Uses of Interface
net.finmath.marketdata.model.curves.Curve

Packages that use Curve

Package	Description
net.finmath.marketdata.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.bond	Provides classes related to the modeling of Bond curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.curves.locallinearregression	Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
net.finmath.modelling.descriptor	Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.modelfactory	Provides classes to build models from descriptors.
net.finmath.parser	Contains classes for parsing files.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.model.curves	Additional curves for use in an analytic model, AnalyticModel.

Uses of Curve in net.finmath.marketdata.calibration

Methods in net.finmath.marketdata.calibration that return Curve

Modifier and Type	Method	Description
Curve	ParameterAggregation.getCloneForParameter(double[] value)
Curve	CalibratedCurves.getCurve(String name)	Get a curve for a given name.

Uses of Curve in net.finmath.marketdata.model

Methods in net.finmath.marketdata.model that return Curve

Modifier and Type	Method	Description
Curve	AnalyticModel.getCurve(String name)	Get a curve by a given curve name.
Curve	AnalyticModelFromCurvesAndVols.getCurve(String name)

Methods in net.finmath.marketdata.model that return types with arguments of type Curve

Modifier and Type	Method	Description
Map<String,Curve>	AnalyticModel.getCurves()	Returns an unmodifiable map of all curves.
Map<String,Curve>	AnalyticModelFromCurvesAndVols.getCurves()

Methods in net.finmath.marketdata.model with parameters of type Curve

Modifier and Type	Method	Description
AnalyticModel	AnalyticModel.addCurve(String name, Curve curve)	Add a reference to a given curve under a given name to this model.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurve(String name, Curve curve)
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurve(Curve curve)
AnalyticModel	AnalyticModel.addCurves(Curve... curves)	Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurves(Curve... curves)

Method parameters in net.finmath.marketdata.model with type arguments of type Curve

Modifier and Type	Method	Description
AnalyticModel	AnalyticModel.addCurves(Set<Curve> curves)	Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurves(Set<Curve> curves)

Constructors in net.finmath.marketdata.model with parameters of type Curve

Constructor	Description
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Curve[] curves)	Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(Curve[] curves)	Create an analytic model with the given curves.

Constructor parameters in net.finmath.marketdata.model with type arguments of type Curve

Constructor	Description
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Collection<Curve> curves)	Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)	Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
AnalyticModelFromCurvesAndVols(Collection<Curve> curves)	Create an analytic model with the given curves.

Uses of Curve in net.finmath.marketdata.model.bond

Classes in net.finmath.marketdata.model.bond that implement Curve

Modifier and Type	Class	Description
class	BondCurve	Implements the bond curve as a curve object, see Curve.

Methods in net.finmath.marketdata.model.bond that return Curve

Modifier and Type	Method	Description
Curve	BondCurve.getReferenceCurve()
Curve	BondCurve.getSpreadCurve()

Methods in net.finmath.marketdata.model.bond with parameters of type Curve

Modifier and Type	Method	Description
double	Bond.getSpread(double bondPrice, Curve referenceCurve, AnalyticModel model)	Returns the spread value such that the sum of cash flows of the bond discounted with a given reference curve with the additional spread coincides with a given price.
double	Bond.getValueWithGivenSpreadOverCurve(double evaluationTime, Curve referenceCurve, double spread, AnalyticModel model)	Returns the value of the sum of discounted cash flows of the bond where the discounting is done with the given reference curve and an additional spread.

Constructors in net.finmath.marketdata.model.bond with parameters of type Curve

Constructor	Description
BondCurve(String name, LocalDate referenceDate, Curve referenceCurve, Curve spreadCurve, BondCurve.Type type)	Creates a bond curve.

Uses of Curve in net.finmath.marketdata.model.curves

Subinterfaces of Curve in net.finmath.marketdata.model.curves

Modifier and Type	Interface	Description
interface	DiscountCurve	The interface which is implemented by discount curves.
interface	ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves that implement Curve

Modifier and Type	Class	Description
class	AbstractCurve	Abstract base class for a curve.
class	AbstractForwardCurve	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.
class	CurveFromProductOfCurves	A curve derived from other curves by multiplying the values.
class	CurveInterpolation	This class represents a curve build from a set of points in 2D.
class	DiscountCurveFromForwardCurve	A discount curve derived from a given forward curve.
class	DiscountCurveFromProductOfCurves	A discount curve derived from other discount curves by multiplying the discount factors.
class	DiscountCurveInterpolation	Implementation of a discount factor curve based on CurveInterpolation.
class	DiscountCurveNelsonSiegelSvensson	Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	DiscountCurveRenormalized	A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.
class	ForwardCurveFromDiscountCurve	A forward curve derived from a given discount curve.
class	ForwardCurveInterpolation	A container for a forward (rate) curve.
class	ForwardCurveNelsonSiegelSvensson	Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	ForwardCurveWithFixings
class	IndexCurveFromDiscountCurve	An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).
class	PiecewiseCurve	A piecewise curve.
class	SeasonalCurve	The curve returns a value depending on the month of the time argument, that is, a call getValue(model, time) will map time to a 30/360 value using the day and month only and delegate the call to a given base curve.

Methods in net.finmath.marketdata.model.curves that return Curve

Modifier and Type	Method	Description
Curve	CurveBuilder.build()	Build the curve.
Curve	CurveInterpolation.Builder.build()
Curve	PiecewiseCurve.Builder.build()
Curve	SeasonalCurve.Builder.build()
static Curve	CurveFactory.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.
Curve	PiecewiseCurve.getBaseCurve()
Curve	AbstractCurve.getCloneForParameter(double[] value)
Curve	Curve.getCloneForParameter(double[] value)
Curve	CurveInterpolation.getCloneForParameter(double[] parameter)
Curve	DiscountCurveRenormalized.getCloneForParameter(double[] value)
Curve	ForwardCurveWithFixings.getCloneForParameter(double[] value)
Curve	PiecewiseCurve.getCloneForParameter(double[] value)
Curve	SeasonalCurve.getCloneForParameter(double[] value)
Curve	PiecewiseCurve.getFixedPartCurve()

Constructors in net.finmath.marketdata.model.curves with parameters of type Curve

Constructor	Description
CurveFromProductOfCurves(String name, LocalDate referenceDate, Curve... curves)	Create a curve using one or more curves.
PiecewiseCurve(Curve curve, Curve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime)
SeasonalCurve(String name, LocalDate referenceDate, Curve baseCurve)

Uses of Curve in net.finmath.marketdata.model.curves.locallinearregression

Methods in net.finmath.marketdata.model.curves.locallinearregression that return Curve

Modifier and Type	Method	Description
Curve	CurveEstimation.getRegressionCurve()	Returns the curve resulting from the local linear regression with discrete kernel.

Uses of Curve in net.finmath.modelling.descriptor

Methods in net.finmath.modelling.descriptor that return types with arguments of type Curve

Modifier and Type	Method	Description
Map<String,Curve>	AnalyticModelDescriptor.getCurvesMap()

Constructor parameters in net.finmath.modelling.descriptor with type arguments of type Curve

Constructor	Description
AnalyticModelDescriptor(LocalDate referenceDate, Collection<Curve> curves, Collection<VolatilitySurface> surfaces)	Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.
AnalyticModelDescriptor(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)	Construct an AnalyticModelDescriptor holding copies of the maps provided.

Uses of Curve in net.finmath.modelling.modelfactory

Constructor parameters in net.finmath.modelling.modelfactory with type arguments of type Curve

Constructor	Description
DescribedAnalyticModel(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap)

Uses of Curve in net.finmath.parser

Methods in net.finmath.parser with parameters of type Curve

Modifier and Type	Method	Description
static LocalDate[]	CSVCurveParser.getReferenceDates(Curve[] curves)	Extract the reference date of each curve in an array.

Uses of Curve in net.finmath.singleswaprate.model

Constructor parameters in net.finmath.singleswaprate.model with type arguments of type Curve

Constructor	Description
AnalyticModelWithVolatilityCubes(LocalDate referenceDate, Map<String,Curve> curvesMap, Map<String,VolatilitySurface> volatilitySurfaceMap, Map<String,VolatilityCube> volatilityCubeMap)	Create an analytic model for the specified reference date, together with curves as well as volatility surfaces and cubes, each with their specific name.

Uses of Curve in net.finmath.singleswaprate.model.curves

Classes in net.finmath.singleswaprate.model.curves that implement Curve

Modifier and Type	Class	Description
class	ExponentialCorrelationCurve	A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .