Module net.finmath.lib
Package net.finmath.marketdata.model

Class AnalyticModelFromCurvesAndVols

java.lang.Object
net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
All Implemented Interfaces:
Serializable, Cloneable, AnalyticModel, Model
Direct Known Subclasses:
AnalyticModelFactory.DescribedAnalyticModel, AnalyticModelWithVolatilityCubes
public class AnalyticModelFromCurvesAndVols extends Object implements AnalyticModel, Serializable, Cloneable
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves"). This can be seen as a model to be used in analytic pricing formulas - hence this class is termed AnalyticModelFromCurvesAndVols.
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols()
      Create an empty analytic model.

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(LocalDate referenceDate)
      Create an empty analytic model for a specified date.
      Parameters:
      referenceDate - The reference date that should be used for all curves and surfaces of this model.

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(Curve[] curves)
      Create an analytic model with the given curves.
      Parameters:
      curves - The vector of curves.

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(Collection<Curve> curves)
      Create an analytic model with the given curves.
      Parameters:
      curves - A collection of curves.

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Curve[] curves)
      Create an analytic model with the given curves for the specified reference date.
      Parameters:
      referenceDate - The reference date that should be used for all curves and surfaces of this model.
      curves - The vector of curves.

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Collection<Curve> curves)
      Create an analytic model with the given curves for the specified reference date.
      Parameters:
      referenceDate - The reference date that should be used for all curves and surfaces of this model.
      curves - A collection of curves.

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)
      Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
      Parameters:
      referenceDate - The reference date that should be used for all curves and surfaces of this model.
      curvesMap - A map containing all curves, together with their names they should have in the model.
      volatilitySurfaceMap - A map containing all volatility surfaces, together with their names they should have in the model.

  • Method Details

    • getCurve

      public Curve getCurve(String name)
      Description copied from interface: AnalyticModel
      Get a curve by a given curve name.
      Specified by:
      getCurve in interface AnalyticModel
      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

      public Map<String,Curve> getCurves()
      Description copied from interface: AnalyticModel
      Returns an unmodifiable map of all curves.
      Specified by:
      getCurves in interface AnalyticModel
      Returns:
      Map of all curves.

    • addCurve

      public AnalyticModel addCurve(String name, Curve curve)
      Description copied from interface: AnalyticModel
      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.
      Specified by:
      addCurve in interface AnalyticModel
      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.

    • addCurve

      public AnalyticModel addCurve(Curve curve)

    • addCurves

      public AnalyticModel addCurves(Curve... curves)
      Description copied from interface: AnalyticModel
      Create a new analytic model consisting of a clone of this one together with the given curves added.
      Specified by:
      addCurves in interface AnalyticModel
      Parameters:
      curves - The set of curves to add.
      Returns:
      A new analytic model.

    • addCurves

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

    • getDiscountCurve

      public DiscountCurve getDiscountCurve(String discountCurveName)
      Description copied from interface: AnalyticModel
      Returns a discount curve for a given name.
      Specified by:
      getDiscountCurve in interface AnalyticModel
      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

      public ForwardCurve getForwardCurve(String forwardCurveName)
      Description copied from interface: AnalyticModel
      Returns a forward curve for a given name.
      Specified by:
      getForwardCurve in interface AnalyticModel
      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

      public VolatilitySurface getVolatilitySurface(String name)
      Description copied from interface: AnalyticModel
      Returns a volatility surface for a given name.
      Specified by:
      getVolatilitySurface in interface AnalyticModel
      Parameters:
      name - THe name of the requested surface.
      Returns:
      The volatility surface corresponding to the name.

    • getVolatilitySurfaces

      public Map<String,VolatilitySurface> getVolatilitySurfaces()
      Description copied from interface: AnalyticModel
      Returns an unmodifiable map of all volatility surfaces.
      Specified by:
      getVolatilitySurfaces in interface AnalyticModel
      Returns:
      Map of all volatility surfaces.

    • addVolatilitySurface

      public AnalyticModel addVolatilitySurface(VolatilitySurface volatilitySurface)

    • addVolatilitySurfaces

      public AnalyticModel addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
      Description copied from interface: AnalyticModel
      Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
      Specified by:
      addVolatilitySurfaces in interface AnalyticModel
      Parameters:
      volatilitySurfaces - The list of volatility surfaces to add.
      Returns:
      A new analytic model.

    • addVolatilitySurfaces

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

    • clone

      public AnalyticModelFromCurvesAndVols clone()
      Specified by:
      clone in interface AnalyticModel
      Overrides:
      clone in class Object

    • getCloneForParameter

      public AnalyticModel getCloneForParameter(Map<ParameterObject,double[]> curveParameterPairs) throws CloneNotSupportedException
      Specified by:
      getCloneForParameter in interface AnalyticModel
      Throws:
      CloneNotSupportedException

    • toString

      public String toString()
      Overrides:
      toString in class Object

    • getReferenceDate

      public LocalDate getReferenceDate()
      Returns the reference date of the curves of this model.
      Returns:
      The reference date of the model.