Class AnalyticModelDescriptor

java.lang.Object
net.finmath.modelling.descriptor.AnalyticModelDescriptor
All Implemented Interfaces:
InterestRateModelDescriptor, ModelDescriptor

public class AnalyticModelDescriptor extends Object implements InterestRateModelDescriptor
Author:
Christian Fries, Roland Bachl
  • Constructor Details

    • AnalyticModelDescriptor

      public AnalyticModelDescriptor(LocalDate referenceDate, Collection<Curve> curves, Collection<VolatilitySurface> surfaces)
      Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.
      Parameters:
      referenceDate - The date corresponding to time \( t = 0 \).
      curves - The collection of curves.
      surfaces - The collection of volatility surfaces.
    • AnalyticModelDescriptor

      public AnalyticModelDescriptor(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)
      Construct an AnalyticModelDescriptor holding copies of the maps provided.
      Parameters:
      referenceDate - The date corresponding to time \( t = 0 \).
      curvesMap - The map of curves.
      volatilitySurfaceMap - The map of volatility surfaces.
  • Method Details