Enum Class CurveInterpolation

java.lang.Object

java.lang.Enum<CurveInterpolation>

com.quantfinlib.rates.CurveInterpolation

All Implemented Interfaces:

Serializable, Comparable<CurveInterpolation>, Constable

public enum CurveInterpolation
extends Enum<CurveInterpolation>

How a DiscountCurve fills in between its pillars. Both schemes work on y(t) = -ln P(t), the integrated instantaneous forward, so every pillar discount factor is reproduced exactly.

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
LOG_LINEAR_DISCOUNT	Linear in ln P(t): the instantaneous forward is constant on each pillar interval and jumps at the pillars.
MONOTONE_CONVEX	Monotone-convex (Hagan and West 2006, "Interpolation Methods for Curve Construction", Applied Mathematical Finance 13(2), sections 4-5): a continuous instantaneous forward curve built from the discrete pillar-interval forwards, keeping each interval's average forward and preserving monotonicity of the discrete forwards.

Method Summary

Modifier and Type	Method	Description
static CurveInterpolation	valueOf(String name)	Returns the enum constant of this class with the specified name.
static CurveInterpolation[]	values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

LOG_LINEAR_DISCOUNT

public static final CurveInterpolation LOG_LINEAR_DISCOUNT

Linear in ln P(t): the instantaneous forward is constant on each pillar interval and jumps at the pillars. Local (moving one pillar changes only its two neighbouring intervals), which makes a pillar-by-pillar bootstrap exact. Extrapolates with the last interval's forward.

MONOTONE_CONVEX

public static final CurveInterpolation MONOTONE_CONVEX

Monotone-convex (Hagan and West 2006, "Interpolation Methods for Curve Construction", Applied Mathematical Finance 13(2), sections 4-5): a continuous instantaneous forward curve built from the discrete pillar-interval forwards, keeping each interval's average forward and preserving monotonicity of the discrete forwards. The positivity amendment of the paper is not applied, so negative rates are allowed. Extrapolates with the forward at the last pillar.

Method Details

values

public static CurveInterpolation[] values()

Returns an array containing the constants of this enum class, in the order they are declared.

Returns:

an array containing the constants of this enum class, in the order they are declared

valueOf

public static CurveInterpolation valueOf(String name)

Returns the enum constant of this class with the specified name. The string must match exactly an identifier used to declare an enum constant in this class. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum class has no constant with the specified name

NullPointerException - if the argument is null