Package com.opengamma.strata.market.curve

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 Summary

Modifier and Type	Method	Description
NodalCurve	curve(LocalDate valuationDate, CurveMetadata metadata, DoubleArray parameters)	Creates the curve from an array of parameter values.
NodalCurveDefinition	filtered(LocalDate valuationDate, ReferenceData refData)	Returns a filtered version of this definition with no invalid nodes.
default int	getParameterCount()	Gets the number of parameters in the curve.
default ImmutableList<Double>	initialGuess(MarketData marketData)	Gets the list of all initial guesses.

Methods inherited from interface com.opengamma.strata.market.curve.CurveDefinition

getName, getNodes, getYValueType, metadata, toCurveParameterSize

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(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(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 ImmutableList<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