Package com.opengamma.strata.market.curve

Class Curves

java.lang.Object

com.opengamma.strata.market.curve.Curves

public final class Curves
extends Object

Helper for creating common types of curves.

Method Summary

Modifier and Type	Method	Description
static CurveMetadata	blackVolatilityByExpiry(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing Black volatility by expiry.
static CurveMetadata	blackVolatilityByExpiry(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing Black volatility by expiry.
static CurveMetadata	blackVolatilityByExpiry(String name, DayCount dayCount)	Creates curve metadata for a curve providing Black volatility by expiry.
static CurveMetadata	correlationByExpiry(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing correlation by expiry.
static CurveMetadata	correlationByExpiry(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing correlation by expiry.
static CurveMetadata	correlationByExpiry(String name, DayCount dayCount)	Creates curve metadata for a curve providing correlation by expiry.
static CurveMetadata	discountFactors(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing discount factors.
static CurveMetadata	discountFactors(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing discount factors.
static CurveMetadata	discountFactors(String name, DayCount dayCount)	Creates curve metadata for a curve providing discount factors.
static CurveMetadata	forwardRates(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing forward rates.
static CurveMetadata	forwardRates(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing forward rates.
static CurveMetadata	forwardRates(String name, DayCount dayCount)	Creates curve metadata for a curve providing forward rates.
static CurveMetadata	normalVolatilityByExpiry(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing normal volatility by expiry.
static CurveMetadata	normalVolatilityByExpiry(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing normal volatility by expiry.
static CurveMetadata	normalVolatilityByExpiry(String name, DayCount dayCount)	Creates curve metadata for a curve providing normal volatility by expiry.
static CurveMetadata	prices(CurveName name)	Creates curve metadata for a curve providing monthly prices, typically used in inflation.
static CurveMetadata	prices(CurveName name, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing monthly prices, typically used in inflation.
static CurveMetadata	prices(String name)	Creates curve metadata for a curve providing monthly prices, typically used in inflation.
static CurveMetadata	recoveryRates(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing recovery rates.
static CurveMetadata	recoveryRates(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing recovery rates.
static CurveMetadata	recoveryRates(String name, DayCount dayCount)	Creates curve metadata for a curve providing recovery rates.
static CurveMetadata	sabrParameterByExpiry(CurveName name, DayCount dayCount, ValueType yType)	Creates metadata for a curve providing a SABR parameter.
static CurveMetadata	sabrParameterByExpiry(CurveName name, DayCount dayCount, ValueType yType, List<? extends ParameterMetadata> parameterMetadata)	Creates metadata for a curve providing a SABR parameter.
static CurveMetadata	sabrParameterByExpiry(String name, DayCount dayCount, ValueType yType)	Creates metadata for a curve providing a SABR parameter.
static CurveMetadata	zeroRates(CurveName name, DayCount dayCount)	Creates curve metadata for a curve providing zero rates.
static CurveMetadata	zeroRates(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)	Creates curve metadata for a curve providing zero rates.
static CurveMetadata	zeroRates(String name, DayCount dayCount)	Creates curve metadata for a curve providing zero rates.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

zeroRates

public static CurveMetadata zeroRates(String name,
                                      DayCount dayCount)

Creates curve metadata for a curve providing zero rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

zeroRates

public static CurveMetadata zeroRates(CurveName name,
                                      DayCount dayCount)

Creates curve metadata for a curve providing zero rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

zeroRates

public static CurveMetadata zeroRates(CurveName name,
                                      DayCount dayCount,
                                      List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing zero rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata

forwardRates

public static CurveMetadata forwardRates(String name,
                                         DayCount dayCount)

Creates curve metadata for a curve providing forward rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

forwardRates

public static CurveMetadata forwardRates(CurveName name,
                                         DayCount dayCount)

Creates curve metadata for a curve providing forward rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

forwardRates

public static CurveMetadata forwardRates(CurveName name,
                                         DayCount dayCount,
                                         List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing forward rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata

discountFactors

public static CurveMetadata discountFactors(String name,
                                            DayCount dayCount)

Creates curve metadata for a curve providing discount factors.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

discountFactors

public static CurveMetadata discountFactors(CurveName name,
                                            DayCount dayCount)

Creates curve metadata for a curve providing discount factors.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

discountFactors

public static CurveMetadata discountFactors(CurveName name,
                                            DayCount dayCount,
                                            List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing discount factors.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata

prices

public static CurveMetadata prices(String name)

Creates curve metadata for a curve providing monthly prices, typically used in inflation.

The x-values represent months relative to an unspecified base month.

Parameters:

name - the curve name

Returns:

the curve metadata

prices

public static CurveMetadata prices(CurveName name)

Creates curve metadata for a curve providing monthly prices, typically used in inflation.

The x-values represent months relative to an unspecified base month.

Parameters:

name - the curve name

Returns:

the curve metadata

prices

public static CurveMetadata prices(CurveName name,
                                   List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing monthly prices, typically used in inflation.

The x-values represent months relative to an unspecified base month.

Parameters:

name - the curve name

parameterMetadata - the parameter metadata

Returns:

the curve metadata

blackVolatilityByExpiry

public static CurveMetadata blackVolatilityByExpiry(String name,
                                                    DayCount dayCount)

Creates curve metadata for a curve providing Black volatility by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

blackVolatilityByExpiry

public static CurveMetadata blackVolatilityByExpiry(CurveName name,
                                                    DayCount dayCount)

Creates curve metadata for a curve providing Black volatility by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

blackVolatilityByExpiry

public static CurveMetadata blackVolatilityByExpiry(CurveName name,
                                                    DayCount dayCount,
                                                    List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing Black volatility by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata

normalVolatilityByExpiry

public static CurveMetadata normalVolatilityByExpiry(String name,
                                                     DayCount dayCount)

Creates curve metadata for a curve providing normal volatility by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

normalVolatilityByExpiry

public static CurveMetadata normalVolatilityByExpiry(CurveName name,
                                                     DayCount dayCount)

Creates curve metadata for a curve providing normal volatility by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

normalVolatilityByExpiry

public static CurveMetadata normalVolatilityByExpiry(CurveName name,
                                                     DayCount dayCount,
                                                     List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing normal volatility by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata

recoveryRates

public static CurveMetadata recoveryRates(String name,
                                          DayCount dayCount)

Creates curve metadata for a curve providing recovery rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

recoveryRates

public static CurveMetadata recoveryRates(CurveName name,
                                          DayCount dayCount)

Creates curve metadata for a curve providing recovery rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

recoveryRates

public static CurveMetadata recoveryRates(CurveName name,
                                          DayCount dayCount,
                                          List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing recovery rates.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata

sabrParameterByExpiry

public static CurveMetadata sabrParameterByExpiry(String name,
                                                  DayCount dayCount,
                                                  ValueType yType)

Creates metadata for a curve providing a SABR parameter.

The x-values represent time to expiry year fractions as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

yType - the y-value type, which must be one of the four SABR values

Returns:

the curve metadata

sabrParameterByExpiry

public static CurveMetadata sabrParameterByExpiry(CurveName name,
                                                  DayCount dayCount,
                                                  ValueType yType)

Creates metadata for a curve providing a SABR parameter.

The x-values represent time to expiry year fractions as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

yType - the y-value type, which must be one of the four SABR values

Returns:

the curve metadata

sabrParameterByExpiry

public static CurveMetadata sabrParameterByExpiry(CurveName name,
                                                  DayCount dayCount,
                                                  ValueType yType,
                                                  List<? extends ParameterMetadata> parameterMetadata)

Creates metadata for a curve providing a SABR parameter.

The x-values represent time to expiry year fractions as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

yType - the y-value type, which must be one of the four SABR values

parameterMetadata - the parameter metadata

Returns:

the curve metadata

correlationByExpiry

public static CurveMetadata correlationByExpiry(String name,
                                                DayCount dayCount)

Creates curve metadata for a curve providing correlation by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

correlationByExpiry

public static CurveMetadata correlationByExpiry(CurveName name,
                                                DayCount dayCount)

Creates curve metadata for a curve providing correlation by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

Returns:

the curve metadata

correlationByExpiry

public static CurveMetadata correlationByExpiry(CurveName name,
                                                DayCount dayCount,
                                                List<? extends ParameterMetadata> parameterMetadata)

Creates curve metadata for a curve providing correlation by expiry.

The x-values represent year fractions relative to an unspecified base date as defined by the specified day count.

Parameters:

name - the curve name

dayCount - the day count

parameterMetadata - the parameter metadata

Returns:

the curve metadata