Uses of Class
net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Package
Description
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
-
Uses of ForwardCurveInterpolation in net.finmath.marketdata.model.curves
Modifier and TypeMethodDescriptionstatic ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromDiscountFactors
(String name, double[] times, double[] givenDiscountFactors, double paymentOffset) Create a forward curve from given times and discount factors.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, double[] times, double[] givenForwards, double paymentOffset) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, double[] times, double[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset) Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, LocalDate referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.