Module net.finmath.lib

Package net.finmath.marketdata.model

Class AnalyticModelFromCurvesAndVols

java.lang.Object

net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols

All Implemented Interfaces:

Serializable, Cloneable, AnalyticModel, Model

Direct Known Subclasses:

AnalyticModelFactory.DescribedAnalyticModel, AnalyticModelWithVolatilityCubes

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 AnalyticModelFromCurvesAndVols.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
AnalyticModelFromCurvesAndVols()	Create an empty analytic model.
AnalyticModelFromCurvesAndVols(LocalDate referenceDate)	Create an empty analytic model for a specified date.
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Collection<Curve> curves)	Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)	Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Curve[] curves)	Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(Collection<Curve> curves)	Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Curve[] curves)	Create an analytic model with the given curves.

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)	Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModelFromCurvesAndVols	clone()
AnalyticModel	getCloneForParameter(Map<ParameterObject,double[]> curveParameterPairs)
Curve	getCurve(String name)	Get a curve by a given curve name.
Map<String,Curve>	getCurves()	Returns an unmodifiable map of all curves.
DiscountCurve	getDiscountCurve(String discountCurveName)	Returns a discount curve for a given name.
ForwardCurve	getForwardCurve(String forwardCurveName)	Returns a forward curve for a given name.
LocalDate	getReferenceDate()	Returns the reference date of the curves of this model.
VolatilitySurface	getVolatilitySurface(String name)	Returns a volatility surface for a given name.
Map<String,VolatilitySurface>	getVolatilitySurfaces()	Returns an unmodifiable map of all volatility surfaces.
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

AnalyticModelFromCurvesAndVols

public AnalyticModelFromCurvesAndVols()

Create an empty analytic model.

AnalyticModelFromCurvesAndVols

public AnalyticModelFromCurvesAndVols(LocalDate referenceDate)

Create an empty analytic model for a specified date.

Parameters:

referenceDate - The reference date that should be used for all curves and surfaces of this model.

AnalyticModelFromCurvesAndVols

public AnalyticModelFromCurvesAndVols(Curve[] curves)

Create an analytic model with the given curves.

Parameters:

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.

AnalyticModelFromCurvesAndVols

public AnalyticModelFromCurvesAndVols(LocalDate referenceDate,
                                      Curve[] curves)

Create an analytic model with the given curves for the specified reference date.

Parameters:

referenceDate - The reference date that should be used for all curves and surfaces of this model.

curves - The vector of curves.

AnalyticModelFromCurvesAndVols

public AnalyticModelFromCurvesAndVols(LocalDate referenceDate,
                                      Collection<Curve> curves)

Create an analytic model with the given curves for the specified reference date.

Parameters:

referenceDate - The reference date that should be used for all curves and surfaces of this model.

curves - A collection of curves.

AnalyticModelFromCurvesAndVols

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

Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.

Parameters:

referenceDate - The reference date that should be used for all curves and surfaces of this model.

curvesMap - A map containing all curves, together with their names they should have in the model.

volatilitySurfaceMap - A map containing all volatility surfaces, together with their names they should have in the model.

Method Detail

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.

getDiscountCurve

public DiscountCurve 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 ForwardCurve 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)

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.

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,double[]> curveParameterPairs)
                                   throws CloneNotSupportedException

Specified by:

getCloneForParameter in interface AnalyticModel

Throws:

CloneNotSupportedException

toString

public String toString()

Overrides:

toString in class Object

getReferenceDate

public LocalDate getReferenceDate()

Returns the reference date of the curves of this model.

Returns:

The reference date of the model.