net.finmath.marketdata.model.curves.ForwardCurveWithFixings Maven / Gradle / Ivy
Go to download
Show more of this group Show more artifacts with this name
Show all versions of finmath-lib Show documentation
Show all versions of finmath-lib Show documentation
finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 22.05.2014
*/
package net.finmath.marketdata.model.curves;
import net.finmath.marketdata.model.AnalyticModel;
/**
* @author Christian Fries
*
* @version 1.0
*/
public class ForwardCurveWithFixings extends PiecewiseCurve implements ForwardCurve {
private static final long serialVersionUID = -6192098475095644443L;
/**
* Create a piecewise forward curve.
*
* @param curveInterface Base curve, to be used by default.
* @param fixedPartCurve CurveFromInterpolationPoints to be used for the open time interval from fixedPartStartTime to fixedPartEndTime.
* @param fixedPartStartTime Start time of the interval where we use the fixedPartCurve.
* @param fixedPartEndTime End time of the interval where we use the fixedPartCurve.
*/
public ForwardCurveWithFixings(final ForwardCurve curveInterface, final ForwardCurve fixedPartCurve, final double fixedPartStartTime, final double fixedPartEndTime) {
super(curveInterface, fixedPartCurve, fixedPartStartTime, fixedPartEndTime);
}
@Override
public double getForward(final AnalyticModel model, final double fixingTime) {
if(fixingTime > this.getFixedPartStartTime() && fixingTime < this.getFixedPartEndTime()) {
return ((ForwardCurve)getFixedPartCurve()).getForward(model, fixingTime);
}
else {
return ((ForwardCurve)getBaseCurve()).getForward(model, fixingTime);
}
}
@Override
public double getForward(final AnalyticModel model, final double fixingTime, final double paymentOffset) {
if(fixingTime > this.getFixedPartStartTime() && fixingTime < this.getFixedPartEndTime()) {
return ((ForwardCurve)getFixedPartCurve()).getForward(model, fixingTime, paymentOffset);
}
else {
return ((ForwardCurve)getBaseCurve()).getForward(model, fixingTime, paymentOffset);
}
}
/**
* Returns the forwards for a given vector fixing times.
*
* @param model An analytic model providing a context. The discount curve (if needed) is obtained from this model.
* @param fixingTimes The given fixing times.
* @return The forward rates.
*/
public double[] getForwards(final AnalyticModel model, final double[] fixingTimes)
{
final double[] values = new double[fixingTimes.length];
for(int i=0; i