Module net.finmath.lib
Package net.finmath.marketdata2.model.curves

Class CurveInterpolation

java.lang.Object
net.finmath.marketdata2.model.curves.AbstractCurve
net.finmath.marketdata2.model.curves.CurveInterpolation
All Implemented Interfaces:
Serializable, Cloneable, ParameterObject, Curve
Direct Known Subclasses:
AbstractForwardCurve, DiscountCurveInterpolation
public class CurveInterpolation extends AbstractCurve implements Serializable, Cloneable
This class represents a curveFromInterpolationPoints build from a set of points in 2D. It provides different interpolation and extrapolation methods applied to a transformation of the input point, examples are
  • linear interpolation of the input points
  • linear interpolation of the log of the input points
  • linear interpolation of the log of the input points divided by their respective time
  • cubic spline interpolation of the input points (or a function of the input points) (the curveFromInterpolationPoints will be C1).
  • Akima interpolation of the input points (or a function of the input points).
  • etc.

For the interpolation methods provided see CurveInterpolation.InterpolationMethod. For the extrapolation methods provided see CurveInterpolation.ExtrapolationMethod. For the possible interpolation entities see CurveInterpolation.InterpolationEntity. To construct the curveFromInterpolationPoints, please use the inner class CurveBuilder (a builder pattern). For a demo on how to construct and/or calibrate a curveFromInterpolationPoints see, e.g. net.finmath.tests.marketdata.curves.CurveTest.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • CurveInterpolation

      public CurveInterpolation​(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, double[] times, RandomVariable[] values)
      Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given points
      Parameters:
      name - The name of this curveFromInterpolationPoints.
      referenceDate - The reference date for this curveFromInterpolationPoints, i.e., the date which defined t=0.
      interpolationMethod - The interpolation method used for the curveFromInterpolationPoints.
      extrapolationMethod - The extrapolation method used for the curveFromInterpolationPoints.
      interpolationEntity - The entity interpolated/extrapolated.
      times - A vector of times.
      values - A vector of corresponding values.

    • CurveInterpolation

      protected CurveInterpolation​(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.
      Parameters:
      name - The name of this curveFromInterpolationPoints.
      referenceDate - The reference date for this curveFromInterpolationPoints, i.e., the date which defined t=0.
      interpolationMethod - The interpolation method used for the curveFromInterpolationPoints.
      extrapolationMethod - The extrapolation method used for the curveFromInterpolationPoints.
      interpolationEntity - The entity interpolated/extrapolated.

  • Method Details

    • getValue

      public RandomVariable getValue​(double time)
      Description copied from interface: Curve
      Returns the value for the time using the interpolation method associated with this curve.
      Specified by:
      getValue in interface Curve
      Overrides:
      getValue in class AbstractCurve
      Parameters:
      time - Time for which the value should be returned.
      Returns:
      The value at the give time.

    • getValue

      public RandomVariable getValue​(AnalyticModel model, double time)
      Description copied from interface: Curve
      Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model. The model (context) is needed only if the curve relies on another curve. Examples are a forward curve which relies on a discount curve or a discount curve which is defined via a spread over another curve.
      Specified by:
      getValue in interface Curve
      Parameters:
      model - An analytic model providing a context.
      time - Time for which the value should be returned.
      Returns:
      The value at the give time.

    • addPoint

      protected void addPoint​(double time, RandomVariable value, boolean isParameter)
      Add a point to this curveFromInterpolationPoints. The method will throw an exception if the point is already part of the curveFromInterpolationPoints.
      Parameters:
      time - The xi in i = f(xi).
      value - The yi in i = f(xi).
      isParameter - If true, then this point is served via getParameter() and changed via getCloneForParameter(RandomVariable[]), i.e., it can be calibrated.

    • getInterpolationMethod

      public CurveInterpolation.InterpolationMethod getInterpolationMethod()
      Returns the interpolation method used by this curveFromInterpolationPoints.
      Returns:
      The interpolation method used by this curveFromInterpolationPoints.

    • getExtrapolationMethod

      public CurveInterpolation.ExtrapolationMethod getExtrapolationMethod()
      Returns the extrapolation method used by this curveFromInterpolationPoints.
      Returns:
      The extrapolation method used by this curveFromInterpolationPoints.

    • getInterpolationEntity

      public CurveInterpolation.InterpolationEntity getInterpolationEntity()
      Returns the interpolation entity used by this curveFromInterpolationPoints.
      Returns:
      The interpolation entity used by this curveFromInterpolationPoints.

    • getTimeIndex

      protected int getTimeIndex​(double time)

    • getParameterIndex

      protected int getParameterIndex​(double time)

    • getParameter

      public RandomVariable[] getParameter()
      Description copied from interface: ParameterObject
      Get the current parameter associated with the state of the objects.
      Specified by:
      getParameter in interface ParameterObject
      Returns:
      The parameter.

    • setParameter

      public void setParameter​(RandomVariable[] parameter)
      Description copied from interface: ParameterObject
      Set the current parameter and change the state of the objects.
      Specified by:
      setParameter in interface ParameterObject
      Parameters:
      parameter - The parameter associated with the new state of the objects.

    • clone

      public CurveInterpolation clone() throws CloneNotSupportedException
      Description copied from interface: Curve
      Create a deep copied clone.
      Specified by:
      clone in interface Curve
      Overrides:
      clone in class AbstractCurve
      Returns:
      A clone (deep copied).
      Throws:
      CloneNotSupportedException - Thrown, when the curve could not be cloned.

    • getCloneForParameter

      public Curve getCloneForParameter​(RandomVariable[] parameter) throws CloneNotSupportedException
      Description copied from interface: ParameterObject
      Create a clone with a modified parameter.
      Specified by:
      getCloneForParameter in interface Curve
      Specified by:
      getCloneForParameter in interface ParameterObject
      Overrides:
      getCloneForParameter in class AbstractCurve
      Parameters:
      parameter - The new parameter.
      Returns:
      A clone with an otherwise modified parameter.
      Throws:
      CloneNotSupportedException - Thrown, when the curve could not be cloned.

    • getCloneBuilder

      public CurveBuilder getCloneBuilder() throws CloneNotSupportedException
      Description copied from interface: Curve
      Returns a curve builder bases on a clone of this curve. Using that curve builder you may create a new curve from this curve by adding points or changing properties. Note: The clone has the same name than this one.
      Specified by:
      getCloneBuilder in interface Curve
      Returns:
      An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.
      Throws:
      CloneNotSupportedException - Thrown, when this curve could not be cloned.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractCurve