net.finmath.marketdata.model.curves

Class AbstractForwardCurve

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.Curve

net.finmath.marketdata.model.curves.AbstractForwardCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObjectInterface, CurveInterface, ForwardCurveInterface

Direct Known Subclasses:

ForwardCurve, ForwardCurveFromDiscountCurve

public abstract class AbstractForwardCurve
extends Curve
implements ForwardCurveInterface

Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.marketdata.model.curves.Curve

Curve.CurveBuilder, Curve.ExtrapolationMethod, Curve.InterpolationEntity, Curve.InterpolationMethod

Field Summary

Fields

Modifier and Type	Field and Description
protected String	discountCurveName
protected BusinessdayCalendarInterface	paymentBusinessdayCalendar
protected BusinessdayCalendarInterface.DateRollConvention	paymentDateRollConvention
protected String	paymentOffsetCode

Constructor Summary

Constructors

Constructor and Description
AbstractForwardCurve(String name, Calendar referenceDate, double paymentOffset, String discountCurveName) /** Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String name, Calendar referenceDate, String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String name, Calendar referenceDate, String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.

Method Summary

Modifier and Type	Method and Description
String	getDiscountCurveName() Returns the name of the discount curve associated with this forward curve.
double[]	getForwards(AnalyticModelInterface model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double	getPaymentOffset(double fixingTime) Returns the payment offset associated with this forward curve and a corresponding fixingTime.

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

addPoint, clone, getCloneBuilder, getCloneForParameter, getExtrapolationMethod, getInterpolationEntity, getInterpolationMethod, getParameter, getParameterIndex, getTimeIndex, getValue, getValue, setParameter, toString

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

getName, getReferenceDate, getValues

Methods inherited from class java.lang.Object

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

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

getForward, getForward

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

clone, getCloneBuilder, getCloneForParameter, getName, getReferenceDate, getValue, getValue

Methods inherited from interface net.finmath.marketdata.calibration.ParameterObjectInterface

getParameter, setParameter

Field Detail

discountCurveName

protected final String discountCurveName

paymentOffsetCode

protected final String paymentOffsetCode

paymentBusinessdayCalendar

protected final BusinessdayCalendarInterface paymentBusinessdayCalendar

paymentDateRollConvention

protected final BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention

Constructor Detail

AbstractForwardCurve

public AbstractForwardCurve(String name,
                            Calendar referenceDate,
                            String paymentOffsetCode,
                            BusinessdayCalendarInterface paymentBusinessdayCalendar,
                            BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention,
                            Curve.InterpolationMethod interpolationMethod,
                            Curve.ExtrapolationMethod extrapolationMethod,
                            Curve.InterpolationEntity interpolationEntity,
                            String discountCurveName)

Construct a base forward curve with a reference date and a payment offset.

Parameters:

name - The name of this curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

paymentOffsetCode - The maturity of the index modeled by this curve.

paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.

paymentDateRollConvention - The date roll convention used for adjusting the payment date.

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation mehtod used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

AbstractForwardCurve

public AbstractForwardCurve(String name,
                            Calendar referenceDate,
                            String paymentOffsetCode,
                            BusinessdayCalendarInterface paymentBusinessdayCalendar,
                            BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention,
                            String discountCurveName)

Construct a base forward curve with a reference date and a payment offset.

Parameters:

name - The name of this curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

paymentOffsetCode - The maturity of the index modeled by this curve.

paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.

paymentDateRollConvention - The date roll convention used for adjusting the payment date.

discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

AbstractForwardCurve

public AbstractForwardCurve(String name,
                            Calendar referenceDate,
                            double paymentOffset,
                            String discountCurveName)

/** Construct a base forward curve with a reference date and a payment offset.

Parameters:

name - The name of this curve.

referenceDate - The reference date for this code, i.e., the date which defined t=0.

paymentOffset - The maturity of the index modeled by this curve.

discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

Method Detail

getDiscountCurveName

public String getDiscountCurveName()

Description copied from interface: ForwardCurveInterface

Returns the name of the discount curve associated with this forward curve.

Specified by:

getDiscountCurveName in interface ForwardCurveInterface

Returns:

The name of the discount curve associated with this forward curve.

getPaymentOffset

public double getPaymentOffset(double fixingTime)

Description copied from interface: ForwardCurveInterface

Returns the payment offset associated with this forward curve and a corresponding fixingTime.

Specified by:

getPaymentOffset in interface ForwardCurveInterface

Parameters:

fixingTime - The fixing time of the index associated with this forward curve.

Returns:

The payment offset associated with this forward curve.

getForwards

public double[] getForwards(AnalyticModelInterface model,
                            double[] fixingTimes)

Returns the forwards for a given vector fixing times.

Parameters:

model - An analytic model providing a context. The discount curve (if needed) is obtained from this model.

fixingTimes - The given fixing times.

Returns:

The forward rates.