Interface NodalCurveDefinition

  • All Superinterfaces:
    CurveDefinition
    All Known Implementing Classes:
    InterpolatedNodalCurveDefinition

    public interface NodalCurveDefinition
    extends CurveDefinition
    Provides the definition of how to calibrate a nodal curve.

    A nodal curve is built from a number of parameters and described by metadata. Calibration is based on a list of CurveNode instances, one for each parameter, that specify the underlying instruments.

    • Method Detail

      • getParameterCount

        default int getParameterCount()
        Description copied from interface: CurveDefinition
        Gets the number of parameters in the curve.

        This returns the number of parameters in the curve, which is not necessarily equal the size of getNodes().

        Specified by:
        getParameterCount in interface CurveDefinition
        Returns:
        the number of parameters
      • filtered

        NodalCurveDefinition filtered​(java.time.LocalDate valuationDate,
                                      ReferenceData refData)
        Description copied from interface: CurveDefinition
        Returns a filtered version of this definition with no invalid nodes.

        A curve is formed of a number of nodes, each of which has an associated date. To be valid, the curve node dates must be in order from earliest to latest. Each node has certain rules, CurveNodeDateOrder, that are used to determine what happens if the date of one curve node is equal or earlier than the date of the previous node.

        Filtering occurs in two stages. The first stage looks at each node in turn. The previous and next nodes are checked for clash. If clash occurs, then one of the two nodes is dropped according to the clash action "drop" values. The second stage then looks again at the nodes, and if there are still any invalid nodes, an exception is thrown.

        This approach means that in most cases, only those nodes that have fixed dates, such as futures, need to be annotated with CurveNodeDateOrder.

        Specified by:
        filtered in interface CurveDefinition
        Parameters:
        valuationDate - the valuation date
        refData - the reference data
        Returns:
        the resolved definition, that should be used in preference to this one
      • curve

        NodalCurve curve​(java.time.LocalDate valuationDate,
                         CurveMetadata metadata,
                         DoubleArray parameters)
        Description copied from interface: CurveDefinition
        Creates the curve from an array of parameter values.

        The meaning of the parameters is determined by the implementation. The size of the array must match the count of parameters.

        Specified by:
        curve in interface CurveDefinition
        Parameters:
        valuationDate - the valuation date
        metadata - the curve metadata
        parameters - the array of parameters
        Returns:
        the curve
      • initialGuess

        default com.google.common.collect.ImmutableList<java.lang.Double> initialGuess​(MarketData marketData)
        Description copied from interface: CurveDefinition
        Gets the list of all initial guesses.

        This returns initial guess for the curve parameters. The valuation date is defined by the market data.

        Specified by:
        initialGuess in interface CurveDefinition
        Parameters:
        marketData - the market data required to build a trade for the instrument, including the valuation date
        Returns:
        the initial guess