net.finmath.marketdata.model.curves

Class ForwardCurveFromDiscountCurve

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.CurveInterpolation

net.finmath.marketdata.model.curves.AbstractForwardCurve

net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, ForwardCurve

public class ForwardCurveFromDiscountCurve
extends AbstractForwardCurve
implements Serializable

A forward curve derived from a given discount curve. The forward with fixing in \( t \) is calculated as \( (\frac{1}{dcf(t,t+d)} ( \frac{df(t)}{df(t+d)}-1 ) \) where \( dcf(t,t+d) \) is the daycount-fraction between t and t+d and \( t \mapsto df(t) \) is the given referenceDiscountCurveNameForForwardCurve. The payment offset \( t+d \) is either generated from the paymentOffsetCode or directly specified if paymentOffsetCode=NaN. The referenceDiscountCurveNameForForwardCurve is referenced by name and evaluated late (which allows use of this construct in a calibration process referencing changing discount curves.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.marketdata.model.curves.CurveInterpolation

CurveInterpolation.Builder, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, CurveInterpolation.InterpolationMethod, CurveInterpolation.Point

Constructor Summary

Constructors

Constructor and Description
ForwardCurveFromDiscountCurve(String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode) Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode) Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention) Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, DayCountConvention daycountConvention, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset) Create a forward curve using a given referenceDiscountCurveForForwards.

Method Summary

Modifier and Type	Method and Description
double	getForward(AnalyticModel model, double fixingTime) Returns the forward for the corresponding fixing time.
double	getForward(AnalyticModel model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time and paymentOffset.
double[]	getParameter() Get the current parameter associated with the state of the objects.
double	getValue(AnalyticModel model, double time) Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
double	getValue(double time) Returns the value for the time using the interpolation method associated with this curve.
String	toString()

Methods inherited from class net.finmath.marketdata.model.curves.AbstractForwardCurve

getDiscountCurveName, getForwards, getPaymentBusinessdayCalendar, getPaymentDateRollConvention, getPaymentOffset, getPaymentOffsetCode

Methods inherited from class net.finmath.marketdata.model.curves.CurveInterpolation

addPoint, clone, getCloneBuilder, getCloneForParameter, getExtrapolationMethod, getInterpolationEntity, getInterpolationMethod, getParameterIndex, getPoints, getTimeIndex, setParameter

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

getName, getReferenceDate, getValues

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.marketdata.model.curves.Curve

clone, getCloneBuilder, getCloneForParameter, getName, getReferenceDate

Methods inherited from interface net.finmath.marketdata.calibration.ParameterObject

setParameter

Constructor Detail

ForwardCurveFromDiscountCurve

public ForwardCurveFromDiscountCurve(String name,
                                     String referenceDiscountCurveName,
                                     String discountCurveName,
                                     LocalDate referenceDate,
                                     String paymentOffsetCode,
                                     BusinessdayCalendar paymentOffsetBusinessdayCalendar,
                                     BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention,
                                     DayCountConvention daycountConvention,
                                     double periodOffset)

Create a forward curve using a given referenceDiscountCurveForForwards.

Parameters:

name - The name under which the forward curve can be referenced.

referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.

discountCurveName - The name of the discount curve associated with this forward curve (usually OIS).

referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).

paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.

paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.

daycountConvention - The daycount convention \( dcf(t,t+d) \) use the time-scale the performance ratio derived from the discount factors.

periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

ForwardCurveFromDiscountCurve

public ForwardCurveFromDiscountCurve(String name,
                                     String referenceDiscountCurveName,
                                     String discountCurveName,
                                     LocalDate referenceDate,
                                     String paymentOffsetCode,
                                     BusinessdayCalendar paymentOffsetBusinessdayCalendar,
                                     BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention,
                                     double daycountScaling,
                                     double periodOffset)

Create a forward curve using a given referenceDiscountCurveForForwards.

Parameters:

name - The name under which the forward curve can be referenced.

referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.

discountCurveName - The name of the discount curve associated with this forward curve (usually OIS).

referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).

paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.

paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.

daycountScaling - The scaling factor applied to the paymentOffset measured in ACT/365.

periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

ForwardCurveFromDiscountCurve

public ForwardCurveFromDiscountCurve(String name,
                                     String referenceDiscountCurveName,
                                     LocalDate referenceDate,
                                     String paymentOffsetCode,
                                     BusinessdayCalendar paymentOffsetBusinessdayCalendar,
                                     BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention,
                                     double daycountScaling,
                                     double periodOffset)

Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).

Parameters:

name - The name under which the forward curve can be referenced.

referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.

referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).

paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.

paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.

daycountScaling - The scaling factor applied to the paymentOffset measured in ACT/365.

periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

ForwardCurveFromDiscountCurve

public ForwardCurveFromDiscountCurve(String name,
                                     String referenceDiscountCurveName,
                                     LocalDate referenceDate,
                                     String paymentOffsetCode,
                                     BusinessdayCalendar paymentOffsetBusinessdayCalendar,
                                     BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention)

Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).

Parameters:

name - The name under which the forward curve can be referenced.

referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.

referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).

paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.

paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.

ForwardCurveFromDiscountCurve

public ForwardCurveFromDiscountCurve(String name,
                                     String referenceDiscountCurveName,
                                     LocalDate referenceDate,
                                     String paymentOffsetCode)

Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).

Parameters:

name - The name under which the forward curve can be referenced.

referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.

referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).

paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

ForwardCurveFromDiscountCurve

public ForwardCurveFromDiscountCurve(String referenceDiscountCurveName,
                                     LocalDate referenceDate,
                                     String paymentOffsetCode)

Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve). The name of the this forward curve will be "ForwardCurveFromDiscountCurve(" + referenceDiscountCurveName + "," + paymentOffsetCode + ")", but code should not reply on this. Instead you should use getName() to get the name of the curve.

Parameters:

referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.

referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).

paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

Method Detail

getForward

public double getForward(AnalyticModel model,
                         double fixingTime)

Description copied from interface: ForwardCurve

Returns the forward for the corresponding fixing time.

Specified by:

getForward in interface ForwardCurve

Parameters:

model - An analytic model providing a context. Some curves do not need this (can be null).

fixingTime - The fixing time of the index associated with this forward curve.

Returns:

The forward.

getForward

public double getForward(AnalyticModel model,
                         double fixingTime,
                         double paymentOffset)

Description copied from interface: ForwardCurve

Returns the forward for the corresponding fixing time and paymentOffset.

Specified by:

getForward in interface ForwardCurve

Parameters:

model - An analytic model providing a context. Some curves do not need this (can be null).

fixingTime - The fixing time of the index associated with this forward curve.

paymentOffset - The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.

Returns:

The forward.

getValue

public double getValue(double time)

Description copied from interface: Curve

Returns the value for the time using the interpolation method associated with this curve.

Specified by:

getValue in interface Curve

Overrides:

getValue in class CurveInterpolation

Parameters:

time - Time for which the value should be returned.

Returns:

The value at the give time.

getValue

public double getValue(AnalyticModel model,
                       double time)

Description copied from interface: Curve

Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model. The model (context) is needed only if the curve relies on another curve. Examples are a forward curve which relies on a discount curve or a discount curve which is defined via a spread over another curve.

Specified by:

getValue in interface Curve

Overrides:

getValue in class CurveInterpolation

Parameters:

model - An analytic model providing a context.

time - Time for which the value should be returned.

Returns:

The value at the give time.

getParameter

public double[] getParameter()

Description copied from interface: ParameterObject

Get the current parameter associated with the state of the objects.

Specified by:

getParameter in interface ParameterObject

Overrides:

getParameter in class CurveInterpolation

Returns:

The parameter.

toString

public String toString()

Overrides:

toString in class AbstractForwardCurve