Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Class CurveFactory

java.lang.Object

net.finmath.marketdata.model.curves.CurveFactory

public class CurveFactory
extends Object

A collection of convenient methods constructing some more specialized curves.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
static Curve	createIndexCurveWithSeasonality(String name, LocalDate referenceDate, Map<LocalDate,Double> indexFixings, Map<String,Double> seasonalityAdjustments, Integer seasonalAveragingNumberOfYears, Map<LocalDate,Double> annualizedZeroRates, String forwardsFixingLag, String forwardsFixingType)	Creates a monthly index curve with seasonality and past fixings.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

createIndexCurveWithSeasonality

public static Curve createIndexCurveWithSeasonality(String name,
                                                    LocalDate referenceDate,
                                                    Map<LocalDate,Double> indexFixings,
                                                    Map<String,Double> seasonalityAdjustments,
                                                    Integer seasonalAveragingNumberOfYears,
                                                    Map<LocalDate,Double> annualizedZeroRates,
                                                    String forwardsFixingLag,
                                                    String forwardsFixingType)

Creates a monthly index curve with seasonality and past fixings. This methods creates an index curve (e.g. for a CPI index) using provided annualizedZeroRates for the forwards (expected future CPI values) and indexFixings for the past fixings. It may also "overlay" the future values with a seasonality adjustment. The seasonality adjustment is either taken from adjustment factors provided in seasonalityAdjustments or (if that argument is null) estimated from the indexFixings. The the latter case use seasonalAveragingNumerOfYears to specify the number of years which should be used to estimate the seasonality adjustments.

Parameters:

name - The name of the curve.

referenceDate - The reference date of the curve.

indexFixings - A Map<LocalDate, Double> of past fixings.

seasonalityAdjustments - A Map<String, Double> of seasonality adjustments (annualized continuously compounded rates for the given month, i.e., the seasonality factor is exp(seasonalityAdjustment/12)), where the String keys are "january", "february", "march", "april", "may", "june", "july", "august", "september", "october", "november", "december".

seasonalAveragingNumberOfYears - If seasonalityAdjustments is null you may provide an integer representing a number of years to have the seasonality estimated from the past fixings in indexFixings.

annualizedZeroRates - Map<LocalDate, Double> of annualized zero rates for given maturities.

forwardsFixingLag - The fixing lag (e.g. "-3M" for -3 month)

forwardsFixingType - The fixing type (e.g. "endOfMonth")

Returns:

An index curve.