org.jquantlib.termstructures.yieldcurves

Class InterpolatedForwardCurve<I extends Interpolation.Interpolator>

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

org.jquantlib.termstructures.yieldcurves.ForwardRateStructure

org.jquantlib.termstructures.yieldcurves.InterpolatedForwardCurve<I>

Type Parameters:

I - Interpolator

All Implemented Interfaces:

Extrapolator, TermStructure, Traits.Curve, YieldTermStructure, Observable, Observer

public class InterpolatedForwardCurve<I extends Interpolation.Interpolator>
extends ForwardRateStructure
implements Traits.Curve

Term structure based on interpolation of forward rates

Constructor Summary

Constructors

Constructor and Description
InterpolatedForwardCurve(java.lang.Class<I> classI, Date[] dates, double[] forwards, DayCounter dc)
InterpolatedForwardCurve(java.lang.Class<I> classI, Date[] dates, double[] forwards, DayCounter dc, Calendar calendar)
InterpolatedForwardCurve(java.lang.Class<I> classI, Date[] dates, double[] forwards, DayCounter dc, Calendar calendar, Interpolation.Interpolator interpolator)

Method Summary

Modifier and Type	Method and Description
double[]	data()
Date[]	dates()
double	discount(double t) Returns the discount factor for a given date or time.
double	discountImpl(double t) See the TermStructure documentation for issues regarding constructors.
double	forward(double t)
double	forwardImpl(double t) Instantaneous forward-rate calculation
Interpolation	interpolation()
Interpolation.Interpolator	interpolator()
Date	maxDate()
java.util.List<Pair<Date,java.lang.Double>>	nodes()
void	setData(double[] data)
void	setDates(Date[] dates)
void	setInterpolation(Interpolation interpolation)
void	setTimes(double[] times)
double[]	times()
double	zeroYield(double t)
double	zeroYieldImpl(double t) Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.

Methods inherited from class org.jquantlib.termstructures.AbstractYieldTermStructure

discount, discount, discount, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, parRate, parRate, parRate, zeroRate, zeroRate, zeroRate, zeroRate

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.termstructures.yieldcurves.Traits.Curve

referenceDate, timeFromReference, update

Methods inherited from interface org.jquantlib.termstructures.YieldTermStructure

discount, discount, discount, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, forwardRate, parRate, parRate, parRate, zeroRate, zeroRate, zeroRate, zeroRate

Methods inherited from interface org.jquantlib.termstructures.TermStructure

calendar, dayCounter, maxTime, settlementDays

Methods inherited from interface org.jquantlib.math.interpolations.Extrapolator

allowsExtrapolation, disableExtrapolation, enableExtrapolation

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Constructor Detail

InterpolatedForwardCurve

public InterpolatedForwardCurve(java.lang.Class<I> classI,
                                Date[] dates,
                                double[] forwards,
                                DayCounter dc)

InterpolatedForwardCurve

public InterpolatedForwardCurve(java.lang.Class<I> classI,
                                Date[] dates,
                                double[] forwards,
                                DayCounter dc,
                                Calendar calendar)

InterpolatedForwardCurve

public InterpolatedForwardCurve(java.lang.Class<I> classI,
                                Date[] dates,
                                double[] forwards,
                                DayCounter dc,
                                Calendar calendar,
                                Interpolation.Interpolator interpolator)

Method Detail

maxDate

public Date maxDate()

Specified by:

maxDate in interface TermStructure

Specified by:

maxDate in interface Traits.Curve

Returns:

the latest date for which the curve can return values

dates

public Date[] dates()

Specified by:

dates in interface Traits.Curve

times

public double[] times()

Specified by:

times in interface Traits.Curve

nodes

public java.util.List<Pair<Date,java.lang.Double>> nodes()

Specified by:

nodes in interface Traits.Curve

data

public double[] data()

Specified by:

data in interface Traits.Curve

interpolator

public Interpolation.Interpolator interpolator()

Specified by:

interpolator in interface Traits.Curve

interpolation

public Interpolation interpolation()

Specified by:

interpolation in interface Traits.Curve

setInterpolation

public void setInterpolation(Interpolation interpolation)

Specified by:

setInterpolation in interface Traits.Curve

setDates

public void setDates(Date[] dates)

Specified by:

setDates in interface Traits.Curve

setTimes

public void setTimes(double[] times)

Specified by:

setTimes in interface Traits.Curve

setData

public void setData(double[] data)

Specified by:

setData in interface Traits.Curve

discount

public double discount(double t)

Description copied from interface: YieldTermStructure

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

The same day-counting rule used by the term structure should be used for calculating the passed double t.

Specified by:

discount in interface Traits.Curve

Specified by:

discount in interface YieldTermStructure

Overrides:

discount in class AbstractYieldTermStructure

forward

public double forward(double t)

Specified by:

forward in interface Traits.Curve

zeroYield

public double zeroYield(double t)

Specified by:

zeroYield in interface Traits.Curve

discountImpl

public double discountImpl(double t)

Description copied from class: AbstractYieldTermStructure

See the TermStructure documentation for issues regarding constructors.

Overrides:

discountImpl in class ForwardRateStructure

forwardImpl

public double forwardImpl(double t)

Description copied from class: ForwardRateStructure

Instantaneous forward-rate calculation

zeroYieldImpl

public double zeroYieldImpl(double t)

Description copied from class: ForwardRateStructure

Returns the zero yield rate for the given date calculating it from the instantaneous forward rate.