Uses of Interface
net.finmath.marketdata.model.curves.ForwardCurve

Packages that use ForwardCurve

Package	Description
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.models.covariance	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.

Uses of ForwardCurve in net.finmath.marketdata.model

Methods in net.finmath.marketdata.model that return ForwardCurve

Modifier and Type	Method and Description
ForwardCurve	AnalyticModel.getForwardCurve(String forwardCurveName) Returns a forward curve for a given name.
ForwardCurve	AnalyticModelFromCurvesAndVols.getForwardCurve(String forwardCurveName)

Uses of ForwardCurve in net.finmath.marketdata.model.curves

Classes in net.finmath.marketdata.model.curves that implement ForwardCurve

Modifier and Type	Class and Description
class	AbstractForwardCurve Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
class	ForwardCurveFromDiscountCurve A forward curve derived from a given discount curve.
class	ForwardCurveInterpolation A container for a forward (rate) curve.
class	ForwardCurveNelsonSiegelSvensson Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	ForwardCurveWithFixings

Constructors in net.finmath.marketdata.model.curves with parameters of type ForwardCurve

Constructor and Description
DiscountCurveFromForwardCurve(ForwardCurve forwardCurve) Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurve forwardCurve, double periodLengthTimeScaling) Create a discount curve using a given forward curve.
ForwardCurveWithFixings(ForwardCurve curveInterface, ForwardCurve fixedPartCurve, double fixedPartStartTime, double fixedPartEndTime) Create a piecewise forward curve.

Uses of ForwardCurve in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return ForwardCurve

Modifier and Type	Method and Description
ForwardCurve	AbstractVolatilitySurface.getForwardCurve()

Constructors in net.finmath.marketdata.model.volatilities with parameters of type ForwardCurve

Constructor and Description
AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
AbstractVolatilitySurfaceParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
CapletVolatilities(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling) Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling, VolatilitySurface.QuotingConvention quotingConvention) Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double displacement, boolean isDisplacementCalibrateable, double a, double b, double c, double d, double timeScaling) Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
SwaptionMarketData(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionMarketData(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)

Uses of ForwardCurve in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type ForwardCurve

Modifier and Type	Method and Description
static double	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve)
static double	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve, AnalyticModel model)
static double	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve)
static double	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve, DiscountCurve discountCurve)
static double	SwapAnnuity.getSwapAnnuity(Schedule schedule, ForwardCurve forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, ForwardCurve forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

Uses of ForwardCurve in net.finmath.marketdata2.model.volatilities

Methods in net.finmath.marketdata2.model.volatilities that return ForwardCurve

Modifier and Type	Method and Description
ForwardCurve	AbstractVolatilitySurface.getForwardCurve()

Constructors in net.finmath.marketdata2.model.volatilities with parameters of type ForwardCurve

Constructor and Description
AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)

Uses of ForwardCurve in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return ForwardCurve

Modifier and Type	Method and Description
ForwardCurve	TermStructureModel.getForwardRateCurve() Return the initial forward rate curve.

Uses of ForwardCurve in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return ForwardCurve

Modifier and Type	Method and Description
ForwardCurve	HullWhiteModelWithDirectSimulation.getForwardRateCurve()
ForwardCurve	LIBORMarketModelFromCovarianceModel.getForwardRateCurve()
ForwardCurve	LIBORMarketModelWithTenorRefinement.getForwardRateCurve()
ForwardCurve	HullWhiteModelWithShiftExtension.getForwardRateCurve()
ForwardCurve	HullWhiteModel.getForwardRateCurve()
ForwardCurve	HullWhiteModelWithConstantCoeff.getForwardRateCurve()
ForwardCurve	LIBORMarketModelStandard.getForwardRateCurve()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type ForwardCurve

Modifier and Type	Method and Description
static HullWhiteModel	HullWhiteModel.of(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type ForwardCurve

Constructor and Description
HullWhiteModel(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithConstantCoeff(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, double meanReversion, double volatility, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithDirectSimulation(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithShiftExtension(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervalls, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModelInterface covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a model for given covariance.

Uses of ForwardCurve in net.finmath.montecarlo.interestrate.models.covariance

Constructors in net.finmath.montecarlo.interestrate.models.covariance with parameters of type ForwardCurve

Constructor and Description
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, RandomVariable displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.

Uses of ForwardCurve in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type ForwardCurve

Modifier and Type	Method and Description
Map<String,double[]>	SwaptionAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getLogSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionAnalyticApproximationRebonato.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve, double[] swapTenor) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionSingleCurveAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardCurve, double[] swapTenor) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, AnalyticModel model, DiscountCurve discountCurve, ForwardCurve forwardCurve) Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.
double	CMSOption.getValue(ForwardCurve forwardCurve, double swaprateVolatility) This method returns the value of the product using a Black-Scholes model for the swap rate with the Hunt-Kennedy convexity adjustment.
double	SwaptionSingleCurve.getValue(ForwardCurve forwardCurve, double swaprateVolatility) This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
double	Swaption.getValue(ForwardCurve forwardCurve, double swaprateVolatility) This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.

Uses of ForwardCurve in net.finmath.montecarlo.interestrate.products.indices

Constructors in net.finmath.montecarlo.interestrate.products.indices with parameters of type ForwardCurve

Constructor and Description
ForwardCurveIndex(ForwardCurve forwardCurve) Creates a forward curve index.