Uses of Interface
net.finmath.marketdata2.model.curves.DiscountCurveInterface
Package
Description
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides interface specification and implementation of products, e.g., calibration products.
-
Uses of DiscountCurveInterface in net.finmath.marketdata2.model
Modifier and TypeMethodDescriptionAnalyticModel.getDiscountCurve
(String discountCurveName) Returns a discount curve for a given name.AnalyticModelFromCurvesAndVols.getDiscountCurve
(String discountCurveName) -
Uses of DiscountCurveInterface in net.finmath.marketdata2.model.curves
Modifier and TypeClassDescriptionclass
A discount curve derived from a given forward curve.class
Implementation of a discount factor curve based onCurveInterpolation
.Modifier and TypeMethodDescriptionstatic DiscountCurveInterface
DiscountCurveInterpolation.createDiscountCurveFromMonteCarloLiborModel
(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime) Create a discount curve from forwards given by a LIBORMonteCarloModel.static DiscountCurveInterface
DiscountCurveInterpolation.createDiscountFactorsFromForwardRates
(String name, TimeDiscretization tenor, RandomVariable[] forwardRates) Create a discount curve from given time discretization and forward rates. -
Uses of DiscountCurveInterface in net.finmath.marketdata2.products
Modifier and TypeMethodDescriptionstatic RandomVariable
Swap.getForwardSwapRate
(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve) static RandomVariable
SwapAnnuity.getSwapAnnuity
(double evaluationTime, Schedule schedule, DiscountCurveInterface discountCurve, AnalyticModel model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.static RandomVariable
SwapAnnuity.getSwapAnnuity
(Schedule schedule, DiscountCurveInterface discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.static RandomVariable
SwapAnnuity.getSwapAnnuity
(TimeDiscretization tenor, DiscountCurveInterface discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.