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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.marketdata.model;
import java.io.Serializable;
import java.time.LocalDate;
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.marketdata.calibration.ParameterObject;
import net.finmath.marketdata.model.curves.Curve;
import net.finmath.marketdata.model.curves.DiscountCurve;
import net.finmath.marketdata.model.curves.ForwardCurve;
import net.finmath.marketdata.model.volatilities.VolatilitySurface;
/**
* 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 AnalyticModelFromCurvesAndVols.
*
* @author Christian Fries
* @version 1.0
*/
public class AnalyticModelFromCurvesAndVols implements AnalyticModel, Serializable, Cloneable {
private static final long serialVersionUID = 6906386712907555046L;
private final LocalDate referenceDate;
private final Map curvesMap = new HashMap<>();
private final Map volatilitySurfaceMap = new HashMap<>();
/**
* Create an empty analytic model.
*/
public AnalyticModelFromCurvesAndVols() {
referenceDate = null;
}
/**
* Create an empty analytic model for a specified date.
*
* @param referenceDate The reference date that should be used for all curves and surfaces of this model.
*/
public AnalyticModelFromCurvesAndVols(final LocalDate referenceDate) {
this.referenceDate = referenceDate;
}
/**
* Create an analytic model with the given curves.
*
* @param curves The vector of curves.
*/
public AnalyticModelFromCurvesAndVols(final Curve[] curves) {
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
}
referenceDate = null;
}
/**
* Create an analytic model with the given curves.
*
* @param curves A collection of curves.
*/
public AnalyticModelFromCurvesAndVols(final Collection curves) {
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
}
referenceDate = null;
}
/**
* Create an analytic model with the given curves for the specified reference date.
*
* @param referenceDate The reference date that should be used for all curves and surfaces of this model.
* @param curves The vector of curves.
*/
public AnalyticModelFromCurvesAndVols(final LocalDate referenceDate, final Curve[] curves) {
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
final LocalDate curveDate = curve.getReferenceDate();
if(referenceDate != null && curveDate != null && ! referenceDate.equals(curveDate)) {
throw new IllegalArgumentException("Reference date of curve "+curve.getName()+" does not match the reference date of the model.");
}
}
this.referenceDate = referenceDate;
}
/**
* Create an analytic model with the given curves for the specified reference date.
*
* @param referenceDate The reference date that should be used for all curves and surfaces of this model.
* @param curves A collection of curves.
*/
public AnalyticModelFromCurvesAndVols(final LocalDate referenceDate, final Collection curves) {
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
final LocalDate curveDate = curve.getReferenceDate();
if(referenceDate != null && curveDate != null && ! referenceDate.equals(curveDate)) {
throw new IllegalArgumentException("Reference date of curve "+curve.getName()+" does not match the reference date of the model.");
}
}
this.referenceDate = referenceDate;
}
/**
* Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
*
* @param referenceDate The reference date that should be used for all curves and surfaces of this model.
* @param curvesMap A map containing all curves, together with their names they should have in the model.
* @param volatilitySurfaceMap A map containing all volatility surfaces, together with their names they should have in the model.
*/
public AnalyticModelFromCurvesAndVols(final LocalDate referenceDate, final Map curvesMap, final Map volatilitySurfaceMap) {
this(referenceDate);
this.curvesMap.putAll(curvesMap);
this.volatilitySurfaceMap.putAll(volatilitySurfaceMap);
}
@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 LocalDate curveDate = curve.getReferenceDate();
if(referenceDate != null && curveDate != null && ! referenceDate.equals(curveDate)) {
throw new IllegalArgumentException("Reference date of curve does not match reference date of model.");
}
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.curvesMap.put(name, curve);
return newModel;
}
public AnalyticModel addCurve(final Curve curve) {
final LocalDate curveDate = curve.getReferenceDate();
if(referenceDate != null && curveDate != null && ! referenceDate.equals(curveDate)) {
throw new IllegalArgumentException("Reference date of curve does not match reference date of model.");
}
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.curvesMap.put(curve.getName(), curve);
return newModel;
}
@Override
public AnalyticModel addCurves(final Curve... curves) {
final Map curvesMap = new HashMap<>();
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
final LocalDate curveDate = curve.getReferenceDate();
if(referenceDate != null && curveDate != null && ! referenceDate.equals(curveDate) ) {
throw new IllegalArgumentException("Reference date of curve "+curve.getName()+" does not match the reference date of the model.");
}
}
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.curvesMap.putAll(curvesMap);
return newModel;
}
@Override
public AnalyticModel addCurves(final Set curves) {
final Map curvesMap = new HashMap<>();
for (final Curve curve : curves) {
curvesMap.put(curve.getName(), curve);
final LocalDate curveDate = curve.getReferenceDate();
if(referenceDate != null && curveDate != null && ! referenceDate.equals(curveDate) ) {
throw new IllegalArgumentException("Reference date of curve "+curve.getName()+" does not match the reference date of the model.");
}
}
final AnalyticModelFromCurvesAndVols newModel = clone();
newModel.curvesMap.putAll(curvesMap);
return newModel;
}
@Override
public DiscountCurve getDiscountCurve(final String discountCurveName) {
DiscountCurve discountCurve = null;
final Curve curve = getCurve(discountCurveName);
if(DiscountCurve.class.isInstance(curve)) {
discountCurve = (DiscountCurve)curve;
}
return discountCurve;
}
@Override
public ForwardCurve getForwardCurve(final String forwardCurveName) {
ForwardCurve forwardCurve = null;
final Curve curve = getCurve(forwardCurveName);
if(ForwardCurve.class.isInstance(curve)) {
forwardCurve = (ForwardCurve)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 LocalDate surfaceDate = volatilitySurface.getReferenceDate();
if(referenceDate != null && surfaceDate != null && ! referenceDate.equals(surfaceDate)) {
throw new IllegalArgumentException("Reference date of surface does not match reference date of model.");
}
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);
final LocalDate surfaceDate = volatilitySurface.getReferenceDate();
if(referenceDate != null && surfaceDate != null && ! referenceDate.equals(surfaceDate) ) {
throw new IllegalArgumentException("Reference date of surface "+volatilitySurface.getName()+" does not match the reference date of the model.");
}
}
return newModel;
}
@Override
public AnalyticModel addVolatilitySurfaces(final Set volatilitySurfaces) {
final AnalyticModelFromCurvesAndVols newModel = clone();
for(final VolatilitySurface volatilitySurface : volatilitySurfaces) {
newModel.volatilitySurfaceMap.put(volatilitySurface.getName(), volatilitySurface);
final LocalDate surfaceDate = volatilitySurface.getReferenceDate();
if(referenceDate != null && surfaceDate != null && ! referenceDate.equals(surfaceDate) ) {
throw new IllegalArgumentException("Reference date of surface "+volatilitySurface.getName()+" does not match the reference date of the model.");
}
}
return newModel;
}
private void setCurve(final Curve curve)
{
curvesMap.put(curve.getName(), curve);
}
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(referenceDate);
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 "AnalyticModelFromCurvesAndVols: referenceDate=" + referenceDate + ", curves=" + curvesMap.keySet() + ", volatilitySurfaces=" + volatilitySurfaceMap.keySet();
}
/**
* Returns the reference date of the curves of this model.
*
* @return The reference date of the model.
*/
public LocalDate getReferenceDate() {
return referenceDate;
}
}