finMath lib documentation
net.finmath.marketdata2.model

Interface AnalyticModel

• All Superinterfaces:
Cloneable, Model
All Known Implementing Classes:
AnalyticModelFromCurvesAndVols

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

All Methods
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.

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.

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.

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.

AnalyticModel addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)

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