net.finmath.smartcontract.simulation.scenariogeneration

Class IRCurveData

java.lang.Object

net.finmath.smartcontract.simulation.scenariogeneration.IRCurveData

public class IRCurveData
extends Object

A IRCurveData Class holds a Set of CalibrationDataPoints and its own curve key

Author:

Peter Kohl-Landgraf

Field Summary

Fields

Modifier and Type	Field and Description
Set<CalibrationDatapoint>	curveDataPointSet

Constructor Summary

Constructors

Constructor and Description
IRCurveData(String curveKey, Map<String,Map<String,Double>> typeCurveMap) CurveFromInterpolationPoints Key and Map will be provided.

Method Summary

Modifier and Type	Method and Description
Stream<CalibrationDatapoint>	getDataPointStreamForProductType(String productType) Returns Stream of calibration data points for a given product type

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

curveDataPointSet

public Set<CalibrationDatapoint> curveDataPointSet

Constructor Detail

IRCurveData

public IRCurveData(String curveKey,
                   Map<String,Map<String,Double>> typeCurveMap)

CurveFromInterpolationPoints Key and Map will be provided. Map maps Each productType (e.g. FRA/SWAP) to Map of MaturityKeys and Rates)

Parameters:

curveKey - Key identifying the curve.

typeCurveMap - Map from product type to a map of maturities to calibration data.

Method Detail

getDataPointStreamForProductType

public Stream<CalibrationDatapoint> getDataPointStreamForProductType(String productType)

Returns Stream of calibration data points for a given product type

Parameters:

productType - String identifying the product type.

Returns:

Stream of calibration data points.