Interface ForwardCurveInterface

All Superinterfaces:
Cloneable, Curve, ParameterObject
All Known Implementing Classes:
AbstractForwardCurve, ForwardCurveFromDiscountCurve, ForwardCurveInterpolation

public interface ForwardCurveInterface extends Curve
The interface which is implemented by forward curves.
Version:
1.0
Author:
Christian Fries
• Method Summary

Modifier and Type
Method
Description
String
getDiscountCurveName()

RandomVariable
getForward​(AnalyticModel model, double fixingTime)
Returns the forward for the corresponding fixing time.
RandomVariable
getForward​(AnalyticModel model, double fixingTime, double paymentOffset)
Returns the forward for the corresponding fixing time and paymentOffset.
double
getPaymentOffset​(double fixingTime)
Returns the payment offset associated with this forward curve and a corresponding fixingTime.

Methods inherited from interface net.finmath.marketdata2.model.curves.Curve

clone, getCloneBuilder, getCloneForParameter, getName, getReferenceDate, getValue, getValue

Methods inherited from interface net.finmath.marketdata2.calibration.ParameterObject

getParameter, setParameter
• Method Details

• getForward

RandomVariable getForward(AnalyticModel model, double fixingTime)
Returns the forward for the corresponding fixing time.
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

RandomVariable getForward(AnalyticModel model, double fixingTime, double paymentOffset)
Returns the forward for the corresponding fixing time and paymentOffset.
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.
• getDiscountCurveName

String getDiscountCurveName()
Returns:
The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)
• getPaymentOffset

double getPaymentOffset(double fixingTime)
Returns the payment offset associated with this forward curve and a corresponding fixingTime.
Parameters:
fixingTime - The fixing time of the index associated with this forward curve.
Returns:
The payment offset associated with this forward curve.