Module net.finmath.lib

Package net.finmath.singleswaprate.data

Class DataTableInterpolated

java.lang.Object

net.finmath.singleswaprate.data.DataTableBasic

net.finmath.singleswaprate.data.DataTableInterpolated

All Implemented Interfaces:

Serializable, Cloneable, DataTable

Direct Known Subclasses:

DataTableExtrapolated

public class DataTableInterpolated
extends DataTableBasic
implements DataTable, Cloneable

Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes. Note that the interpolation is done to the accuracy of the table convention.

Author:

Christian Fries, Roland Bachl

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.singleswaprate.data.DataTableBasic

DataTableBasic.DoubleKey

Nested classes/interfaces inherited from interface net.finmath.singleswaprate.data.DataTable

DataTable.TableConvention

Constructor Summary

Constructors

Constructor	Description
DataTableInterpolated(String name, DataTable.TableConvention convention, LocalDate referenceDate, SchedulePrototype scheduleMetaData)	Create an empty table.
DataTableInterpolated(String name, DataTable.TableConvention convention, LocalDate referenceDate, SchedulePrototype scheduleMetaData, int[] maturities, int[] terminations, double[] values)	Create a table.
DataTableInterpolated(String name, DataTable.TableConvention convention, LocalDate referenceDate, SchedulePrototype scheduleMetaData, List<Integer> maturities, List<Integer> terminations, List<Double> values)	Create a table.

Method Summary

Modifier and Type	Method	Description
DataTableInterpolated	clone()
double	getValue(double maturity, double termination)	Returns the value of the table at a given time.
double	getValue(int maturity, int termination)	Returns the value of the table at a given time.
static DataTableInterpolated	interpolateDataTable(DataTableBasic baseTable)	Create an interpolated table from a basic table.
String	toString()
String	toString(double unit)

Methods inherited from class net.finmath.singleswaprate.data.DataTableBasic

addPoint, addPoints, containsEntryFor, containsEntryFor, getConvention, getMaturities, getMaturitiesForTermination, getName, getReferenceDate, getScheduleMetaData, getTerminations, getTerminationsForMaturity, getValue, size, upgradeDataTableLight

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.singleswaprate.data.DataTable

addPoint, addPoints, containsEntryFor, containsEntryFor, getConvention, getMaturities, getMaturitiesForTermination, getName, getReferenceDate, getScheduleMetaData, getTerminations, getTerminationsForMaturity, size

Constructor Details

DataTableInterpolated

public DataTableInterpolated(String name,
 DataTable.TableConvention convention,
 LocalDate referenceDate,
 SchedulePrototype scheduleMetaData)

Create an empty table.

Parameters:

name - The name of the table.

convention - The convention of the table.

referenceDate - The referenceDate of the table.

scheduleMetaData - The schedule meta data of the table.

DataTableInterpolated

public DataTableInterpolated(String name,
 DataTable.TableConvention convention,
 LocalDate referenceDate,
 SchedulePrototype scheduleMetaData,
 int[] maturities,
 int[] terminations,
 double[] values)

Create a table.

Parameters:

name - The name of the table.

convention - The convention of the table.

referenceDate - The referenceDate of the table.

scheduleMetaData - The schedule meta data of the table.

maturities - The maturities of the points as offset with respect to the reference date.

terminations - The terminations of the points as offset with respect to the maturity date.

values - The values at the points.

DataTableInterpolated

public DataTableInterpolated(String name,
 DataTable.TableConvention convention,
 LocalDate referenceDate,
 SchedulePrototype scheduleMetaData,
 List<Integer> maturities,
 List<Integer> terminations,
 List<Double> values)

Create a table.

Parameters:

name - The name of the table.

convention - The convention of the table.

referenceDate - The referenceDate of the table.

scheduleMetaData - The schedule meta data of the table.

maturities - The maturities of the points as offset with respect to the reference date.

terminations - The terminations of the points as offset with respect to the maturity date.

values - The values at the points.

Method Details

interpolateDataTable

public static DataTableInterpolated interpolateDataTable(DataTableBasic baseTable)

Create an interpolated table from a basic table.

Parameters:

baseTable - The table to receive interpolation.

Returns:

The table with interpolation.

getValue

public double getValue(int maturity,
 int termination)

Description copied from interface: DataTable

Returns the value of the table at a given time. Interpolates if the table is set up to do so.

Specified by:

getValue in interface DataTable

Overrides:

getValue in class DataTableBasic

Parameters:

maturity - The maturity as offset with respect to the reference date.

termination - The termination as offset with respect to the maturity date.

Returns:

Value at the given time.

getValue

public double getValue(double maturity,
 double termination)

Description copied from interface: DataTable

Returns the value of the table at a given time. Interpolates if the table is set up to do so.

Specified by:

getValue in interface DataTable

Overrides:

getValue in class DataTableBasic

Parameters:

maturity - Maturity in double as year fraction with respect to reference date.

termination - Termination in double as year fraction with respect to reference date.

Returns:

Value at the given time.

clone

public DataTableInterpolated clone()

Specified by:

clone in interface DataTable

Overrides:

clone in class DataTableBasic

Returns:

A copy of the table.

toString

public String toString()

Overrides:

toString in class DataTableBasic

toString

public String toString(double unit)

Overrides:

toString in class DataTableBasic