Class CurveExtrapolators
 java.lang.Object

 com.opengamma.strata.market.curve.interpolator.CurveExtrapolators

public final class CurveExtrapolators extends Object
The standard set of curve extrapolators.


Field Summary
Fields Modifier and Type Field Description static CurveExtrapolator
DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE
Discount factor linear right extrapolator for zeor rates.static CurveExtrapolator
DISCOUNT_FACTOR_QUADRATIC_LEFT_ZERO_RATE
Discount factor quadratic left extrapolator for zero rates.static CurveExtrapolator
EXCEPTION
Extrapolator that throws an exception if extrapolation is attempted.static CurveExtrapolator
EXPONENTIAL
Exponential extrapolator.static CurveExtrapolator
FLAT
Flat extrapolator.static CurveExtrapolator
INTERPOLATOR
Interpolator extrapolator.static CurveExtrapolator
LINEAR
Linear extrapolator.static CurveExtrapolator
LOG_LINEAR
Log linear extrapolator.static CurveExtrapolator
PRODUCT_LINEAR
Product linear extrapolator.static CurveExtrapolator
QUADRATIC_LEFT
Quadratic left extrapolator.



Field Detail

FLAT
public static final CurveExtrapolator FLAT
Flat extrapolator.The leftmost (rightmost) point of the data set is used for all extrapolated values.

LINEAR
public static final CurveExtrapolator LINEAR
Linear extrapolator.The extrapolation continues linearly from the leftmost (rightmost) point of the data set.

LOG_LINEAR
public static final CurveExtrapolator LOG_LINEAR
Log linear extrapolator.The extrapolant is
exp(f(x))
wheref(x)
is a linear function which is smoothly connected with a loginterpolatorexp(F(x))
.

QUADRATIC_LEFT
public static final CurveExtrapolator QUADRATIC_LEFT
Quadratic left extrapolator.This left extrapolator is designed for extrapolating a discount factor where the trivial point (0d,1d) is NOT involved in the data. The extrapolation is completed by applying a quadratic extrapolant on the discount factor (not log of the discount factor), where the point (0d,1d) is inserted and the first derivative value is assumed to be continuous at the first key.

DISCOUNT_FACTOR_QUADRATIC_LEFT_ZERO_RATE
public static final CurveExtrapolator DISCOUNT_FACTOR_QUADRATIC_LEFT_ZERO_RATE
Discount factor quadratic left extrapolator for zero rates.This left extrapolator is designed for extrapolating a discount factor for zero rate inputs where the trivial point (0d,1d) is NOT involved in the data. Use
QUADRATIC_LEFT
if the input data is discount factor values.The extrapolation is completed by applying a quadratic extrapolant on the discount factor (not log of the discount factor), where the point (0d,1d) is inserted and the first derivative value is assumed to be continuous at the first key.

DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE
public static final CurveExtrapolator DISCOUNT_FACTOR_LINEAR_RIGHT_ZERO_RATE
Discount factor linear right extrapolator for zeor rates.This right extrapolator is designed for extrapolating a discount factor for zero rate inputs. Use
LINEAR
if the input data is discount factor values.The gradient of the extrapolation is determined so that the first derivative value of the discount factor is continuous at the last key.

PRODUCT_LINEAR
public static final CurveExtrapolator PRODUCT_LINEAR
Product linear extrapolator.Given a data set
(xValues[i], yValues[i])
, extrapolate(x[i], x[i] * y[i])
by a linear function.The gradient of the extrapolation is obtained from the gradient of the interpolated curve on
(x[i], x[i] * y[i])
at the first/last node.The extrapolation is ambiguous at x=0. Thus the following rule applies: The x value of the first node must be strictly negative for the left extrapolation, whereas the x value of the last node must be strictly positive for the right extrapolation.

EXPONENTIAL
public static final CurveExtrapolator EXPONENTIAL
Exponential extrapolator.Outside the data range the function is an exponential exp(m*x) where m is such that on the left
exp(m * firstXValue) = firstYValue
and on the rightexp(m * lastXValue) = lastYValue
.

EXCEPTION
public static final CurveExtrapolator EXCEPTION
Extrapolator that throws an exception if extrapolation is attempted.

INTERPOLATOR
public static final CurveExtrapolator INTERPOLATOR
Interpolator extrapolator.The extrapolator does no extrapolation itself and delegates to the interpolator for all operations.

