Module net.finmath.lib

Package net.finmath.marketdata2.model.curves

Class CurveInterpolation

java.lang.Object

net.finmath.marketdata2.model.curves.AbstractCurve

net.finmath.marketdata2.model.curves.CurveInterpolation

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve

Direct Known Subclasses:

AbstractForwardCurve, DiscountCurveInterpolation

public class CurveInterpolation
extends AbstractCurve
implements Serializable, Cloneable

This class represents a curveFromInterpolationPoints build from a set of points in 2D. It provides different interpolation and extrapolation methods applied to a transformation of the input point, examples are

• linear interpolation of the input points
• linear interpolation of the log of the input points
• linear interpolation of the log of the input points divided by their respective time
• cubic spline interpolation of the input points (or a function of the input points) (the curveFromInterpolationPoints will be C¹).
• Akima interpolation of the input points (or a function of the input points).
• etc.

For the interpolation methods provided see CurveInterpolation.InterpolationMethod. For the extrapolation methods provided see CurveInterpolation.ExtrapolationMethod. For the possible interpolation entities see CurveInterpolation.InterpolationEntity. To construct the curveFromInterpolationPoints, please use the inner class CurveBuilder (a builder pattern). For a demo on how to construct and/or calibrate a curveFromInterpolationPoints see, e.g. net.finmath.tests.marketdata.curves.CurveTest.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CurveInterpolation.Builder	A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
static class	CurveInterpolation.ExtrapolationMethod	Possible extrapolation methods.
static class	CurveInterpolation.InterpolationEntity	Possible interpolation entities.
static class	CurveInterpolation.InterpolationMethod	Possible interpolation methods.

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	CurveInterpolation(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)	Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.
	CurveInterpolation(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, double[] times, RandomVariable[] values)	Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given points

Method Summary

Modifier and Type	Method	Description
protected void	addPoint(double time, RandomVariable value, boolean isParameter)	Add a point to this curveFromInterpolationPoints.
CurveInterpolation	clone()	Create a deep copied clone.
CurveBuilder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
Curve	getCloneForParameter(RandomVariable[] parameter)	Create a clone with a modified parameter.
CurveInterpolation.ExtrapolationMethod	getExtrapolationMethod()	Returns the extrapolation method used by this curveFromInterpolationPoints.
CurveInterpolation.InterpolationEntity	getInterpolationEntity()	Returns the interpolation entity used by this curveFromInterpolationPoints.
CurveInterpolation.InterpolationMethod	getInterpolationMethod()	Returns the interpolation method used by this curveFromInterpolationPoints.
RandomVariable[]	getParameter()	Get the current parameter associated with the state of the objects.
protected int	getParameterIndex(double time)
protected int	getTimeIndex(double time)
RandomVariable	getValue(double time)	Returns the value for the time using the interpolation method associated with this curve.
RandomVariable	getValue(AnalyticModel model, double time)	Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
void	setParameter(RandomVariable[] parameter)	Set the current parameter and change the state of the objects.
String	toString()

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

Constructor Details

CurveInterpolation

public CurveInterpolation(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, double[] times, RandomVariable[] values)

Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given points

Parameters:

name - The name of this curveFromInterpolationPoints.

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

interpolationMethod - The interpolation method used for the curveFromInterpolationPoints.

extrapolationMethod - The extrapolation method used for the curveFromInterpolationPoints.

interpolationEntity - The entity interpolated/extrapolated.

times - A vector of times.

values - A vector of corresponding values.

CurveInterpolation

protected CurveInterpolation(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)

Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.

Parameters:

name - The name of this curveFromInterpolationPoints.

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

interpolationMethod - The interpolation method used for the curveFromInterpolationPoints.

extrapolationMethod - The extrapolation method used for the curveFromInterpolationPoints.

interpolationEntity - The entity interpolated/extrapolated.

Method Details

getValue

public RandomVariable getValue(double time)

Description copied from interface: Curve

Returns the value for the time using the interpolation method associated with this curve.

Specified by:

getValue in interface Curve

Overrides:

getValue in class AbstractCurve

Parameters:

time - Time for which the value should be returned.

Returns:

The value at the give time.

getValue

public RandomVariable getValue(AnalyticModel model, double time)

Description copied from interface: Curve

Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model. The model (context) is needed only if the curve relies on another curve. Examples are a forward curve which relies on a discount curve or a discount curve which is defined via a spread over another curve.

Specified by:

getValue in interface Curve

Parameters:

model - An analytic model providing a context.

time - Time for which the value should be returned.

Returns:

The value at the give time.

addPoint

protected void addPoint(double time, RandomVariable value, boolean isParameter)

Add a point to this curveFromInterpolationPoints. The method will throw an exception if the point is already part of the curveFromInterpolationPoints.

Parameters:

time - The x_i in _i = f(x_i).

value - The y_i in _i = f(x_i).

isParameter - If true, then this point is served via getParameter() and changed via getCloneForParameter(RandomVariable[]), i.e., it can be calibrated.

getInterpolationMethod

public CurveInterpolation.InterpolationMethod getInterpolationMethod()

Returns the interpolation method used by this curveFromInterpolationPoints.

Returns:

The interpolation method used by this curveFromInterpolationPoints.

getExtrapolationMethod

public CurveInterpolation.ExtrapolationMethod getExtrapolationMethod()

Returns the extrapolation method used by this curveFromInterpolationPoints.

Returns:

The extrapolation method used by this curveFromInterpolationPoints.

getInterpolationEntity

public CurveInterpolation.InterpolationEntity getInterpolationEntity()

Returns the interpolation entity used by this curveFromInterpolationPoints.

Returns:

The interpolation entity used by this curveFromInterpolationPoints.

getTimeIndex

protected int getTimeIndex(double time)

getParameterIndex

protected int getParameterIndex(double time)

getParameter

public RandomVariable[] getParameter()

Description copied from interface: ParameterObject

Get the current parameter associated with the state of the objects.

Specified by:

getParameter in interface ParameterObject

Returns:

The parameter.

setParameter

public void setParameter(RandomVariable[] parameter)

Description copied from interface: ParameterObject

Set the current parameter and change the state of the objects.

Specified by:

setParameter in interface ParameterObject

Parameters:

parameter - The parameter associated with the new state of the objects.

clone

public CurveInterpolation clone() throws CloneNotSupportedException

Description copied from interface: Curve

Create a deep copied clone.

Specified by:

clone in interface Curve

Overrides:

clone in class AbstractCurve

Returns:

A clone (deep copied).

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.

getCloneForParameter

public Curve getCloneForParameter(RandomVariable[] parameter) throws CloneNotSupportedException

Description copied from interface: ParameterObject

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface Curve

Specified by:

getCloneForParameter in interface ParameterObject

Overrides:

getCloneForParameter in class AbstractCurve

Parameters:

parameter - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.

getCloneBuilder

public CurveBuilder getCloneBuilder() throws CloneNotSupportedException

Description copied from interface: Curve

Returns a curve builder bases on a clone of this curve. Using that curve builder you may create a new curve from this curve by adding points or changing properties. Note: The clone has the same name than this one.

Specified by:

getCloneBuilder in interface Curve

Returns:

An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.

Throws:

CloneNotSupportedException - Thrown, when this curve could not be cloned.

toString

public String toString()

Overrides:

toString in class AbstractCurve