Module net.finmath.lib
Package net.finmath.marketdata.model.curves
package net.finmath.marketdata.model.curves
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Curves are mappings t → f(t), usually given by a discrete set of points and an interpolation
and extrapolation methods.
- Author:
- Christian Fries
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Interface SummaryInterfaceDescriptionThe interface which is implemented by a general curve.Interface of builders which allow to build curve objects by successively adding points.The interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Class SummaryClassDescriptionAbstract base class for a curve.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.A collection of convenient methods constructing some more specialized curves.A curve derived from other curves by multiplying the values.This class represents a curve build from a set of points in 2D.A builder (following the builder pattern) for CurveFromInterpolationPoints objects.Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.A discount curve derived from a given forward curve.A discount curve derived from other discount curves by multiplying the discount factors.Implementation of a discount factor curve based on
CurveInterpolation.Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.A forward curve derived from a given discount curve.A container for a forward (rate) curve.Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).A piecewise curve.A builder (following the builder pattern) for PiecewiseCurve objects.The curve returns a value depending on the month of the time argument, that is, a callgetValue(model, time)will map time to a 30/360 value using the day and month only and delegate the call to a given base curve.A builder (following the builder pattern) for SeasonalCurve objects. -
Enum SummaryEnumDescriptionPossible extrapolation methods.Possible interpolation entities.Possible interpolation methods.Additional choice of interpolation entities for forward curves.