Uses of Interface
net.finmath.marketdata.model.curves.DiscountCurve

Packages that use DiscountCurve

Package	Description
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.modelling.descriptor	Provides interface separating implementation from specification (of models and products)
net.finmath.montecarlo.assetderivativevaluation.models	Equity models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

Uses of DiscountCurve in net.finmath.fouriermethod.models

Methods in net.finmath.fouriermethod.models that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	MertonModel.getDiscountCurveForDiscountRate()
DiscountCurve	MertonModel.getDiscountCurveForForwardRate()

Constructors in net.finmath.fouriermethod.models with parameters of type DiscountCurve

Constructor and Description
BlackScholesModel(double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, DiscountCurve discountCurveForDiscountRate)
HestonModel(double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, DiscountCurve discountCurveForDiscountRate, double theta, double kappa, double xi, double rho) Create a Heston model (characteristic function)
HestonModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, DiscountCurve discountCurveForDiscountRate, double theta, double kappa, double xi, double rho) Create a Heston model (characteristic function)
MertonModel(double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, double jumpIntensity, double jumpSizeMean, double jumpSizeStdDev, DiscountCurve discountCurveForDiscountRate) Construct a Merton jump diffusion model with discount curves for the forward price (i.e. repo rate minus dividend yield) and for discounting.

Uses of DiscountCurve in net.finmath.marketdata.model

Methods in net.finmath.marketdata.model that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	AnalyticModel.getDiscountCurve(String discountCurveName) Returns a discount curve for a given name.
DiscountCurve	AnalyticModelFromCurvesAndVols.getDiscountCurve(String discountCurveName)

Uses of DiscountCurve in net.finmath.marketdata.model.curves

Classes in net.finmath.marketdata.model.curves that implement DiscountCurve

Modifier and Type	Class and Description
class	DiscountCurveFromForwardCurve A discount curve derived from a given forward curve.
class	DiscountCurveFromProductOfCurves A discount curve derived from other discount curves by multiplying the discount factors.
class	DiscountCurveInterpolation Implementation of a discount factor curve based on CurveInterpolation.
class	DiscountCurveNelsonSiegelSvensson Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	DiscountCurveRenormalized A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.

Methods in net.finmath.marketdata.model.curves that return DiscountCurve

Modifier and Type	Method and Description
static DiscountCurve	DiscountCurveInterpolation.createDiscountFactorsFromForwardRates(String name, TimeDiscretization tenor, double[] forwardRates) Create a discount curve from given time discretization and forward rates.

Constructors in net.finmath.marketdata.model.curves with parameters of type DiscountCurve

Constructor and Description
DiscountCurveFromProductOfCurves(String name, LocalDate referenceDate, DiscountCurve... curves) Create a discount curve using one or more curves.
IndexCurveFromDiscountCurve(String name, double indexValue, DiscountCurve discountCurve)

Uses of DiscountCurve in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	AbstractVolatilitySurface.getDiscountCurve()
DiscountCurve	OptionSurfaceData.getDiscountCurve()
DiscountCurve	OptionSurfaceData.getEquityForwardCurve()

Constructors in net.finmath.marketdata.model.volatilities with parameters of type DiscountCurve

Constructor and Description
AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
AbstractVolatilitySurfaceParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
CapletVolatilities(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling) Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling, VolatilitySurface.QuotingConvention quotingConvention) Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double displacement, boolean isDisplacementCalibrateable, double a, double b, double c, double d, double timeScaling) Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
OptionSurfaceData(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve) Creates an equity option surface from an array of smiles.
OptionSurfaceData(String underlying, LocalDate referenceDate, double[] strikes, double[] maturities, double[][] values, VolatilitySurface.QuotingConvention convention, DiscountCurve discountCurve, DiscountCurve equityForwardCurve) This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.
SwaptionMarketData(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
SwaptionMarketData(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)

Uses of DiscountCurve in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type DiscountCurve

Modifier and Type	Method and Description
static double	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve, DiscountCurve discountCurve)
static double	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurve discountCurve, AnalyticModel model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(Schedule schedule, DiscountCurve discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, DiscountCurve discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.

Uses of DiscountCurve in net.finmath.marketdata2.model.volatilities

Methods in net.finmath.marketdata2.model.volatilities that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	AbstractVolatilitySurface.getDiscountCurve()

Constructors in net.finmath.marketdata2.model.volatilities with parameters of type DiscountCurve

Constructor and Description
AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)

Uses of DiscountCurve in net.finmath.modelling.descriptor

Methods in net.finmath.modelling.descriptor that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	HestonModelDescriptor.getDiscountCurveForDiscountRate()
DiscountCurve	BlackScholesModelDescriptor.getDiscountCurveForDiscountRate()
DiscountCurve	HestonModelDescriptor.getDiscountCurveForForwardRate()
DiscountCurve	BlackScholesModelDescriptor.getDiscountCurveForForwardRate()

Constructors in net.finmath.modelling.descriptor with parameters of type DiscountCurve

Constructor and Description
BlackScholesModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility)
HestonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double theta, Double kappa, Double xi, Double rho)

Uses of DiscountCurve in net.finmath.montecarlo.assetderivativevaluation.models

Constructors in net.finmath.montecarlo.assetderivativevaluation.models with parameters of type DiscountCurve

Constructor and Description
BlackScholesModelWithCurves(Double initialValue, DiscountCurve discountCurveForForwardRate, Double volatility, DiscountCurve discountCurveForDiscountRate, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelWithCurves(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractProcessModel.
HestonModel(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, RandomVariable theta, RandomVariable kappa, RandomVariable xi, RandomVariable rho, HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory) Create a Heston model.

Uses of DiscountCurve in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type DiscountCurve

Modifier and Type

Method and Description

HybridAssetLIBORModelMonteCarloSimulation

ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type DiscountCurve

Constructor and Description

HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve) Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Uses of DiscountCurve in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	TermStructureModel.getDiscountCurve() Return the discount curve associated the forwards.

Uses of DiscountCurve in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return DiscountCurve

Modifier and Type	Method and Description
DiscountCurve	HullWhiteModelWithDirectSimulation.getDiscountCurve()
DiscountCurve	LIBORMarketModelFromCovarianceModel.getDiscountCurve()
DiscountCurve	LIBORMarketModelWithTenorRefinement.getDiscountCurve()
DiscountCurve	HullWhiteModelWithShiftExtension.getDiscountCurve()
DiscountCurve	HullWhiteModel.getDiscountCurve()
DiscountCurve	HullWhiteModelWithConstantCoeff.getDiscountCurve()
DiscountCurve	LIBORMarketModelStandard.getDiscountCurve()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type DiscountCurve

Modifier and Type	Method and Description
static HullWhiteModel	HullWhiteModel.of(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type DiscountCurve

Constructor and Description
HullWhiteModel(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithConstantCoeff(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, double meanReversion, double volatility, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithDirectSimulation(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithShiftExtension(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervalls, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModelInterface covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a model for given covariance.

Uses of DiscountCurve in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type DiscountCurve

Modifier and Type	Method and Description
Map<String,double[]>	SwaptionAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getLogSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionAnalyticApproximationRebonato.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve, double[] swapTenor) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, AnalyticModel model, DiscountCurve discountCurve, ForwardCurve forwardCurve) Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.