Module net.finmath.lib
Package net.finmath.marketdata.model.curves
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Curves are mappings t → f(t), usually given by a discrete set of points and an interpolation
and extrapolation methods.
 Author:
 Christian Fries

Interface Summary Interface Description Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points.DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Class Summary Class Description AbstractCurve Abstract base class for a curve.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.CurveFactory A collection of convenient methods constructing some more specialized curves.CurveFromProductOfCurves A curve derived from other curves by multiplying the values.CurveInterpolation This class represents a curve build from a set of points in 2D.CurveInterpolation.Builder A builder (following the builder pattern) for CurveFromInterpolationPoints objects.CurveInterpolation.Point Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.DiscountCurveFromForwardCurve A discount curve derived from a given forward curve.DiscountCurveFromProductOfCurves A discount curve derived from other discount curves by multiplying the discount factors.DiscountCurveInterpolation Implementation of a discount factor curve based onCurveInterpolation
.DiscountCurveNelsonSiegelSvensson Implementation of a discount factor curve given by a NelsonSiegelSvensson (NSS) parameterization.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.ForwardCurveFromDiscountCurve A forward curve derived from a given discount curve.ForwardCurveInterpolation A container for a forward (rate) curve.ForwardCurveNelsonSiegelSvensson Implementation of a forward given by a NelsonSiegelSvensson (NSS) parameterization.ForwardCurveWithFixings IndexCurveFromDiscountCurve An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).PiecewiseCurve A piecewise curve.PiecewiseCurve.Builder A builder (following the builder pattern) for PiecewiseCurve objects.SeasonalCurve 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.SeasonalCurve.Builder A builder (following the builder pattern) for SeasonalCurve objects. 
Enum Summary Enum Description CurveInterpolation.ExtrapolationMethod Possible extrapolation methods.CurveInterpolation.InterpolationEntity Possible interpolation entities.CurveInterpolation.InterpolationMethod Possible interpolation methods.ForwardCurveInterpolation.InterpolationEntityForward Additional choice of interpolation entities for forward curves.