org.jquantlib.termstructures.yieldcurves

Class PiecewiseYieldCurve<T extends Traits,I extends Interpolation.Interpolator,B extends Bootstrap>

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve<T,I,B>

All Implemented Interfaces:

Extrapolator, TermStructure, PiecewiseCurve<I>, YieldTermStructure, Observable, Observer

public class PiecewiseYieldCurve<T extends Traits,I extends Interpolation.Interpolator,B extends Bootstrap>
extends LazyObject
implements PiecewiseCurve<I>

Piecewise yield term structure

This term structure is bootstrapped on a number of interest rate instruments which are passed as a vector of handles to RateHelper instances. Their maturities mark the boundaries of the interpolated segments.

Each segment is determined sequentially starting from the earliest period to the latest and is chosen so that the instrument whose maturity marks the end of such segment is correctly repriced on the curve.

Constructor Summary

Constructors

Constructor and Description
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, Date referenceDate, RateHelper[] instruments, DayCounter dayCounter)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, Date referenceDate, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, Date referenceDate, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, Date referenceDate, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates, double accuracy)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, Date referenceDate, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates, double accuracy, Interpolation.Interpolator interpolator)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, Date referenceDate, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates, double accuracy, Interpolation.Interpolator interpolator, Bootstrap bootstrap)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, int settlementDays, Calendar calendar, RateHelper[] instruments, DayCounter dayCounter)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, int settlementDays, Calendar calendar, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, int settlementDays, Calendar calendar, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, int settlementDays, Calendar calendar, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates, double accuracy)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, int settlementDays, Calendar calendar, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates, double accuracy, Interpolation.Interpolator interpolator)
PiecewiseYieldCurve(java.lang.Class<T> classT, java.lang.Class<I> classI, java.lang.Class<B> classB, int settlementDays, Calendar calendar, RateHelper[] instruments, DayCounter dayCounter, Handle<Quote>[] jumps, Date[] jumpDates, double accuracy, Interpolation.Interpolator interpolator, Bootstrap bootstrap)

Method Summary

Modifier and Type	Method and Description
double	accuracy()
boolean	allowsExtrapolation() tells whether extrapolation is enabled
Calendar	calendar() Return the calendar used for reference date calculation
double[]	data()
Date[]	dates()
DayCounter	dayCounter() Return the day counter used for date/double conversion
void	disableExtrapolation() disable extrapolation in subsequent calls
double	discount(Date d) Returns the discount factor for a given date or time.
double	discount(Date d, boolean extrapolate) Returns the discount factor for a given date or time.
double	discount(double t) Returns the discount factor for a given date or time.
double	discount(double t, boolean extrapolate) Returns the discount factor for a given date or time.
double	discountImpl(double t)
void	enableExtrapolation() enable extrapolation in subsequent calls
InterestRate	forwardRate(Date d1, Date d2, DayCounter resultDayCounter, Compounding comp) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d1, Date d2, DayCounter resultDayCounter, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d1, Date d2, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d, Period p, DayCounter resultDayCounter, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d, Period p, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate)
InterestRate	forwardRate(double t1, double t2, Compounding comp) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(double t1, double t2, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(double time1, double time2, Compounding comp, Frequency freq, boolean extrapolate) Returns the implied forward interest rate between two dates or times.
RateHelper[]	instruments()
Interpolation	interpolation()
Interpolation.Interpolator	interpolator()
Date[]	jumpDates()
double[]	jumpTimes()
Date	maxDate()
double	maxTime() Returns the latest double for which the curve can return values
java.util.List<Pair<Date,java.lang.Double>>	nodes()
double	parRate(Date[] dates, Frequency freq, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
double	parRate(double[] times, Frequency frequency, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
double	parRate(int tenor, Date startDate, Frequency freq, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
void	performCalculations() This method must implement any calculations which must be (re)done in order to calculate the desired results.
Date	referenceDate() Returns the Date at which discount = 1.0 and/or variance = 0.0
void	setData(double[] data)
void	setDates(Date[] dates)
void	setInterpolation(Interpolation interpolation)
void	setJumps()
void	setTimes(double[] times)
int	settlementDays() Returns the settlementDays used for reference date calculation
double	timeFromReference(Date date) This method performs a date to double conversion which represents the fraction of the year between the reference date and the date passed as parameter.
double[]	times()
Traits	traits()
void	update() This method is called whenever the observed object is changed.
InterestRate	zeroRate(Date d, DayCounter resultDayCounter, Compounding comp) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(Date d, DayCounter resultDayCounter, Compounding comp, Frequency freq) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(Date d, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(double time, Compounding comp, Frequency freq, boolean extrapolate) Return the implied zero-yield rate for a given date or time.

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.jquantlib.util.Observable

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

Constructor Detail

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           Date referenceDate,
                           RateHelper[] instruments,
                           DayCounter dayCounter)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           Date referenceDate,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           Date referenceDate,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           Date referenceDate,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates,
                           double accuracy)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           Date referenceDate,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates,
                           double accuracy,
                           Interpolation.Interpolator interpolator)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           Date referenceDate,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates,
                           double accuracy,
                           Interpolation.Interpolator interpolator,
                           Bootstrap bootstrap)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           int settlementDays,
                           Calendar calendar,
                           RateHelper[] instruments,
                           DayCounter dayCounter)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           int settlementDays,
                           Calendar calendar,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           int settlementDays,
                           Calendar calendar,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           int settlementDays,
                           Calendar calendar,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates,
                           double accuracy)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           int settlementDays,
                           Calendar calendar,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates,
                           double accuracy,
                           Interpolation.Interpolator interpolator)

PiecewiseYieldCurve

public PiecewiseYieldCurve(java.lang.Class<T> classT,
                           java.lang.Class<I> classI,
                           java.lang.Class<B> classB,
                           int settlementDays,
                           Calendar calendar,
                           RateHelper[] instruments,
                           DayCounter dayCounter,
                           Handle<Quote>[] jumps,
                           Date[] jumpDates,
                           double accuracy,
                           Interpolation.Interpolator interpolator,
                           Bootstrap bootstrap)

Method Detail

traits

public Traits traits()

Specified by:

traits in interface PiecewiseCurve<I extends Interpolation.Interpolator>

interpolator

public Interpolation.Interpolator interpolator()

Specified by:

interpolator in interface PiecewiseCurve<I extends Interpolation.Interpolator>

instruments

public RateHelper[] instruments()

Specified by:

instruments in interface PiecewiseCurve<I extends Interpolation.Interpolator>

accuracy

public double accuracy()

Specified by:

accuracy in interface PiecewiseCurve<I extends Interpolation.Interpolator>

maxDate

public Date maxDate()

Specified by:

maxDate in interface TermStructure

Specified by:

maxDate in interface PiecewiseCurve<I extends Interpolation.Interpolator>

Returns:

the latest date for which the curve can return values

times

public double[] times()

Specified by:

times in interface PiecewiseCurve<I extends Interpolation.Interpolator>

dates

public Date[] dates()

Specified by:

dates in interface PiecewiseCurve<I extends Interpolation.Interpolator>

data

public double[] data()

Specified by:

data in interface PiecewiseCurve<I extends Interpolation.Interpolator>

nodes

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

Specified by:

nodes in interface PiecewiseCurve<I extends Interpolation.Interpolator>

jumpDates

public Date[] jumpDates()

Specified by:

jumpDates in interface PiecewiseCurve<I extends Interpolation.Interpolator>

jumpTimes

public double[] jumpTimes()

Specified by:

jumpTimes in interface PiecewiseCurve<I extends Interpolation.Interpolator>

setData

public void setData(double[] data)

Specified by:

setData in interface PiecewiseCurve<I extends Interpolation.Interpolator>

setDates

public void setDates(Date[] dates)

Specified by:

setDates in interface PiecewiseCurve<I extends Interpolation.Interpolator>

setTimes

public void setTimes(double[] times)

Specified by:

setTimes in interface PiecewiseCurve<I extends Interpolation.Interpolator>

interpolation

public Interpolation interpolation()

Specified by:

interpolation in interface PiecewiseCurve<I extends Interpolation.Interpolator>

setInterpolation

public void setInterpolation(Interpolation interpolation)

Specified by:

setInterpolation in interface PiecewiseCurve<I extends Interpolation.Interpolator>

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface Observer

Overrides:

update in class LazyObject

discountImpl

public double discountImpl(double t)

setJumps

public void setJumps()

performCalculations

public void performCalculations()

Description copied from class: LazyObject

This method must implement any calculations which must be (re)done in order to calculate the desired results.

discount

public double discount(Date d,
                       boolean extrapolate)

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.

Specified by:

discount in interface YieldTermStructure

See Also:

org.jquantlib.termstructures.YieldTermStructureImpl#discount(org.jquantlib.time.Date, boolean)

discount

public double discount(Date d)

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.

Specified by:

discount in interface YieldTermStructure

discount

public double discount(double t,
                       boolean extrapolate)

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.

Specified by:

discount in interface YieldTermStructure

See Also:

org.jquantlib.termstructures.YieldTermStructureImpl#discount(double, boolean)

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 YieldTermStructure

forwardRate

public InterestRate forwardRate(Date d1,
                                Date d2,
                                DayCounter dayCounter,
                                Compounding comp,
                                Frequency freq,
                                boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(Date d1,
                                Date d2,
                                DayCounter resultDayCounter,
                                Compounding comp,
                                Frequency freq)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(Date d1,
                                Date d2,
                                DayCounter resultDayCounter,
                                Compounding comp)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Dates are not adjusted for holidays

Specified by:

forwardRate in interface YieldTermStructure

forwardRate

public InterestRate forwardRate(Date d,
                                Period p,
                                DayCounter dayCounter,
                                Compounding comp,
                                Frequency freq,
                                boolean extrapolate)

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(Date d,
                                Period p,
                                DayCounter resultDayCounter,
                                Compounding comp,
                                Frequency freq)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(double time1,
                                double time2,
                                Compounding comp,
                                Frequency freq,
                                boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the passed times t1 and t2.

Specified by:

forwardRate in interface YieldTermStructure

forwardRate

public InterestRate forwardRate(double t1,
                                double t2,
                                Compounding comp,
                                Frequency freq)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure#forwardRate(Date, Date, DayCounter, org.jquantlib.termstructures.InterestRate.Compounding, Frequency)

forwardRate

public InterestRate forwardRate(double t1,
                                double t2,
                                Compounding comp)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure#forwardRate(Date, Date, DayCounter, org.jquantlib.termstructures.InterestRate.Compounding, Frequency)

parRate

public double parRate(Date[] dates,
                      Frequency freq,
                      boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Specified by:

parRate in interface YieldTermStructure

Returns:

the first date in the vector must equal the start date; the following dates must equal the payment dates.

See Also:

YieldTermStructure.parRate(int, Date, Frequency, boolean)

parRate

public double parRate(double[] times,
                      Frequency frequency,
                      boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Specified by:

parRate in interface YieldTermStructure

Returns:

the first double in the vector must equal the start time; the following times must equal the payment times.

See Also:

YieldTermStructure.parRate(int, Date, Frequency, boolean)

parRate

public double parRate(int tenor,
                      Date startDate,
                      Frequency freq,
                      boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Specified by:

parRate in interface YieldTermStructure

zeroRate

public InterestRate zeroRate(Date d,
                             DayCounter dayCounter,
                             Compounding comp,
                             Frequency freq,
                             boolean extrapolate)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

Specified by:

zeroRate in interface YieldTermStructure

zeroRate

public InterestRate zeroRate(Date d,
                             DayCounter resultDayCounter,
                             Compounding comp,
                             Frequency freq)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

Specified by:

zeroRate in interface YieldTermStructure

zeroRate

public InterestRate zeroRate(Date d,
                             DayCounter resultDayCounter,
                             Compounding comp)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

Specified by:

zeroRate in interface YieldTermStructure

zeroRate

public InterestRate zeroRate(double time,
                             Compounding comp,
                             Frequency freq,
                             boolean extrapolate)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

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

Specified by:

zeroRate in interface YieldTermStructure

calendar

public Calendar calendar()

Description copied from interface: TermStructure

Return the calendar used for reference date calculation

Specified by:

calendar in interface TermStructure

Returns:

the calendar used for reference date calculation

dayCounter

public DayCounter dayCounter()

Description copied from interface: TermStructure

Return the day counter used for date/double conversion

Specified by:

dayCounter in interface TermStructure

Returns:

the day counter used for date/double conversion

maxTime

public double maxTime()

Description copied from interface: TermStructure

Returns the latest double for which the curve can return values

Specified by:

maxTime in interface TermStructure

Returns:

the latest double for which the curve can return values

referenceDate

public Date referenceDate()

Description copied from interface: TermStructure

Returns the Date at which discount = 1.0 and/or variance = 0.0

Specified by:

referenceDate in interface TermStructure

settlementDays

public int settlementDays()

Description copied from interface: TermStructure

Returns the settlementDays used for reference date calculation

Specified by:

settlementDays in interface TermStructure

Returns:

the settlementDays used for reference date calculation

timeFromReference

public double timeFromReference(Date date)

Description copied from interface: TermStructure

This method performs a date to double conversion which represents the fraction of the year between the reference date and the date passed as parameter.

Specified by:

timeFromReference in interface TermStructure

Returns:

the fraction of the year as a double

allowsExtrapolation

public boolean allowsExtrapolation()

Description copied from interface: Extrapolator

tells whether extrapolation is enabled

Specified by:

allowsExtrapolation in interface Extrapolator

disableExtrapolation

public void disableExtrapolation()

Description copied from interface: Extrapolator

disable extrapolation in subsequent calls

Specified by:

disableExtrapolation in interface Extrapolator

enableExtrapolation

public void enableExtrapolation()

Description copied from interface: Extrapolator

enable extrapolation in subsequent calls

Specified by:

enableExtrapolation in interface Extrapolator