Uses of Enum
net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod
Package
Description
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
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Uses of CurveInterpolation.InterpolationMethod in net.finmath.marketdata2.model.curves
Modifier and TypeMethodDescriptionCurveInterpolation.getInterpolationMethod()
Returns the interpolation method used by this curveFromInterpolationPoints.Returns the enum constant of this type with the specified name.CurveInterpolation.InterpolationMethod.values()
Returns an array containing the constants of this enum type, in the order they are declared.Modifier and TypeMethodDescriptionstatic DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromAnnualizedZeroRates
(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenAnnualizedZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromAnnualizedZeroRates
(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenAnnualizedZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, double[] times, double[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, double[] times, RandomVariable[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, double[] times, RandomVariable[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, Date referenceDate, double[] times, RandomVariable[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.static ForwardCurveInterpolation
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, RandomVariable[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
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, RandomVariable[] givenForwards) Create a forward curve from given times and given forwards.CurveInterpolation.Builder.setInterpolationMethod
(CurveInterpolation.InterpolationMethod interpolationMethod) Set the interpolation method of the curveFromInterpolationPoints.ModifierConstructorDescriptionAbstractForwardCurve
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.protected
CurveInterpolation
(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.CurveInterpolation
(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, double[] times, RandomVariable[] values) Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given pointsForwardCurveInterpolation
(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.