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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 30.11.2012
*/
package net.finmath.marketdata2.model.curves;
import net.finmath.marketdata2.model.AnalyticModel;
import net.finmath.stochastic.RandomVariable;
/**
* The interface which is implemented by forward curves.
*
* @author Christian Fries
* @version 1.0
*/
public interface ForwardCurveInterface extends Curve {
/**
* Returns the forward for the corresponding fixing time.
* @param model An analytic model providing a context. Some curves do not need this (can be null).
* @param fixingTime The fixing time of the index associated with this forward curve.
*
* @return The forward.
*/
RandomVariable getForward(AnalyticModel model, double fixingTime);
/**
* Returns the forward for the corresponding fixing time and paymentOffset.
* @param model An analytic model providing a context. Some curves do not need this (can be null).
* @param fixingTime The fixing time of the index associated with this forward curve.
* @param paymentOffset The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.
*
* @return The forward.
*/
RandomVariable getForward(AnalyticModel model, double fixingTime, double paymentOffset);
/**
* @return The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)
*/
String getDiscountCurveName();
/**
* Returns the payment offset associated with this forward curve and a corresponding fixingTime.
*
* @param fixingTime The fixing time of the index associated with this forward curve.
* @return The payment offset associated with this forward curve.
*/
double getPaymentOffset(double fixingTime);
}