Module net.finmath.lib

Package net.finmath.marketdata2.model.curves

Interface Curve

All Superinterfaces:

Cloneable, ParameterObject

All Known Subinterfaces:

DiscountCurveInterface, ForwardCurveInterface

All Known Implementing Classes:

AbstractCurve, AbstractForwardCurve, CurveInterpolation, DiscountCurveFromForwardCurve, DiscountCurveInterpolation, ForwardCurveFromDiscountCurve, ForwardCurveInterpolation

public interface Curve
extends ParameterObject, Cloneable

The interface which is implemented by a general curve.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
Object	clone()	Create a deep copied clone.
CurveBuilder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
Curve	getCloneForParameter(RandomVariable[] value)	Create a clone with a modified parameter.
String	getName()	Get the name of the curve.
LocalDate	getReferenceDate()	Return the reference date of this curve, i.e.
RandomVariable	getValue(double time)	Returns the value for the time using the interpolation method associated with this curve.
RandomVariable	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.

Methods inherited from interface net.finmath.marketdata2.calibration.ParameterObject

getParameter, setParameter

Method Detail

getName

String getName()

Get the name of the curve.

Returns:

The name of this curve

getReferenceDate

LocalDate getReferenceDate()

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).

Returns:

The date identified as t=0.

getValue

RandomVariable getValue(double time)

Returns the value for the time using the interpolation method associated with this curve.

Parameters:

time - Time for which the value should be returned.

Returns:

The value at the give time.

getValue

RandomVariable 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. 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.

Parameters:

model - An analytic model providing a context.

time - Time for which the value should be returned.

Returns:

The value at the give time.

clone

Object clone()
      throws CloneNotSupportedException

Create a deep copied clone.

Returns:

A clone (deep copied).

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.

getCloneBuilder

CurveBuilder getCloneBuilder()
                      throws CloneNotSupportedException

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.

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.

getCloneForParameter

Curve getCloneForParameter(RandomVariable[] value)
                    throws CloneNotSupportedException

Description copied from interface: ParameterObject

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface ParameterObject

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.