Package net.finmath.marketdata.model.curves

Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.

See: Description

Interface Summary

Interface	Description
Curve	The interface which is implemented by a general curve.
CurveBuilder	Interface of builders which allow to build curve objects by successively adding points.
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Class Summary

Class	Description
AbstractCurve	Abstract base class for a curve.
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.
CurveFactory	A collection of convenient methods constructing some more specialized curves.
CurveFromProductOfCurves	A curve derived from other curves by multiplying the values.
CurveInterpolation	This class represents a curve build from a set of points in 2D.
CurveInterpolation.Builder	A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
CurveInterpolation.Point	Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.
DiscountCurveFromForwardCurve	A discount curve derived from a given forward curve.
DiscountCurveFromProductOfCurves	A discount curve derived from other discount curves by multiplying the discount factors.
DiscountCurveInterpolation	Implementation of a discount factor curve based on CurveInterpolation.
DiscountCurveNelsonSiegelSvensson	Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
DiscountCurveRenormalized	A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.
ForwardCurveFromDiscountCurve	A forward curve derived from a given discount curve.
ForwardCurveInterpolation	A container for a forward (rate) curve.
ForwardCurveNelsonSiegelSvensson	Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
ForwardCurveWithFixings
IndexCurveFromDiscountCurve	An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).
PiecewiseCurve	A piecewise curve.
PiecewiseCurve.Builder	A builder (following the builder pattern) for PiecewiseCurve objects.
SeasonalCurve	The curve returns a value depending on the month of the time argument, that is, a call getValue(model, time) will map time to a 30/360 value using the day and month only and delegate the call to a given base curve.
SeasonalCurve.Builder	A builder (following the builder pattern) for SeasonalCurve objects.

Enum Summary

Enum	Description
CurveInterpolation.ExtrapolationMethod	Possible extrapolation methods.
CurveInterpolation.InterpolationEntity	Possible interpolation entities.
CurveInterpolation.InterpolationMethod	Possible interpolation methods.
ForwardCurveInterpolation.InterpolationEntityForward	Additional choice of interpolation entities for forward curves.

Package net.finmath.marketdata.model.curves Description

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.

Author:

Christian Fries