array.
DiscountCurve	parseCSV(File file, String currency, String index)	Extract a single discount curve from a csv file.
DiscountCurve[]	parseZIP(File file, String currency, String index)	Extract an arry of discount curves from a zip archive.
void	setInterpolation(CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)	Set interpolation method for parsed curves.

Methods inherited from class java.lang.Object

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

Constructor Details

CSVCurveParser

public CSVCurveParser()

Set up the parser with default interpolation.

• InterpolationMethod.LINEAR
• ExtrapolationMethod.CONSTANT
• InterpolationEntity.LOG_OF_VALUE_PER_TIME

CSVCurveParser

public CSVCurveParser(CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)

Set up the parser with given interpolation.

Parameters:

interpolationMethod - The interpolation method.

extrapolationMethod - The extrapolation method.

interpolationEntity - The interpolation entity.

Method Details

parseCSV

public DiscountCurve parseCSV(File file, String currency, String index) throws IOException

Extract a single discount curve from a csv file.

Parameters:

file - The file to be parsed.

currency - The currency of the curve.

index - The index of the curve.

Returns:

The discount curve.

Throws:

IOException - Thrown upon an exception related to File.

parseZIP

public DiscountCurve[] parseZIP(File file, String currency, String index) throws IOException

Extract an arry of discount curves from a zip archive.

Parameters:

file - The archive to be parsed.

currency - The currency of the curves.

index - The index of the curves.

Returns:

The array of discount curves.

Throws:

IOException - Thrown upon an exception related to File.

setInterpolation

public void setInterpolation(CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)

Set interpolation method for parsed curves.

Parameters:

interpolationMethod - The interpolation method.

extrapolationMethod - The extrapolation method.

interpolationEntity - The interpolation entity.

getReferenceDates

public static LocalDate[] getReferenceDates(Curve[] curves)

Extract the reference date of each curve in an array.

Parameters:

curves - The array of curves.

Returns:

Array of the respective reference dates.