Uses of Interface
net.finmath.marketdata2.model.curves.ForwardCurveInterface
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.
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Uses of ForwardCurveInterface in net.finmath.marketdata2.model
Modifier and TypeMethodDescriptionAnalyticModel.getForwardCurve
(String forwardCurveName) Returns a forward curve for a given name.AnalyticModelFromCurvesAndVols.getForwardCurve
(String forwardCurveName) -
Uses of ForwardCurveInterface in net.finmath.marketdata2.model.curves
Modifier and TypeClassDescriptionclass
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.class
A forward curve derived from a given discount curve.class
A container for a forward (rate) curve.ModifierConstructorDescriptionDiscountCurveFromForwardCurve
(ForwardCurveInterface forwardCurve) Create a discount curve using a given forward curve.DiscountCurveFromForwardCurve
(ForwardCurveInterface forwardCurve, double periodLengthTimeScaling) Create a discount curve using a given forward curve. -
Uses of ForwardCurveInterface in net.finmath.marketdata2.products
Modifier and TypeMethodDescriptionstatic RandomVariable
Swap.getForwardSwapRate
(Schedule fixSchedule, Schedule floatSchedule, ForwardCurveInterface forwardCurve) static RandomVariable
Swap.getForwardSwapRate
(Schedule fixSchedule, Schedule floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModel model) static RandomVariable
Swap.getForwardSwapRate
(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurveInterface forwardCurve) static RandomVariable
Swap.getForwardSwapRate
(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve) static RandomVariable
SwapAnnuity.getSwapAnnuity
(Schedule schedule, ForwardCurveInterface forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.static RandomVariable
SwapAnnuity.getSwapAnnuity
(TimeDiscretization tenor, ForwardCurveInterface forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.