net.finmath.marketdata.model.curves

Interface ForwardCurveInterface

All Superinterfaces:

Cloneable, CurveInterface, ParameterObjectInterface

All Known Implementing Classes:

AbstractForwardCurve, ForwardCurve, ForwardCurveFromDiscountCurve, ForwardCurveNelsonSiegelSvensson, ForwardCurveWithFixings

public interface ForwardCurveInterface
extends CurveInterface

The interface which is implemented by forward curves.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
String	getDiscountCurveName() Returns the name of the discount curve associated with this forward curve.
double	getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
double	getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
double	getPaymentOffset(double fixingTime) Returns the payment offset associated with this forward curve and a corresponding fixingTime.

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

Method Detail

getForward

double getForward(AnalyticModelInterface model,
                  double fixingTime)

Returns the forward for the corresponding fixing time.

Parameters:

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

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

Returns:

The forward.

getForward

double getForward(AnalyticModelInterface model,
                  double fixingTime,
                  double paymentOffset)

Returns the forward for the corresponding fixing time.

Parameters:

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

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

paymentOffset - The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.

Returns:

The forward.

getDiscountCurveName

String getDiscountCurveName()

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

Returns:

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

getPaymentOffset

double getPaymentOffset(double fixingTime)

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

Parameters:

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

Returns:

The payment offset associated with this forward curve.