net.finmath.marketdata.model.curves

Class ForwardCurveNelsonSiegelSvensson

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, ForwardCurve

public class ForwardCurveNelsonSiegelSvensson
extends AbstractCurve
implements Serializable, ForwardCurve

Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization. In the NSS parameterization the zero rate \( r(T) \) is given by \[ r(T) = \beta_0 + \beta_1 \frac{1-x_0}{T/\tau_0} + \beta_2 ( \frac{1-x_0}{T/\tau_0} - x_0) + \beta_3 ( \frac{1-x_1}{T/\tau_1} - x_1) \] where \( x_0 = \exp(-T/\tau_0) \) and \( x_1 = \exp(-T/\tau_1) \). The sub-family of curves with \( \beta_3 = 0 \) is called Nelson-Siegel parameterization.

Version:

1.0

Author:

Christian Fries

See Also:

DiscountCurveNelsonSiegelSvensson, Serialized Form

Constructor Summary

Constructors

Constructor and Description
ForwardCurveNelsonSiegelSvensson(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, DayCountConvention daycountConvention, double[] parameter, double timeScaling)
ForwardCurveNelsonSiegelSvensson(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, DayCountConvention daycountConvention, double[] parameter, double timeScaling, double periodOffset)

Method Summary

Modifier and Type	Method and Description
ForwardCurveNelsonSiegelSvensson	clone() Create a deep copied clone.
CurveBuilder	getCloneBuilder() Returns a curve builder bases on a clone of this curve.
ForwardCurveNelsonSiegelSvensson	getCloneForParameter(double[] value) Create a clone with a modified parameter.
String	getDiscountCurveName()
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[]	getForwards(AnalyticModel model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double[]	getParameter() Get the current parameter associated with the state of the objects.
double	getPaymentOffset(double fixingTime) Returns the payment offset associated with this forward curve and a corresponding fixingTime.
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.
void	setParameter(double[] parameter) Set the current parameter and change the state of the objects.

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

getName, getReferenceDate, getValue, getValues, toString

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

getName, getReferenceDate, getValue

Constructor Detail

ForwardCurveNelsonSiegelSvensson

public ForwardCurveNelsonSiegelSvensson(String name,
                                        LocalDate referenceDate,
                                        String paymentOffsetCode,
                                        BusinessdayCalendar paymentBusinessdayCalendar,
                                        BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
                                        DayCountConvention daycountConvention,
                                        double[] parameter,
                                        double timeScaling,
                                        double periodOffset)

Parameters:

name - The name of the curve. The curve can be fetched under this name when being part of an AnalyticModelFromCurvesAndVols.

referenceDate - The reference date to the curve, i.e., the date associated with t=0.

paymentOffsetCode - The payment offset code, like 3M, 6M, 12M, etc., used in calculating forwards from discount factors.

paymentBusinessdayCalendar - The payment businessday calendar.

paymentDateRollConvention - The payment date roll convention.

daycountConvention - The daycount convention.

parameter - The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

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

ForwardCurveNelsonSiegelSvensson

public ForwardCurveNelsonSiegelSvensson(String name,
                                        LocalDate referenceDate,
                                        String paymentOffsetCode,
                                        BusinessdayCalendar paymentBusinessdayCalendar,
                                        BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
                                        DayCountConvention daycountConvention,
                                        double[] parameter,
                                        double timeScaling)

Parameters:

name - The name of the curve. The curve can be fetched under this name when being part of an AnalyticModelFromCurvesAndVols.

referenceDate - The reference date to the curve, i.e., the date associated with t=0.

paymentOffsetCode - The payment offset code, like 3M, 6M, 12M, etc., used in calculating forwards from discount factors.

paymentBusinessdayCalendar - The payment businessday calendar.

paymentDateRollConvention - The payment date roll convention.

daycountConvention - The daycount convention.

parameter - The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

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.

getDiscountCurveName

public String getDiscountCurveName()

Specified by:

getDiscountCurveName in interface ForwardCurve

Returns:

The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)

getCloneBuilder

public CurveBuilder getCloneBuilder()

Description copied from interface: Curve

Returns a curve builder bases on a clone of this curve. Using that curve builder you may create a new curve from this curve by adding points or changing properties. Note: The clone has the same name than this one.

Specified by:

getCloneBuilder in interface Curve

Returns:

An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.

clone

public ForwardCurveNelsonSiegelSvensson clone()
                                       throws CloneNotSupportedException

Description copied from interface: Curve

Create a deep copied clone.

Specified by:

clone in interface Curve

Overrides:

clone in class AbstractCurve

Returns:

A clone (deep copied).

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.

getCloneForParameter

public ForwardCurveNelsonSiegelSvensson getCloneForParameter(double[] value)
                                                      throws CloneNotSupportedException

Description copied from interface: ParameterObject

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface ParameterObject

Specified by:

getCloneForParameter in interface Curve

Overrides:

getCloneForParameter in class AbstractCurve

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

CloneNotSupportedException - Thrown, when the curve could not be cloned.

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

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

Returns:

The parameter.

getForwards

public double[] getForwards(AnalyticModel model,
                            double[] fixingTimes)

Returns the forwards for a given vector fixing times.

Parameters:

model - An analytic model providing a context. The discount curve (if needed) is obtained from this model.

fixingTimes - The given fixing times.

Returns:

The forward rates.

setParameter

public void setParameter(double[] parameter)

Description copied from interface: ParameterObject

Set the current parameter and change the state of the objects.

Specified by:

setParameter in interface ParameterObject

Parameters:

parameter - The parameter associated with the new state of the objects.

getPaymentOffset

public double getPaymentOffset(double fixingTime)

Description copied from interface: ForwardCurve

Returns the payment offset associated with this forward curve and a corresponding fixingTime.

Specified by:

getPaymentOffset in interface ForwardCurve

Parameters:

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

Returns:

The payment offset associated with this forward curve.