Interface ForwardCurveInterface

All Superinterfaces:
Cloneable, Curve, ParameterObject
All Known Implementing Classes:
AbstractForwardCurve, ForwardCurveFromDiscountCurve, ForwardCurveInterpolation

public interface ForwardCurveInterface extends Curve
The interface which is implemented by forward curves.
Version:
1.0
Author:
Christian Fries
  • Method Details

    • getForward

      RandomVariable getForward(AnalyticModel model, double fixingTime)
      Returns the forward for the corresponding fixing time.
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (can be null).
      fixingTime - The fixing time of the index associated with this forward curve.
      Returns:
      The forward.
    • getForward

      RandomVariable getForward(AnalyticModel model, double fixingTime, double paymentOffset)
      Returns the forward for the corresponding fixing time and paymentOffset.
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (can be null).
      fixingTime - The fixing time of the index associated with this forward curve.
      paymentOffset - The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.
      Returns:
      The forward.
    • getDiscountCurveName

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

      double getPaymentOffset(double fixingTime)
      Returns the payment offset associated with this forward curve and a corresponding fixingTime.
      Parameters:
      fixingTime - The fixing time of the index associated with this forward curve.
      Returns:
      The payment offset associated with this forward curve.