Package net.finmath.marketdata2.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.
DiscountCurveInterface	The interface which is implemented by discount curves.
ForwardCurveInterface	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.
CurveInterpolation	This class represents a curveFromInterpolationPoints build from a set of points in 2D.
CurveInterpolation.Builder	A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
DiscountCurveFromForwardCurve	A discount curve derived from a given forward curve.
DiscountCurveInterpolation	Implementation of a discount factor curve based on CurveInterpolation.
ForwardCurveFromDiscountCurve	A forward curve derived from a given discount curve.
ForwardCurveInterpolation	A container for a forward (rate) curve.

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.marketdata2.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