Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class InterestRateAnalyticProductFactory

java.lang.Object

net.finmath.modelling.productfactory.InterestRateAnalyticProductFactory

All Implemented Interfaces:

ProductFactory<InterestRateProductDescriptor>

public class InterestRateAnalyticProductFactory
extends Object
implements ProductFactory<InterestRateProductDescriptor>

Product factory of interest rate derivatives for use with an analytic model.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
InterestRateAnalyticProductFactory(LocalDate referenceDate)	Initialize the factory with the given referenceDate.

Method Summary

Modifier and Type	Method	Description
DescribedProduct<? extends InterestRateProductDescriptor>	getProductFromDescriptor(ProductDescriptor descriptor)	Constructs the product from a given product descriptor.

Methods inherited from class java.lang.Object

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

Constructor Details

InterestRateAnalyticProductFactory

public InterestRateAnalyticProductFactory(LocalDate referenceDate)

Initialize the factory with the given referenceDate.

Parameters:

referenceDate - To be used when converting absolute dates to relative dates in double.

Method Details

getProductFromDescriptor

public DescribedProduct<? extends InterestRateProductDescriptor> getProductFromDescriptor(ProductDescriptor descriptor)

Description copied from interface: ProductFactory

Constructs the product from a given product descriptor.

Specified by:

getProductFromDescriptor in interface ProductFactory<InterestRateProductDescriptor>

Parameters:

descriptor - A product descriptor.

Returns:

An instance of the product describable by this descriptor.