Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Class CalibrationProduct

java.lang.Object

net.finmath.montecarlo.interestrate.CalibrationProduct

public class CalibrationProduct
extends Object

A class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
CalibrationProduct(String name, AbstractTermStructureMonteCarloProduct product, double targetValue, double weight)
CalibrationProduct(String name, AbstractTermStructureMonteCarloProduct product, RandomVariable targetValue, double weight)
CalibrationProduct(String name, AbstractTermStructureMonteCarloProduct product, RandomVariable targetValue, double weight, int priority)	Construct a calibration product.
CalibrationProduct(AbstractTermStructureMonteCarloProduct product, double targetValue, double weight)
CalibrationProduct(AbstractTermStructureMonteCarloProduct product, RandomVariable targetValue, double weight)

Method Summary

Modifier and Type	Method	Description
String	getName()	The method returns a short name for this calibration product.
Integer	getPriority()
AbstractTermStructureMonteCarloProduct	getProduct()
RandomVariable	getTargetValue()
double	getWeight()
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibrationProduct

public CalibrationProduct(String name,
                          AbstractTermStructureMonteCarloProduct product,
                          RandomVariable targetValue,
                          double weight,
                          int priority)

Construct a calibration product. A calibration product consists of a product implementing AbstractTermStructureMonteCarloProduct, a target value given as RandomVariable and a weight. In addition you may give a short name which may be printed by the logger.

Parameters:

name - A short name (for example a "SYMBOL" representing the product.

product - The product.

targetValue - The target value.

weight - The calibration weight.

priority - The priority (may be used when submitting the product for calculation)

CalibrationProduct

public CalibrationProduct(String name,
                          AbstractTermStructureMonteCarloProduct product,
                          RandomVariable targetValue,
                          double weight)

CalibrationProduct

public CalibrationProduct(String name,
                          AbstractTermStructureMonteCarloProduct product,
                          double targetValue,
                          double weight)

CalibrationProduct

public CalibrationProduct(AbstractTermStructureMonteCarloProduct product,
                          RandomVariable targetValue,
                          double weight)

CalibrationProduct

public CalibrationProduct(AbstractTermStructureMonteCarloProduct product,
                          double targetValue,
                          double weight)

Method Detail

getName

public String getName()

The method returns a short name for this calibration product. If no short name was given, the method returns getProduct().toString().

Returns:

A short name for this calibration product. If no short name was given, the method returns getProduct().toString()

getProduct

public AbstractTermStructureMonteCarloProduct getProduct()

Returns:

the product.

getTargetValue

public RandomVariable getTargetValue()

Returns:

the target value.

getWeight

public double getWeight()

Returns:

the calibrationWeight

getPriority

public Integer getPriority()

Returns:

the priority

toString

public String toString()

Overrides:

toString in class Object