Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Class PiecewiseCurve

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.PiecewiseCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve

Direct Known Subclasses:

ForwardCurveWithFixings

public class PiecewiseCurve
extends AbstractCurve
implements Curve

A piecewise curve. The curve consists of a base curve and a second curve. If the time parameter of the getValue(AnalyticModel, double) method falls inside a pre-defined open interval, it is delegated to the second curve, otherwise it is delegated to the base curve.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	PiecewiseCurve.Builder	A builder (following the builder pattern) for PiecewiseCurve objects.

Constructor Summary

Constructors

Constructor	Description
PiecewiseCurve(Curve curve, Curve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime)

Method Summary

Modifier and Type	Method	Description
PiecewiseCurve	clone()	Create a deep copied clone.
Curve	getBaseCurve()
PiecewiseCurve.Builder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
Curve	getCloneForParameter(double[] value)	Create a clone with a modified parameter.
Curve	getFixedPartCurve()
double	getFixedPartEndTime()
double	getFixedPartStartTime()
String	getName()	Get the name of the curve.
double[]	getParameter()	Get the current parameter associated with the state of the objects.
LocalDate	getReferenceDate()	Return the reference date of this curve, i.e.
double	getValue(double time)	Returns the value for the time using the interpolation method associated with this curve.
double	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.
void	setParameter(double[] parameter)	Set the current parameter and change the state of the objects.
String	toString()

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

getValues

Methods inherited from class java.lang.Object

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

Constructor Detail

PiecewiseCurve

public PiecewiseCurve(Curve curve,
                      Curve fixedPartCurve,
                      double fixedPartStartTime,
                      double fixedPartEndTime)

Method Detail

getParameter

public double[] getParameter()

Description copied from interface: ParameterObject

Get the current parameter associated with the state of the objects.

Specified by:

getParameter in interface ParameterObject

Returns:

The parameter.

setParameter

public void setParameter(double[] parameter)

Description copied from interface: ParameterObject

Set the current parameter and change the state of the objects.

Specified by:

setParameter in interface ParameterObject

Parameters:

parameter - The parameter associated with the new state of the objects.

getName

public String getName()

Description copied from interface: Curve

Get the name of the curve.

Specified by:

getName in interface Curve

Overrides:

getName in class AbstractCurve

Returns:

The name of this curve

getReferenceDate

public LocalDate getReferenceDate()

Description copied from interface: Curve

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).

Specified by:

getReferenceDate in interface Curve

Overrides:

getReferenceDate in class AbstractCurve

Returns:

The date identified as t=0.

getBaseCurve

public Curve getBaseCurve()

Returns:

the baseCurve

getFixedPartCurve

public Curve getFixedPartCurve()

Returns:

the fixedPartCurve

getFixedPartStartTime

public double getFixedPartStartTime()

Returns:

the fixedPartStartTime

getFixedPartEndTime

public double getFixedPartEndTime()

Returns:

the fixedPartEndTime

getValue

public double getValue(double time)

Description copied from interface: Curve

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

Specified by:

getValue in interface Curve

Overrides:

getValue in class AbstractCurve

Parameters:

time - Time for which the value should be returned.

Returns:

The value at the give time.

getValue

public double getValue(AnalyticModel model,
                       double time)

Description copied from interface: Curve

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.

Specified by:

getValue in interface 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.

getCloneForParameter

public Curve getCloneForParameter(double[] value)
                           throws CloneNotSupportedException

Description copied from interface: ParameterObject

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface Curve

Specified by:

getCloneForParameter in interface ParameterObject

Overrides:

getCloneForParameter in class AbstractCurve

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

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

clone

public PiecewiseCurve clone()
                     throws CloneNotSupportedException

Description copied from interface: Curve

Create a deep copied clone.

Specified by:

clone in interface Curve

Overrides:

clone in class AbstractCurve

Returns:

A clone (deep copied).

Throws:

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

getCloneBuilder

public PiecewiseCurve.Builder getCloneBuilder()
                                       throws CloneNotSupportedException

Description copied from interface: Curve

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.

Specified by:

getCloneBuilder in interface Curve

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.

toString

public String toString()

Overrides:

toString in class AbstractCurve