net.finmath.analytic.model

Interface AnalyticModel

All Superinterfaces:

Cloneable, Model

All Known Implementing Classes:

AnalyticModelFromCuvesAndVols

public interface AnalyticModel
extends Model, Cloneable

A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
AnalyticModel	addCurve(String name, Curve curve) Add a reference to a given curve under a given name to this model.
AnalyticModel	addCurves(Curve... curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	addCurves(Set<Curve> curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces) Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModel	addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
AnalyticModel	clone()
AnalyticModel	getCloneForParameter(Map<ParameterObject,RandomVariable[]> curvesParameterPairs)
Curve	getCurve(String name) Get a curve by a given curve name.
Map<String,Curve>	getCurves() Returns an unmodifiable map of all curves.
DiscountCurveInterface	getDiscountCurve(String discountCurveName) Returns a discount curve for a given name.
ForwardCurveInterface	getForwardCurve(String forwardCurveName) Returns a forward curve for a given name.
RandomVariable	getRandomVariableForConstant(double value)
VolatilitySurface	getVolatilitySurface(String name) Returns a volatility surface for a given name.
Map<String,VolatilitySurface>	getVolatilitySurfaces() Returns an unmodifiable map of all volatility surfaces.
void	setCurve(Curve curve) Deprecated.

Method Detail

getRandomVariableForConstant

RandomVariable getRandomVariableForConstant(double value)

getCurve

Curve getCurve(String name)

Get a curve by a given curve name.

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

Map<String,Curve> getCurves()

Returns an unmodifiable map of all curves.

Returns:

Map of all curves.

addCurve

AnalyticModel addCurve(String name,
                       Curve curve)

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.

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.

addCurves

AnalyticModel addCurves(Curve... curves)

Create a new analytic model consisting of a clone of this one together with the given curves added.

Parameters:

curves - The set of curves to add.

Returns:

A new analytic model.

addCurves

AnalyticModel addCurves(Set<Curve> curves)

Create a new analytic model consisting of a clone of this one together with the given curves added.

Parameters:

curves - The list of curves to add.

Returns:

A new analytic model.

setCurve

@Deprecated
void setCurve(Curve curve)

Deprecated.

getDiscountCurve

DiscountCurveInterface getDiscountCurve(String discountCurveName)

Returns a discount curve for a given name.

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

ForwardCurveInterface getForwardCurve(String forwardCurveName)

Returns a forward curve for a given name.

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

VolatilitySurface getVolatilitySurface(String name)

Returns a volatility surface for a given name.

Parameters:

name - THe name of the requested surface.

Returns:

The volatility surface corresponding to the name.

getVolatilitySurfaces

Map<String,VolatilitySurface> getVolatilitySurfaces()

Returns an unmodifiable map of all volatility surfaces.

Returns:

Map of all volatility surfaces.

addVolatilitySurfaces

AnalyticModel addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)

addVolatilitySurfaces

AnalyticModel addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)

Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.

Parameters:

volatilitySurfaces - The list of volatility surfaces to add.

Returns:

A new analytic model.

clone

AnalyticModel clone()

getCloneForParameter

AnalyticModel getCloneForParameter(Map<ParameterObject,RandomVariable[]> curvesParameterPairs)
                            throws CloneNotSupportedException

Throws:

CloneNotSupportedException