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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 28.11.2012
*/
package net.finmath.marketdata2.model;
import java.io.Serializable;
import java.util.Collection;
import java.util.Collections;
import java.util.HashMap;
import java.util.Map;
import java.util.Map.Entry;
import java.util.Set;
import net.finmath.marketdata2.calibration.ParameterObject;
import net.finmath.marketdata2.model.curves.Curve;
import net.finmath.marketdata2.model.curves.DiscountCurveInterface;
import net.finmath.marketdata2.model.curves.ForwardCurveInterface;
import net.finmath.marketdata2.model.volatilities.VolatilitySurface;
import net.finmath.montecarlo.RandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFromArrayFactory;
import net.finmath.stochastic.RandomVariable;
/**
* Implements a collection of market data objects (e.g., discount curves, forward curve)
* which provide interpolation of market data or other derived quantities
* ("calibrated curves"). This can be seen as a model to be used in analytic pricing
* formulas - hence this class is termed AnalyticModelFromCuvesAndVols.
*
* @author Christian Fries
* @version 1.0
*/
public class AnalyticModelFromCurvesAndVols implements AnalyticModel, Serializable, Cloneable {
/**
*
*/
private static final long serialVersionUID = -1551367852009541732L;
private final RandomVariableFactory randomVariableFactory;
private final Map curvesMap = new HashMap<>();
private final Map volatilitySurfaceMap = new HashMap<>();
/**
* Create an empty analytic model.
*/
public AnalyticModelFromCurvesAndVols() {
randomVariableFactory = new RandomVariableFromArrayFactory();
}
/**
* Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
*
* @param randomVariableFactory given AbstractRandomVariableFactory for construction of result types.
*/
public AnalyticModelFromCurvesAndVols(final RandomVariableFactory randomVariableFactory) {
this.randomVariableFactory = randomVariableFactory;
}
/**
* Create an analytic model with the given curves.
*
* @param curves The vector of curves.
*/
public AnalyticModelFromCurvesAndVols(final Curve[] curves) {
this();
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
}
}
/**
* Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.
*
* @param randomVariableFactory given AbstractRandomVariableFactory for construction of result types.
* @param curves The vector of curves.
*/
public AnalyticModelFromCurvesAndVols(final RandomVariableFactory randomVariableFactory, final Curve[] curves) {
this(randomVariableFactory);
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
}
}
/**
* Create an analytic model with the given curves.
*
* @param curves A collection of curves.
*/
public AnalyticModelFromCurvesAndVols(final Collection curves) {
this();
for(final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
}
}
@Override
public RandomVariable getRandomVariableForConstant(final double value) {
return randomVariableFactory.createRandomVariable(value);
}
@Override
public Curve getCurve(final String name)
{
return curvesMap.get(name);
}
@Override
public Map getCurves()
{
return Collections.unmodifiableMap(curvesMap);
}
@Override
public AnalyticModel addCurve(final String name, final Curve curve) {
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.curvesMap.put(name, curve);
return newModel;
}
public AnalyticModel addCurve(final Curve curve) {
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.curvesMap.put(curve.getName(), curve);
return newModel;
}
@Override
public AnalyticModel addCurves(final Curve... curves) {
final AnalyticModelFromCurvesAndVols newModel = clone();
for(final Curve curve : curves) {
newModel.curvesMap.put(curve.getName(), curve);
}
return newModel;
}
@Override
public AnalyticModel addCurves(final Set curves) {
final AnalyticModelFromCurvesAndVols newModel = clone();
for(final Curve curve : curves) {
newModel.curvesMap.put(curve.getName(), curve);
}
return newModel;
}
/**
* @deprecated This class will become immutable. Use addCurve instead.
*/
@Override
@Deprecated
public void setCurve(final Curve curve)
{
curvesMap.put(curve.getName(), curve);
}
/**
* Set some curves.
*
* @param curves Array of curves to set.
* @deprecated This class will become immutable. Use addCurve instead.
*/
@Deprecated
public void setCurves(final Curve[] curves) {
for(final Curve curve : curves) {
setCurve(curve);
}
}
@Override
public DiscountCurveInterface getDiscountCurve(final String discountCurveName) {
DiscountCurveInterface discountCurve = null;
final Curve curve = getCurve(discountCurveName);
if(DiscountCurveInterface.class.isInstance(curve)) {
discountCurve = (DiscountCurveInterface)curve;
}
return discountCurve;
}
@Override
public ForwardCurveInterface getForwardCurve(final String forwardCurveName) {
ForwardCurveInterface forwardCurve = null;
final Curve curve = getCurve(forwardCurveName);
if(ForwardCurveInterface.class.isInstance(curve)) {
forwardCurve = (ForwardCurveInterface)curve;
}
return forwardCurve;
}
@Override
public VolatilitySurface getVolatilitySurface(final String name) {
return volatilitySurfaceMap.get(name);
}
@Override
public Map getVolatilitySurfaces() {
return Collections.unmodifiableMap(volatilitySurfaceMap);
}
public AnalyticModel addVolatilitySurface(final VolatilitySurface volatilitySurface)
{
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.volatilitySurfaceMap.put(volatilitySurface.getName(), volatilitySurface);
return newModel;
}
@Override
public AnalyticModel addVolatilitySurfaces(final VolatilitySurface... volatilitySurfaces)
{
final AnalyticModelFromCurvesAndVols newModel = clone();
for(final VolatilitySurface volatilitySurface : volatilitySurfaces) {
newModel.volatilitySurfaceMap.put(volatilitySurface.getName(), volatilitySurface);
}
return newModel;
}
@Override
public AnalyticModel addVolatilitySurfaces(final Set volatilitySurfaces) {
final AnalyticModelFromCurvesAndVols newModel = clone();
for(final VolatilitySurface volatilitySurface : volatilitySurfaces) {
newModel.volatilitySurfaceMap.put(volatilitySurface.getName(), volatilitySurface);
}
return newModel;
}
private void setVolatilitySurface(final VolatilitySurface volatilitySurface)
{
volatilitySurfaceMap.put(volatilitySurface.getName(), volatilitySurface);
}
private void set(final Object marketDataObject) {
if(marketDataObject instanceof Curve) {
setCurve((Curve)marketDataObject);
} else if(marketDataObject instanceof VolatilitySurface) {
setVolatilitySurface((VolatilitySurface)marketDataObject);
} else {
throw new IllegalArgumentException("Provided object is not of supported type.");
}
}
@Override
public AnalyticModelFromCurvesAndVols clone()
{
final AnalyticModelFromCurvesAndVols newModel = new AnalyticModelFromCurvesAndVols();
newModel.curvesMap.putAll(curvesMap);
newModel.volatilitySurfaceMap.putAll(volatilitySurfaceMap);
return newModel;
}
@Override
public AnalyticModel getCloneForParameter(final Map curveParameterPairs) throws CloneNotSupportedException {
// Build the modified clone of this model
final AnalyticModelFromCurvesAndVols modelClone = clone();
// Add modified clones of curves to model clone
if(curveParameterPairs != null) {
for(final Entry curveParameterPair : curveParameterPairs.entrySet()) {
final ParameterObject newCurve = curveParameterPair.getKey().getCloneForParameter(curveParameterPair.getValue());
modelClone.set(newCurve);
}
}
return modelClone;
}
@Override
public String toString() {
return "AnalyticModelFromCuvesAndVols: curves=" + curvesMap.keySet();
}
}