Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Class IndexCurveFromDiscountCurve

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve

public class IndexCurveFromDiscountCurve
extends AbstractCurve
implements Curve

An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
IndexCurveFromDiscountCurve(String name, double indexValue, DiscountCurve discountCurve)

Method Summary

Modifier and Type	Method	Description
CurveBuilder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
double[]	getParameter()	Get the current parameter associated with the state of the objects.
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.

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

clone, getCloneForParameter, getName, getReferenceDate, getValue, getValues, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.marketdata.model.curves.Curve

clone, getCloneForParameter, getName, getReferenceDate, getValue

Constructor Details

IndexCurveFromDiscountCurve

public IndexCurveFromDiscountCurve(String name,
 double indexValue,
 DiscountCurve discountCurve)

Parameters:

name - The name of this curve.

indexValue - The index value at the discount curve's t=0, i.e., the reference date of the discount curve.

discountCurve - The discont curve.

Method Details

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.

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.

getCloneBuilder

public CurveBuilder 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.