Interface AnalyticModel

All Superinterfaces:
Cloneable, Model
All Known Implementing Classes:
AnalyticModelFromCurvesAndVols
public interface AnalyticModel extends Model, Cloneable
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getRandomVariableForConstant

      RandomVariable getRandomVariableForConstant(double value)

    • getCurve

      Curve getCurve(String name)
      Get a curve by a given curve name.
      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

      Map<String,Curve> getCurves()
      Returns an unmodifiable map of all curves.
      Returns:
      Map of all curves.

    • addCurve

      AnalyticModel addCurve(String name, Curve curve)
      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.
      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.

    • addCurves

      AnalyticModel addCurves(Curve... curves)
      Create a new analytic model consisting of a clone of this one together with the given curves added.
      Parameters:
      curves - The set of curves to add.
      Returns:
      A new analytic model.

    • addCurves

      AnalyticModel addCurves(Set<Curve> curves)
      Create a new analytic model consisting of a clone of this one together with the given curves added.
      Parameters:
      curves - The list of curves to add.
      Returns:
      A new analytic model.

    • setCurve

      @Deprecated void setCurve(Curve curve)
      Deprecated.

    • getDiscountCurve

      DiscountCurveInterface getDiscountCurve(String discountCurveName)
      Returns a discount curve for a given name.
      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

      ForwardCurveInterface getForwardCurve(String forwardCurveName)
      Returns a forward curve for a given name.
      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

      VolatilitySurface getVolatilitySurface(String name)
      Returns a volatility surface for a given name.
      Parameters:
      name - THe name of the requested surface.
      Returns:
      The volatility surface corresponding to the name.

    • getVolatilitySurfaces

      Map<String, VolatilitySurface> getVolatilitySurfaces()
      Returns an unmodifiable map of all volatility surfaces.
      Returns:
      Map of all volatility surfaces.

    • addVolatilitySurfaces

      AnalyticModel addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)

    • addVolatilitySurfaces

      AnalyticModel addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)
      Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
      Parameters:
      volatilitySurfaces - The list of volatility surfaces to add.
      Returns:
      A new analytic model.

    • clone

      AnalyticModel clone()

    • getCloneForParameter

      AnalyticModel getCloneForParameter(Map<ParameterObject, RandomVariable[]> curvesParameterPairs) throws CloneNotSupportedException
      Throws:
      CloneNotSupportedException