Module net.finmath.lib

Package net.finmath.marketdata2.model.curves

Class AbstractForwardCurve

java.lang.Object

net.finmath.marketdata2.model.curves.AbstractCurve

net.finmath.marketdata2.model.curves.CurveInterpolation

net.finmath.marketdata2.model.curves.AbstractForwardCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, ForwardCurveInterface

Direct Known Subclasses:

ForwardCurveFromDiscountCurve, ForwardCurveInterpolation

public abstract class AbstractForwardCurve
extends CurveInterpolation
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.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.marketdata2.model.curves.CurveInterpolation

CurveInterpolation.Builder, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, CurveInterpolation.InterpolationMethod

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
String	getDiscountCurveName()
RandomVariable[]	getForwards(AnalyticModel model, double[] fixingTimes)	Returns the forwards for a given vector fixing times.
BusinessdayCalendar	getPaymentBusinessdayCalendar()
protected BusinessdayCalendar.DateRollConvention	getPaymentDateRollConvention()
double	getPaymentOffset(double fixingTime)	Returns the payment offset associated with this forward curve and a corresponding fixingTime.
String	getPaymentOffsetCode()
String	toString()

Methods inherited from class net.finmath.marketdata2.model.curves.CurveInterpolation

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

Methods inherited from class net.finmath.marketdata2.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.marketdata2.model.curves.Curve

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

Methods inherited from interface net.finmath.marketdata2.model.curves.ForwardCurveInterface

getForward, getForward

Methods inherited from interface net.finmath.marketdata2.calibration.ParameterObject

getParameter, setParameter

Constructor Details

AbstractForwardCurve

public AbstractForwardCurve(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.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 method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

discountCurveName - The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).

AbstractForwardCurve

public AbstractForwardCurve(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.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 the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).

AbstractForwardCurve

public AbstractForwardCurve(String name, LocalDate 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 curve, i.e., the date which defined t=0.

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

discountCurveName - The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).

Method Details

getDiscountCurveName

public String getDiscountCurveName()

Specified by:

getDiscountCurveName in interface ForwardCurveInterface

Returns:

The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)

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 RandomVariable[] getForwards(AnalyticModel 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.

toString

public String toString()

Overrides:

toString in class CurveInterpolation

getPaymentOffsetCode

public String getPaymentOffsetCode()

getPaymentBusinessdayCalendar

public BusinessdayCalendar getPaymentBusinessdayCalendar()

getPaymentDateRollConvention

protected BusinessdayCalendar.DateRollConvention getPaymentDateRollConvention()