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:

java.lang.Cloneable, ParameterObjectInterface, CurveInterface, ForwardCurveInterface

public class ForwardCurveWithFixings
extends PiecewiseCurve
implements ForwardCurveInterface

Nested Class Summary

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

PiecewiseCurve.CurveBuilder

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
ForwardCurveWithFixings	clone() Create a deep copied clone.
CurveInterface	getCloneForParameter(double[] value) Create a clone with a modified parameter.
java.lang.String	getDiscountCurveName() Returns the name of the discount curve associated with this forward curve.
double	getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
double	getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
double[]	getForwards(AnalyticModelInterface 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, getClass, hashCode, notify, notifyAll, wait, wait, wait

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

getCloneBuilder, getName, getReferenceDate, getValue, getValue

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

getParameter, setParameter

Constructor Detail

ForwardCurveWithFixings

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

Create a piecewise forward curve.

Parameters:

curveInterface - Base curve, to be used by default.

fixedPartCurve - Curve 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 Detail

getForward

public double getForward(AnalyticModelInterface model,
                         double fixingTime)

Description copied from interface: ForwardCurveInterface

Returns the forward for the corresponding fixing time.

Specified by:

getForward in interface ForwardCurveInterface

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(AnalyticModelInterface model,
                         double fixingTime,
                         double paymentOffset)

Description copied from interface: ForwardCurveInterface

Returns the forward for the corresponding fixing time.

Specified by:

getForward in interface ForwardCurveInterface

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(AnalyticModelInterface 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 java.lang.String getDiscountCurveName()

Description copied from interface: ForwardCurveInterface

Returns the name of the discount curve associated with this forward curve.

Specified by:

getDiscountCurveName in interface ForwardCurveInterface

Returns:

The name of the discount curve associated with this forward curve.

getPaymentOffset

public double getPaymentOffset(double fixingTime)

Description copied from interface: ForwardCurveInterface

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

Specified by:

getPaymentOffset in interface ForwardCurveInterface

Parameters:

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

Returns:

The payment offset associated with this forward curve.

getCloneForParameter

public CurveInterface getCloneForParameter(double[] value)
                                    throws java.lang.CloneNotSupportedException

Description copied from interface: ParameterObjectInterface

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface ParameterObjectInterface

Specified by:

getCloneForParameter in interface CurveInterface

Overrides:

getCloneForParameter in class PiecewiseCurve

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

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

clone

public ForwardCurveWithFixings clone()
                              throws java.lang.CloneNotSupportedException

Description copied from interface: CurveInterface

Create a deep copied clone.

Specified by:

clone in interface CurveInterface

Overrides:

clone in class PiecewiseCurve

Returns:

A clone (deep copied).

Throws:

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