Package com.opengamma.strata.market.curve

Class InterpolatedNodalCurveDefinition

  • All Implemented Interfaces:
    CurveDefinition, NodalCurveDefinition, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class InterpolatedNodalCurveDefinition
extends Object
implements NodalCurveDefinition, org.joda.beans.ImmutableBean, Serializable
    Provides the definition of how to calibrate an interpolated 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.

    See Also:
    Serialized Form

    • Method Detail

      • filtered

        public InterpolatedNodalCurveDefinition filtered​(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
        Specified by:
        filtered in interface NodalCurveDefinition
        Parameters:
        valuationDate - the valuation date
        refData - the reference data
        Returns:
        the resolved definition, that should be used in preference to this one

      • metadata

        public CurveMetadata metadata​(LocalDate valuationDate,
                              ReferenceData refData)
        Description copied from interface: CurveDefinition
        Creates the curve metadata.

        This method returns metadata about the curve and the curve parameters.

        For example, a curve may be defined based on financial instruments. The parameters might represent 1 day, 1 week, 1 month, 3 months, 6 months and 12 months. The metadata could be used to describe each parameter in terms of a Period.

        The optional parameter-level metadata will be populated on the resulting metadata. The size of the parameter-level metadata will match the number of parameters of this curve.

        Specified by:
        metadata in interface CurveDefinition
        Parameters:
        valuationDate - the valuation date
        refData - the reference data
        Returns:
        the metadata

      • getName

        public CurveName getName()
        Gets the curve name.
        Specified by:
        getName in interface CurveDefinition
        Returns:
        the value of the property, not null

      • getXValueType

        public ValueType getXValueType()
        Gets the x-value type, providing meaning to the x-values of the curve.

        This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using ValueType.YEAR_FRACTION.

        If using the builder, this defaults to ValueType.UNKNOWN.

        Returns:
        the value of the property, not null

      • getYValueType

        public ValueType getYValueType()
        Gets the y-value type, providing meaning to the y-values of the curve.

        This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using ValueType.ZERO_RATE.

        If using the builder, this defaults to ValueType.UNKNOWN.

        Specified by:
        getYValueType in interface CurveDefinition
        Returns:
        the value of the property, not null

      • getDayCount

        public Optional<DayCount> getDayCount()
        Gets the day count, optional.

        If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.

        Returns:
        the optional value of the property, not null

      • getNodes

        public ImmutableList<CurveNode> getNodes()
        Gets the nodes in the curve.

        The nodes are used to find the par rates and calibrate the curve. There must be at least two nodes in the curve.

        Specified by:
        getNodes in interface CurveDefinition
        Returns:
        the value of the property, not null

      • getInterpolator

        public CurveInterpolator getInterpolator()
        Gets the interpolator used to find points on the curve.
        Returns:
        the value of the property, not null

      • getExtrapolatorLeft

        public CurveExtrapolator getExtrapolatorLeft()
        Gets the extrapolator used to find points to the left of the leftmost point on the curve.
        Returns:
        the value of the property, not null

      • getExtrapolatorRight

        public CurveExtrapolator getExtrapolatorRight()
        Gets the extrapolator used to find points to the right of the rightmost point on the curve.
        Returns:
        the value of the property, not null

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object