Module net.finmath.lib

Package net.finmath.modelling.descriptor

Class AnalyticModelDescriptor

java.lang.Object

net.finmath.modelling.descriptor.AnalyticModelDescriptor

All Implemented Interfaces:

InterestRateModelDescriptor, ModelDescriptor

public class AnalyticModelDescriptor
extends Object
implements InterestRateModelDescriptor

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
AnalyticModelDescriptor(LocalDate referenceDate, Collection<Curve> curves, Collection<VolatilitySurface> surfaces)	Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.
AnalyticModelDescriptor(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)	Construct an AnalyticModelDescriptor holding copies of the maps provided.

Method Summary

Modifier and Type	Method	Description
Map<String,Curve>	getCurvesMap()
LocalDate	getReferenceDate()
Map<String,VolatilitySurface>	getVolatilitySurfaceMap()
String	name()	Return the name of the model represented by this descriptor.
Integer	version()	Return the version of the model description.

Methods inherited from class java.lang.Object

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

Constructor Detail

AnalyticModelDescriptor

public AnalyticModelDescriptor(LocalDate referenceDate,
                               Collection<Curve> curves,
                               Collection<VolatilitySurface> surfaces)

Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.

Parameters:

referenceDate - The date corresponding to time \( t = 0 \).

curves - The collection of curves.

surfaces - The collection of volatility surfaces.

AnalyticModelDescriptor

public AnalyticModelDescriptor(LocalDate referenceDate,
                               Map<String,Curve> curvesMap,
                               Map<String,VolatilitySurface> volatilitySurfaceMap)

Construct an AnalyticModelDescriptor holding copies of the maps provided.

Parameters:

referenceDate - The date corresponding to time \( t = 0 \).

curvesMap - The map of curves.

volatilitySurfaceMap - The map of volatility surfaces.

Method Detail

version

public Integer version()

Description copied from interface: ModelDescriptor

Return the version of the model description.

Specified by:

version in interface ModelDescriptor

Returns:

Version number.

name

public String name()

Description copied from interface: ModelDescriptor

Return the name of the model represented by this descriptor.

Specified by:

name in interface ModelDescriptor

Returns:

Name of the model.

getReferenceDate

public LocalDate getReferenceDate()

getCurvesMap

public Map<String,Curve> getCurvesMap()

getVolatilitySurfaceMap

public Map<String,VolatilitySurface> getVolatilitySurfaceMap()