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

Class PiecewiseCurve

java.lang.Object
net.finmath.marketdata.model.curves.AbstractCurve
net.finmath.marketdata.model.curves.PiecewiseCurve
All Implemented Interfaces:
Serializable, Cloneable, ParameterObject, Curve
Direct Known Subclasses:
ForwardCurveWithFixings
public class PiecewiseCurve extends AbstractCurve implements Curve
A piecewise curve. The curve consists of a base curve and a second curve. If the time parameter of the getValue(AnalyticModel, double) method falls inside a pre-defined open interval, it is delegated to the second curve, otherwise it is delegated to the base curve.
Version:
1.0
Author:
Christian Fries
See Also:

  • Constructor Details

    • PiecewiseCurve

      public PiecewiseCurve(Curve curve, Curve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime)

  • Method Details

    • getParameter

      public double[] getParameter()
      Description copied from interface: ParameterObject
      Get the current parameter associated with the state of the objects.
      Specified by:
      getParameter in interface ParameterObject
      Returns:
      The parameter.

    • setParameter

      public void setParameter(double[] parameter)
      Description copied from interface: ParameterObject
      Set the current parameter and change the state of the objects.
      Specified by:
      setParameter in interface ParameterObject
      Parameters:
      parameter - The parameter associated with the new state of the objects.

    • getName

      public String getName()
      Description copied from interface: Curve
      Get the name of the curve.
      Specified by:
      getName in interface Curve
      Overrides:
      getName in class AbstractCurve
      Returns:
      The name of this curve

    • getReferenceDate

      public LocalDate getReferenceDate()
      Description copied from interface: Curve
      Return the reference date of this curve, i.e. the date associated with t=0. May be null in case the curve is not associated with a fixed date (e.g. a time homogenous model).
      Specified by:
      getReferenceDate in interface Curve
      Overrides:
      getReferenceDate in class AbstractCurve
      Returns:
      The date identified as t=0.

    • getBaseCurve

      public Curve getBaseCurve()
      Returns:
      the baseCurve

    • getFixedPartCurve

      public Curve getFixedPartCurve()
      Returns:
      the fixedPartCurve

    • getFixedPartStartTime

      public double getFixedPartStartTime()
      Returns:
      the fixedPartStartTime

    • getFixedPartEndTime

      public double getFixedPartEndTime()
      Returns:
      the fixedPartEndTime

    • getValue

      public double getValue(double time)
      Description copied from interface: Curve
      Returns the value for the time using the interpolation method associated with this curve.
      Specified by:
      getValue in interface Curve
      Overrides:
      getValue in class AbstractCurve
      Parameters:
      time - Time for which the value should be returned.
      Returns:
      The value at the give time.

    • getValue

      public double getValue(AnalyticModel model, double time)
      Description copied from interface: Curve
      Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model. The model (context) is needed only if the curve relies on another curve. Examples are a forward curve which relies on a discount curve or a discount curve which is defined via a spread over another curve.
      Specified by:
      getValue in interface Curve
      Parameters:
      model - An analytic model providing a context.
      time - Time for which the value should be returned.
      Returns:
      The value at the give time.

    • getCloneForParameter

      public Curve getCloneForParameter(double[] value) throws CloneNotSupportedException
      Description copied from interface: ParameterObject
      Create a clone with a modified parameter.
      Specified by:
      getCloneForParameter in interface Curve
      Specified by:
      getCloneForParameter in interface ParameterObject
      Overrides:
      getCloneForParameter in class AbstractCurve
      Parameters:
      value - The new parameter.
      Returns:
      A clone with an otherwise modified parameter.
      Throws:
      CloneNotSupportedException - Thrown, when the curve could not be cloned.

    • clone

      public PiecewiseCurve clone() throws CloneNotSupportedException
      Description copied from interface: Curve
      Create a deep copied clone.
      Specified by:
      clone in interface Curve
      Overrides:
      clone in class AbstractCurve
      Returns:
      A clone (deep copied).
      Throws:
      CloneNotSupportedException - Thrown, when the curve could not be cloned.

    • getCloneBuilder

      public PiecewiseCurve.Builder getCloneBuilder() throws CloneNotSupportedException
      Description copied from interface: Curve
      Returns a curve builder bases on a clone of this curve. Using that curve builder you may create a new curve from this curve by adding points or changing properties. Note: The clone has the same name than this one.
      Specified by:
      getCloneBuilder in interface Curve
      Returns:
      An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.
      Throws:
      CloneNotSupportedException - Thrown, when this curve could not be cloned.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractCurve