Class AbstractForwardCurve

    • Constructor Detail

      • AbstractForwardCurve

        public AbstractForwardCurve​(String name,
                                    LocalDate referenceDate,
                                    String paymentOffsetCode,
                                    BusinessdayCalendar paymentBusinessdayCalendar,
                                    BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
                                    CurveInterpolation.InterpolationMethod interpolationMethod,
                                    CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                    CurveInterpolation.InterpolationEntity interpolationEntity,
                                    String discountCurveName)
        Construct a base forward curve with a reference date and a payment offset.
        Parameters:
        name - The name of this curve.
        referenceDate - The reference date for this curve, i.e., the date which defined t=0.
        paymentOffsetCode - The maturity of the index modeled by this curve.
        paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.
        paymentDateRollConvention - The date roll convention used for adjusting the payment date.
        interpolationMethod - The interpolation method used for the curve.
        extrapolationMethod - The extrapolation method used for the curve.
        interpolationEntity - The entity interpolated/extrapolated.
        discountCurveName - The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).
      • AbstractForwardCurve

        public AbstractForwardCurve​(String name,
                                    LocalDate referenceDate,
                                    String paymentOffsetCode,
                                    BusinessdayCalendar paymentBusinessdayCalendar,
                                    BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
                                    String discountCurveName)
        Construct a base forward curve with a reference date and a payment offset.
        Parameters:
        name - The name of this curve.
        referenceDate - The reference date for this curve, i.e., the date which defined t=0.
        paymentOffsetCode - The maturity of the index modeled by this curve.
        paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.
        paymentDateRollConvention - The date roll convention used for adjusting the payment date.
        discountCurveName - The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).
      • AbstractForwardCurve

        public AbstractForwardCurve​(String name,
                                    LocalDate referenceDate,
                                    double paymentOffset,
                                    String discountCurveName)
        Construct a base forward curve with a reference date and a payment offset.
        Parameters:
        name - The name of this curve.
        referenceDate - The reference date for this curve, i.e., the date which defined t=0.
        paymentOffset - The maturity of the index modeled by this curve.
        discountCurveName - The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).
    • Method Detail

      • getDiscountCurveName

        public String getDiscountCurveName()
        Specified by:
        getDiscountCurveName in interface ForwardCurve
        Returns:
        The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)
      • getPaymentOffset

        public double getPaymentOffset​(double fixingTime)
        Description copied from interface: ForwardCurve
        Returns the payment offset associated with this forward curve and a corresponding fixingTime.
        Specified by:
        getPaymentOffset in interface ForwardCurve
        Parameters:
        fixingTime - The fixing time of the index associated with this forward curve.
        Returns:
        The payment offset associated with this forward curve.
      • getForwards

        public double[] getForwards​(AnalyticModel model,
                                    double[] fixingTimes)
        Returns the forwards for a given vector fixing times.
        Parameters:
        model - An analytic model providing a context. The discount curve (if needed) is obtained from this model.
        fixingTimes - The given fixing times.
        Returns:
        The forward rates.
      • getPaymentOffsetCode

        public String getPaymentOffsetCode()