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

Class ForwardCurveInterpolation

java.lang.Object
net.finmath.marketdata.model.curves.AbstractCurve
net.finmath.marketdata.model.curves.CurveInterpolation
net.finmath.marketdata.model.curves.AbstractForwardCurve
net.finmath.marketdata.model.curves.ForwardCurveInterpolation
All Implemented Interfaces:
Serializable, Cloneable, ParameterObject, Curve, ForwardCurve
public class ForwardCurveInterpolation extends AbstractForwardCurve implements Serializable
A container for a forward (rate) curve. The forward curve is based on the CurveInterpolation class. It thus features all interpolation and extrapolation methods and interpolation entities as CurveInterpolation. The forward F(t) of an index is such that * F(t) * D(t+p) equals the market price of the corresponding index fixed in t and paid in t+d, where t is the fixing time of the index and t+p is the payment time of the index. F(t) is the corresponding forward and D is the associated discount curve.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • ForwardCurveInterpolation

      public ForwardCurveInterpolation​(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName)
      Generate a forward curve using a given discount curve and payment offset.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.
      paymentDateRollConvention - The date roll convention used for adjusting the payment date.
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

    • ForwardCurveInterpolation

      public ForwardCurveInterpolation​(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName)
      Generate a forward curve using a given discount curve and payment offset.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

    • ForwardCurveInterpolation

      public ForwardCurveInterpolation​(String name, LocalDate referenceDate, String paymentOffsetCode, String discountCurveName)
      Generate a forward curve using a given discount curve and payment offset.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

    • ForwardCurveInterpolation

      public ForwardCurveInterpolation​(String name, double paymentOffset, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName)
      Generate a forward curve using a given discount curve and payment offset.
      Parameters:
      name - The name of this curve.
      paymentOffset - The maturity of the underlying index modeled by this curve.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.

  • Method Details

    • createForwardCurveFromForwards

      public static ForwardCurveInterpolation createForwardCurveFromForwards​(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards)
      Create a forward curve from given times and given forwards.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.
      paymentDateRollConvention - The date roll convention used for adjusting the payment date.
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
      model - The model to be used to fetch the discount curve, if needed.
      times - A vector of given time points.
      givenForwards - A vector of given forwards (corresponding to the given time points).
      Returns:
      A new ForwardCurve object.

    • createForwardCurveFromForwards

      public static ForwardCurveInterpolation createForwardCurveFromForwards​(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards)
      Create a forward curve from given times and given forwards.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      paymentBusinessdayCalendar - The business day calendar used for adjusting the payment date.
      paymentDateRollConvention - The date roll convention used for adjusting the payment date.
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
      model - The model to be used to fetch the discount curve, if needed.
      times - A vector of given time points.
      givenForwards - A vector of given forwards (corresponding to the given time points).
      Returns:
      A new ForwardCurve object.

    • createForwardCurveFromForwards

      public static ForwardCurveInterpolation createForwardCurveFromForwards​(String name, LocalDate referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards)
      Create a forward curve from given times and given forwards.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
      model - The model to be used to fetch the discount curve, if needed.
      times - A vector of given time points.
      givenForwards - A vector of given forwards (corresponding to the given time points).
      Returns:
      A new ForwardCurve object.

    • createForwardCurveFromForwards

      public static ForwardCurveInterpolation createForwardCurveFromForwards​(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards)
      Create a forward curve from given times and given forwards.
      Parameters:
      name - The name of this curve.
      referenceDate - The reference date for this code, i.e., the date which defines t=0.
      paymentOffsetCode - The maturity of the index modeled by this curve.
      interpolationEntityForward - Interpolation entity used for forward rate interpolation.
      discountCurveName - The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
      model - The model to be used to fetch the discount curve, if needed.
      times - A vector of given time points.
      givenForwards - A vector of given forwards (corresponding to the given time points).
      Returns:
      A new ForwardCurve object.

    • createForwardCurveFromForwards

      public static ForwardCurveInterpolation createForwardCurveFromForwards​(String name, double[] times, double[] givenForwards, double paymentOffset)
      Create a forward curve from given times and given forwards.
      Parameters:
      name - The name of this curve.
      times - A vector of given time points.
      givenForwards - A vector of given forwards (corresponding to the given time points).
      paymentOffset - The maturity of the underlying index modeled by this curve.
      Returns:
      A new ForwardCurve object.

    • createForwardCurveFromDiscountFactors

      public static ForwardCurveInterpolation createForwardCurveFromDiscountFactors​(String name, double[] times, double[] givenDiscountFactors, double paymentOffset)
      Create a forward curve from given times and discount factors. The forward curve will have times.length-1 fixing times from times[0] to times[times.length-2] where the forwards are calculated via forward[timeIndex] = (givenDiscountFactors[timeIndex]/givenDiscountFactors[timeIndex+1]-1.0) / (times[timeIndex+1] - times[timeIndex]); Note: If time[0] > 0, then the discount factor 1.0 will inserted at time 0.0
      Parameters:
      name - The name of this curve.
      times - A vector of given time points.
      givenDiscountFactors - A vector of given discount factors (corresponding to the given time points).
      paymentOffset - The maturity of the underlying index modeled by this curve.
      Returns:
      A new ForwardCurve object.

    • createForwardCurveFromForwards

      public static ForwardCurveInterpolation createForwardCurveFromForwards​(String name, double[] times, double[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset)
      Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
      Parameters:
      name - The name of this curve.
      times - A vector of given time points.
      givenForwards - A vector of given forwards (corresponding to the given time points).
      model - An analytic model providing a context. The discount curve (if needed) is obtained from this model.
      discountCurveName - Name of the discount curve associated with this index (associated with it's funding or collateralization).
      paymentOffset - Time between fixing and payment.
      Returns:
      A new ForwardCurve object.

    • getForward

      public double getForward​(AnalyticModel model, double fixingTime)
      Description copied from interface: ForwardCurve
      Returns the forward for the corresponding fixing time.
      Specified by:
      getForward in interface ForwardCurve
      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

      public double getForward​(AnalyticModel model, double fixingTime, double paymentOffset)
      Returns the forward for the corresponding fixing time. Note: This implementation currently ignores the provided paymentOffset. Instead it uses the payment offset calculate from the curve specification.
      Specified by:
      getForward in interface ForwardCurve
      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.

    • addPoint

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

    • getInterpolationEntityForward

      public ForwardCurveInterpolation.InterpolationEntityForward getInterpolationEntityForward()
      Returns the special interpolation method used for this forward curve.
      Returns:
      The interpolation method used for the forward.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractForwardCurve