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- All Superinterfaces:
Cloneable
,Curve
,ParameterObject
,Serializable
- All Known Implementing Classes:
AbstractForwardCurve
,ForwardCurveFromDiscountCurve
,ForwardCurveInterpolation
,ForwardCurveNelsonSiegelSvensson
,ForwardCurveWithFixings
public interface ForwardCurve extends Curve
The interface which is implemented by forward curves.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description String
getDiscountCurveName()
double
getForward(AnalyticModel model, double fixingTime)
Returns the forward for the corresponding fixing time.double
getForward(AnalyticModel model, double fixingTime, double paymentOffset)
Returns the forward for the corresponding fixing time and paymentOffset.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.Curve
clone, getCloneBuilder, getCloneForParameter, getName, getReferenceDate, getValue, getValue
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Methods inherited from interface net.finmath.marketdata.calibration.ParameterObject
getParameter, setParameter
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Method Detail
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getForward
double getForward(AnalyticModel 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.
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getForward
double getForward(AnalyticModel model, double fixingTime, double paymentOffset)
Returns the forward for the corresponding fixing time and paymentOffset.- 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.
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getDiscountCurveName
String getDiscountCurveName()
- Returns:
- The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)
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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.
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