net.finmath.marketdata.model.curves

Class DiscountCurveFromProductOfCurves

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves

All Implemented Interfaces:

java.io.Serializable, java.lang.Cloneable, ParameterObjectInterface, CurveInterface, DiscountCurveInterface

public class DiscountCurveFromProductOfCurves
extends AbstractCurve
implements java.io.Serializable, DiscountCurveInterface

A discount curve derived from other discount curves by multiplying the discount factors.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
DiscountCurveFromProductOfCurves(java.lang.String name, java.util.Calendar referenceDate, DiscountCurveInterface... curves) Create a discount curve using one or more curves.

Method Summary

Modifier and Type	Method and Description
CurveBuilderInterface	getCloneBuilder() Returns a curve builder bases on a clone of this curve.
double	getDiscountFactor(AnalyticModelInterface model, double maturity) Returns the discount factor for the corresponding maturity.
double	getDiscountFactor(double maturity) Returns the discount factor for the corresponding maturity.
double[]	getParameter() Get the current parameter associated with the state of the objects.
double	getValue(AnalyticModelInterface model, double time) Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
void	setParameter(double[] parameter) Set the current parameter and change the state of the objects.

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

clone, getCloneForParameter, getName, getReferenceDate, getValue, getValues, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.marketdata.model.curves.CurveInterface

clone, getCloneForParameter, getName, getReferenceDate, getValue

Constructor Detail

DiscountCurveFromProductOfCurves

public DiscountCurveFromProductOfCurves(java.lang.String name,
                                        java.util.Calendar referenceDate,
                                        DiscountCurveInterface... curves)

Create a discount curve using one or more curves.

Parameters:

name - The name of this curve.

referenceDate - The reference date of this curve.

curves - Argument list or array of curves.

Method Detail

getDiscountFactor

public double getDiscountFactor(double maturity)

Description copied from interface: DiscountCurveInterface

Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.

Specified by:

getDiscountFactor in interface DiscountCurveInterface

Parameters:

maturity - The maturity for which the discount factor is requested.

Returns:

The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.

getDiscountFactor

public double getDiscountFactor(AnalyticModelInterface model,
                                double maturity)

Description copied from interface: DiscountCurveInterface

Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.

Specified by:

getDiscountFactor in interface DiscountCurveInterface

Parameters:

model - An analytic model providing a context. Some curves do not need this (can be null).

maturity - The maturity for which the discount factor is requested.

Returns:

The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.

getValue

public double getValue(AnalyticModelInterface model,
                       double time)

Description copied from interface: CurveInterface

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 CurveInterface

Parameters:

model - An analytic model providing a context.

time - Time for which the value should be returned.

Returns:

The value at the give time.

getParameter

public double[] getParameter()

Description copied from interface: ParameterObjectInterface

Get the current parameter associated with the state of the objects.

Specified by:

getParameter in interface ParameterObjectInterface

Returns:

The parameter.

setParameter

public void setParameter(double[] parameter)

Description copied from interface: ParameterObjectInterface

Set the current parameter and change the state of the objects.

Specified by:

setParameter in interface ParameterObjectInterface

Parameters:

parameter - The parameter associated with the new state of the objects.

getCloneBuilder

public CurveBuilderInterface getCloneBuilder()
                                      throws java.lang.CloneNotSupportedException

Description copied from interface: CurveInterface

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 CurveInterface

Returns:

An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.

Throws:

java.lang.CloneNotSupportedException - Thrown, when this curve could not be cloned.