public class CurveFactory extends Object
|Modifier and Type||Method and Description|
Creates a monthly index curve with seasonality and past fixings.
public static Curve createIndexCurveWithSeasonality(String name, LocalDate referenceDate, Map<LocalDate,Double> indexFixings, Map<String,Double> seasonalityAdjustments, Integer seasonalAveragingNumberOfYears, Map<LocalDate,Double> annualizedZeroRates, String forwardsFixingLag, String forwardsFixingType)
annualizedZeroRatesfor the forwards (expected future CPI values) and
indexFixingsfor the past fixings. It may also "overlay" the future values with a seasonality adjustment. The seasonality adjustment is either taken from adjustment factors provided in
seasonalityAdjustmentsor (if that argument is null) estimated from the
indexFixings. The the latter case use
seasonalAveragingNumerOfYearsto specify the number of years which should be used to estimate the seasonality adjustments.
name- The name of the curve.
referenceDate- The reference date of the curve.
indexFixings- A Map<LocalDate, Double> of past fixings.
seasonalityAdjustments- A Map<String, Double> of seasonality adjustments (annualized continuously compounded rates for the given month, i.e., the seasonality factor is exp(seasonalityAdjustment/12)), where the String keys are "january", "february", "march", "april", "may", "june", "july", "august", "september", "october", "november", "december".
seasonalAveragingNumberOfYears- If seasonalityAdjustments is null you may provide an integer representing a number of years to have the seasonality estimated from the past fixings in
annualizedZeroRates- Map<LocalDate, Double> of annualized zero rates for given maturities.
forwardsFixingLag- The fixing lag (e.g. "-3M" for -3 month)
forwardsFixingType- The fixing type (e.g. "endOfMonth")
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