com.opengamma.strata.market.curve.interpolator

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 and 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.

Method Summary

Methods inherited from class java.lang.Object

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

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)) where f(x) is a linear function which is smoothly connected with a log-interpolator exp(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 right exp(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.