Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Interface ForwardCurve

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

Method Summary

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

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

getParameter, setParameter

Method Detail

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.

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.

getDiscountCurveName

String getDiscountCurveName()

Returns:

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

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.