Uses of Interface
net.finmath.marketdata.model.curves.Curve
Package
Description
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides classes related to the modeling of Bond curves.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
Provides interface separating implementation from specification (of models and products)
Provides classes to build models from descriptors.
Contains classes for parsing files.
Classes extending the regular analytic model, see
net.finmath.marketdata.model
, with the capacity to hold volatility cubes,
see VolatilityCube
.Additional curves for use in an analytic model,
AnalyticModel
.-
Uses of Curve in net.finmath.marketdata.calibration
Modifier and TypeMethodDescriptionParameterAggregation.getCloneForParameter
(double[] value) Get a curve for a given name. -
Uses of Curve in net.finmath.marketdata.model
Modifier and TypeMethodDescriptionGet a curve by a given curve name.Modifier and TypeMethodDescriptionAnalyticModel.getCurves()
Returns an unmodifiable map of all curves.AnalyticModelFromCurvesAndVols.getCurves()
Modifier and TypeMethodDescriptionAdd a reference to a given curve under a given name to this model.Create a new analytic model consisting of a clone of this one together with the given curves added.Modifier and TypeMethodDescriptionCreate a new analytic model consisting of a clone of this one together with the given curves added.ModifierConstructorDescriptionAnalyticModelFromCurvesAndVols
(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.ModifierConstructorDescriptionAnalyticModelFromCurvesAndVols
(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.Create an analytic model with the given curves. -
Uses of Curve in net.finmath.marketdata.model.bond
Modifier and TypeMethodDescriptiondouble
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. -
Uses of Curve in net.finmath.marketdata.model.curves
Modifier and TypeInterfaceDescriptioninterface
The interface which is implemented by discount curves.interface
The interface which is implemented by forward curves.Modifier and TypeClassDescriptionclass
Abstract base class for a curve.class
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
A curve derived from other curves by multiplying the values.class
This class represents a curve build from a set of points in 2D.class
A discount curve derived from a given forward curve.class
A discount curve derived from other discount curves by multiplying the discount factors.class
Implementation of a discount factor curve based onCurveInterpolation
.class
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.class
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
A forward curve derived from a given discount curve.class
A container for a forward (rate) curve.class
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.class
class
An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).class
A piecewise curve.class
The curve returns a value depending on the month of the time argument, that is, a callgetValue(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.Modifier and TypeMethodDescriptionCurveBuilder.build()
Build the curve.CurveInterpolation.Builder.build()
PiecewiseCurve.Builder.build()
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.PiecewiseCurve.getBaseCurve()
AbstractCurve.getCloneForParameter
(double[] value) Curve.getCloneForParameter
(double[] value) CurveInterpolation.getCloneForParameter
(double[] parameter) DiscountCurveRenormalized.getCloneForParameter
(double[] value) ForwardCurveWithFixings.getCloneForParameter
(double[] value) PiecewiseCurve.getCloneForParameter
(double[] value) SeasonalCurve.getCloneForParameter
(double[] value) PiecewiseCurve.getFixedPartCurve()
ModifierConstructorDescriptionCurveFromProductOfCurves
(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
Modifier and TypeMethodDescriptionCurveEstimation.getRegressionCurve()
Returns the curve resulting from the local linear regression with discrete kernel. -
Uses of Curve in net.finmath.modelling.descriptor
ModifierConstructorDescriptionAnalyticModelDescriptor
(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
ModifierConstructorDescriptionDescribedAnalyticModel
(LocalDate referenceDate, Map<String, Curve> curvesMap, Map<String, VolatilitySurface> volatilitySurfaceMap) -
Uses of Curve in net.finmath.parser
Modifier and TypeMethodDescriptionstatic LocalDate[]
CSVCurveParser.getReferenceDates
(Curve[] curves) Extract the reference date of each curve in an array. -
Uses of Curve in net.finmath.singleswaprate.model
ModifierConstructorDescriptionAnalyticModelWithVolatilityCubes
(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
Modifier and TypeClassDescriptionclass
A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .