Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Class ForwardCurveWithFixings

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.PiecewiseCurve

net.finmath.marketdata.model.curves.ForwardCurveWithFixings

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, ForwardCurve

public class ForwardCurveWithFixings
extends PiecewiseCurve
implements ForwardCurve

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.marketdata.model.curves.PiecewiseCurve

PiecewiseCurve.Builder

Constructor Summary

Constructors

Constructor	Description
ForwardCurveWithFixings(ForwardCurve curveInterface, ForwardCurve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime)	Create a piecewise forward curve.

Method Summary

Modifier and Type	Method	Description
ForwardCurveWithFixings	clone()	Create a deep copied clone.
Curve	getCloneForParameter(double[] value)	Create a clone with a modified parameter.
String	getDiscountCurveName()
double	getForward(AnalyticModel model, double fixingTime)	Returns the forward for the corresponding fixing time.
double	getForward(AnalyticModel model, double fixingTime, double paymentOffset)	Returns the forward for the corresponding fixing time and paymentOffset.
double[]	getForwards(AnalyticModel model, double[] fixingTimes)	Returns the forwards for a given vector fixing times.
double	getPaymentOffset(double fixingTime)	Returns the payment offset associated with this forward curve and a corresponding fixingTime.

Methods inherited from class net.finmath.marketdata.model.curves.PiecewiseCurve

getBaseCurve, getCloneBuilder, getFixedPartCurve, getFixedPartEndTime, getFixedPartStartTime, getName, getParameter, getReferenceDate, getValue, getValue, setParameter, toString

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

getValues

Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.marketdata.model.curves.Curve

getCloneBuilder, getName, getReferenceDate, getValue, getValue

Methods inherited from interface net.finmath.marketdata.calibration.ParameterObject

getParameter, setParameter

Constructor Details

ForwardCurveWithFixings

public ForwardCurveWithFixings(ForwardCurve curveInterface,
 ForwardCurve fixedPartCurve,
 double fixedPartStartTime,
 double fixedPartEndTime)

Create a piecewise forward curve.

Parameters:

curveInterface - Base curve, to be used by default.

fixedPartCurve - CurveFromInterpolationPoints to be used for the open time interval from fixedPartStartTime to fixedPartEndTime.

fixedPartStartTime - Start time of the interval where we use the fixedPartCurve.

fixedPartEndTime - End time of the interval where we use the fixedPartCurve.

Method Details

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)

Description copied from interface: ForwardCurve

Returns the forward for the corresponding fixing time and paymentOffset.

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.

getForwards

public double[] getForwards(AnalyticModel model,
 double[] fixingTimes)

Returns the forwards for a given vector fixing times.

Parameters:

model - An analytic model providing a context. The discount curve (if needed) is obtained from this model.

fixingTimes - The given fixing times.

Returns:

The forward rates.

getDiscountCurveName

public String getDiscountCurveName()

Specified by:

getDiscountCurveName in interface ForwardCurve

Returns:

The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)

getPaymentOffset

public double getPaymentOffset(double fixingTime)

Description copied from interface: ForwardCurve

Returns the payment offset associated with this forward curve and a corresponding fixingTime.

Specified by:

getPaymentOffset in interface ForwardCurve

Parameters:

fixingTime - The fixing time of the index associated with this forward curve.

Returns:

The payment offset associated with this forward curve.

getCloneForParameter

public Curve getCloneForParameter(double[] value)
                           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 PiecewiseCurve

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.

clone

public ForwardCurveWithFixings clone()
                              throws CloneNotSupportedException

Description copied from interface: Curve

Create a deep copied clone.

Specified by:

clone in interface Curve

Overrides:

clone in class PiecewiseCurve

Returns:

A clone (deep copied).

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.