webcab.lib.finance.pricing.contexts
Interface ForwardRateContext

All Superinterfaces:

ScalarContext, SpotRateContext

public interface ForwardRateContext

extends SpotRateContext

This interface is implemented by all contexts supporting the FORWARD_RATE category. It offers access to the forward rate curve. The models providing this type of context are called models of the forward rate, as opposed to the spot rate models (both are interest rate models). The forward rate models included are:

• SimplifiedBGM
• HJM

Method Summary

double	getForwardRate(double yearsToStart, double yearsToEnd) Returns the forward rate between two future moments in time.
double	getInstantaneousForwardRate(double timeToMaturity) Returns the instantaneous forward rate (i.e the present forward rate) with maturity in years timeToMaturity.

Methods inherited from interface webcab.lib.finance.pricing.contexts.SpotRateContext

getSpotRate

Methods inherited from interface webcab.lib.finance.pricing.contexts.ScalarContext

getValue

Method Detail

getInstantaneousForwardRate

public double getInstantaneousForwardRate(double timeToMaturity)
                                   throws NotDefinedException

Returns the instantaneous forward rate (i.e the present forward rate) with maturity in years timeToMaturity. Note that the forward rates measures the interest rate over a period, therefore the interest rate returned here is generally assumed to apply from the present point in time until the maturity date.

Parameters:

timeToMaturity - the number of the years forward at which the forward rate is returned.

Returns:

double

Throws:

NotDefinedException

getForwardRate

public double getForwardRate(double yearsToStart,
                             double yearsToEnd)
                      throws NotDefinedException

Returns the forward rate between two future moments in time. The future interval is given by the number of years until the start of the interval yearsToStart, and the number of years until the end of the interval yearsToEnd.

Parameters:

yearsToStart - the begining of the interval on which the rate applies

yearsToEnd - the end of the interval on which the rate applies

Returns:

double

Throws:

NotDefinedException