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.
- Christian Fries
Interface Summary Interface Description CurveThe interface which is implemented by a general curve. CurveBuilderInterface of builders which allow to build curve objects by successively adding points. DiscountCurveInterfaceThe interface which is implemented by discount curves. ForwardCurveInterfaceThe interface which is implemented by forward curves.
Class Summary Class Description AbstractCurveAbstract base class for a curve. AbstractForwardCurveAbstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve. CurveInterpolationThis class represents a curveFromInterpolationPoints build from a set of points in 2D. CurveInterpolation.BuilderA builder (following the builder pattern) for CurveFromInterpolationPoints objects. DiscountCurveFromForwardCurveA discount curve derived from a given forward curve. DiscountCurveInterpolationImplementation of a discount factor curve based on
ForwardCurveFromDiscountCurveA forward curve derived from a given discount curve. ForwardCurveInterpolationA container for a forward (rate) curve.
Enum Summary Enum Description CurveInterpolation.ExtrapolationMethodPossible extrapolation methods. CurveInterpolation.InterpolationEntityPossible interpolation entities. CurveInterpolation.InterpolationMethodPossible interpolation methods. ForwardCurveInterpolation.InterpolationEntityForwardAdditional choice of interpolation entities for forward curves.