Module net.finmath.lib

Package net.finmath.singleswaprate.model

Class AnalyticModelWithVolatilityCubes

java.lang.Object

net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols

net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes

All Implemented Interfaces:

Serializable, Cloneable, AnalyticModel, Model, VolatilityCubeModel

public class AnalyticModelWithVolatilityCubes
extends AnalyticModelFromCurvesAndVols
implements VolatilityCubeModel, Cloneable

Implementation of VolatilityCubeModel based on AnalyticModelFromCurvesAndVols.

Author:

Christian Fries, Roland Bachl

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
AnalyticModelWithVolatilityCubes()	Create an empty analytic model.
AnalyticModelWithVolatilityCubes(LocalDate referenceDate)	Create an empty analytic model for a specified date.
AnalyticModelWithVolatilityCubes(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap, Map<String,VolatilityCube> volatilityCubeMap)	Create an analytic model for the specified reference date, together with curves as well as volatility surfaces and cubes, each with their specific name.

Method Summary

Modifier and Type	Method	Description
VolatilityCubeModel	addVolatilityCube(String volatilityCubeName, VolatilityCube volatilityCube)	Add a reference to the given volatility cube to this model under the name provided.
VolatilityCubeModel	addVolatilityCube(VolatilityCube volatilityCube)	Add a reference to the given volatility cube to this model.
AnalyticModelWithVolatilityCubes	clone()
VolatilityCube	getVolatilityCube(String name)	Get a volatility cube by a given name.
Set<String>	getVolatilityCubeNames()	Return a Set view of all volatility cubes of this model.
Map<String,VolatilityCube>	getVolatilityCubes()	Returns an unmodifiable map of all volatility cubes in the model.
String	toString()

Methods inherited from class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols

addCurve, addCurve, addCurves, addCurves, addVolatilitySurface, addVolatilitySurfaces, addVolatilitySurfaces, getCloneForParameter, getCurve, getCurves, getDiscountCurve, getForwardCurve, getReferenceDate, getVolatilitySurface, getVolatilitySurfaces

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.marketdata.model.AnalyticModel

addCurve, addCurves, addCurves, addVolatilitySurfaces, addVolatilitySurfaces, getCloneForParameter, getCurve, getCurves, getDiscountCurve, getForwardCurve, getVolatilitySurface, getVolatilitySurfaces

Constructor Details

AnalyticModelWithVolatilityCubes

public AnalyticModelWithVolatilityCubes()

Create an empty analytic model.

AnalyticModelWithVolatilityCubes

public AnalyticModelWithVolatilityCubes(LocalDate referenceDate)

Create an empty analytic model for a specified date.

Parameters:

referenceDate - The reference date the curves of this model should match.

AnalyticModelWithVolatilityCubes

public AnalyticModelWithVolatilityCubes(LocalDate referenceDate,
 Map<String,Curve> curvesMap,
 Map<String,VolatilitySurface> volatilitySurfaceMap,
 Map<String,VolatilityCube> volatilityCubeMap)

Create an analytic model for the specified reference date, together with curves as well as volatility surfaces and cubes, 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.

volatilityCubeMap - A map containing all volatility cubes, together with their names they should have in the model.

Method Details

getVolatilityCube

public VolatilityCube getVolatilityCube(String name)

Description copied from interface: VolatilityCubeModel

Get a volatility cube by a given name.

Specified by:

getVolatilityCube in interface VolatilityCubeModel

Parameters:

name - The name of the volatility cube.

Returns:

The cube with the corresponding name, given that it is part of this model, otherwise null is return.

addVolatilityCube

public VolatilityCubeModel addVolatilityCube(VolatilityCube volatilityCube)

Description copied from interface: VolatilityCubeModel

Add a reference to the given volatility cube to this model.

Specified by:

addVolatilityCube in interface VolatilityCubeModel

Parameters:

volatilityCube - The cube.

Returns:

A clone of this model, with the given cube added or overwritten.

addVolatilityCube

public VolatilityCubeModel addVolatilityCube(String volatilityCubeName,
 VolatilityCube volatilityCube)

Description copied from interface: VolatilityCubeModel

Add a reference to the given volatility cube to this model under the name provided.

Specified by:

addVolatilityCube in interface VolatilityCubeModel

Parameters:

volatilityCubeName - The name under which this cube is to known in the model.

volatilityCube - The cube.

Returns:

A clone of this model, with the given cube added or overwritten under the name provided.

clone

public AnalyticModelWithVolatilityCubes clone()

Specified by:

clone in interface AnalyticModel

Overrides:

clone in class AnalyticModelFromCurvesAndVols

toString

public String toString()

Overrides:

toString in class AnalyticModelFromCurvesAndVols

getVolatilityCubeNames

public Set<String> getVolatilityCubeNames()

Description copied from interface: VolatilityCubeModel

Return a Set view of all volatility cubes of this model.

Specified by:

getVolatilityCubeNames in interface VolatilityCubeModel

Returns:

The set containing all names of volatility cubes referenced in this model.

getVolatilityCubes

public Map<String,VolatilityCube> getVolatilityCubes()

Description copied from interface: VolatilityCubeModel

Returns an unmodifiable map of all volatility cubes in the model.

Specified by:

getVolatilityCubes in interface VolatilityCubeModel

Returns:

Map of all volatility cubes.