Uses of Enum
net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod
Package
Description
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Contains classes for parsing files.
-
Uses of CurveInterpolation.ExtrapolationMethod in net.finmath.marketdata.model.curves
Modifier and TypeMethodDescriptionCurveInterpolation.getExtrapolationMethod()
Returns the extrapolation method used by this curve.Returns the enum constant of this type with the specified name.CurveInterpolation.ExtrapolationMethod.values()
Returns an array containing the constants of this enum type, in the order they are declared.Modifier and TypeMethodDescriptionstatic DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromAnnualizedZeroRates
(String name, LocalDate referenceDate, double[] times, double[] givenAnnualizedZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromAnnualizedZeroRates
(String name, LocalDate referenceDate, double[] times, double[] givenAnnualizedZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, double[] times, double[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, double[] times, double[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors
(String name, LocalDate referenceDate, double[] times, double[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, double[] times, double[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Deprecated.Initializing a curve without reference date is deprecated.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, LocalDate referenceDate, double[] times, double[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, LocalDate referenceDate, double[] times, double[] givenZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.static DiscountCurveInterpolation
DiscountCurveInterpolation.createDiscountCurveFromZeroRates
(String name, Date referenceDate, double[] times, double[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromForwards
(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.CurveInterpolation.Builder.setExtrapolationMethod
(CurveInterpolation.ExtrapolationMethod extrapolationMethod) Set the extrapolation method of the curve.ModifierConstructorDescriptionAbstractForwardCurve
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, String discountCurveName) Construct a base forward curve with a reference date and a payment offset.protected
CurveInterpolation
(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a curve with a given name, reference date and an interpolation method.CurveInterpolation
(String name, LocalDate referenceDate, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, double[] times, double[] values) Create a curve with a given name, reference date and an interpolation method from given pointsForwardCurveInterpolation
(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName) Generate a forward curve using a given discount curve and payment offset. -
Uses of CurveInterpolation.ExtrapolationMethod in net.finmath.parser
Modifier and TypeMethodDescriptionvoid
CSVCurveParser.setInterpolation
(CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Set interpolation method for parsed curves.ModifierConstructorDescriptionCSVCurveParser
(CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Set up the parser with given interpolation.