net.finmath.marketdata2.model.curves

Class DiscountCurveFromForwardCurve

java.lang.Object

net.finmath.marketdata2.model.curves.AbstractCurve

net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, DiscountCurveInterface

public class DiscountCurveFromForwardCurve
extends AbstractCurve
implements Serializable, DiscountCurveInterface

A discount curve derived from a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.

Note that a special interpolation is performed for in-between points. Hence, creating a ForwardCurveFromDiscountCurve and from it a DiscountCurveFromForwardCurve will not recover the original curve since interpolation points may be lost.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve) Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve, double periodLengthTimeScaling) Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String forwardCurveName) Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String forwardCurveName, double periodLengthTimeScaling) Create a discount curve using a given forward curve.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
CurveBuilder	getCloneBuilder() Returns a curve builder bases on a clone of this curve.
RandomVariable	getDiscountFactor(AnalyticModel model, double maturity) Returns the discount factor for the corresponding maturity.
RandomVariable	getDiscountFactor(double maturity) Returns the discount factor for the corresponding maturity.
RandomVariable[]	getParameter() Get the current parameter associated with the state of the objects.
RandomVariable	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.
int	hashCode()
void	setParameter(RandomVariable[] parameter) Set the current parameter and change the state of the objects.

Methods inherited from class net.finmath.marketdata2.model.curves.AbstractCurve

clone, getCloneForParameter, getName, getReferenceDate, getValue, getValues, toString

Methods inherited from class java.lang.Object

finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.marketdata2.model.curves.Curve

clone, getCloneForParameter, getName, getReferenceDate, getValue

Constructor Detail

DiscountCurveFromForwardCurve

public DiscountCurveFromForwardCurve(String forwardCurveName,
                                     double periodLengthTimeScaling)

Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.

Parameters:

forwardCurveName - The name of the forward curve used for calculation of the discount factors.

periodLengthTimeScaling - A scaling factor applied to d, adjusting for the internal double time to the period length daycount fraction (note that this may only be an approximate solution to capture daycount effects).

DiscountCurveFromForwardCurve

public DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve,
                                     double periodLengthTimeScaling)

Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.

Parameters:

forwardCurve - The forward curve used for calculation of the discount factors.

periodLengthTimeScaling - A scaling factor applied to d, adjusting for the internal double time to the period length daycount fraction (note that this may only be an approximate solution to capture daycount effects).

DiscountCurveFromForwardCurve

public DiscountCurveFromForwardCurve(String forwardCurveName)

Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.

Parameters:

forwardCurveName - The name of the forward curve used for calculation of the discount factors.

DiscountCurveFromForwardCurve

public DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve)

Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.

Parameters:

forwardCurve - The forward curve used for calculation of the discount factors.

Method Detail

getDiscountFactor

public RandomVariable getDiscountFactor(double maturity)

Description copied from interface: DiscountCurveInterface

Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.

Specified by:

getDiscountFactor in interface DiscountCurveInterface

Parameters:

maturity - The maturity for which the discount factor is requested.

Returns:

The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.

getDiscountFactor

public RandomVariable getDiscountFactor(AnalyticModel model,
                                        double maturity)

Description copied from interface: DiscountCurveInterface

Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.

Specified by:

getDiscountFactor in interface DiscountCurveInterface

Parameters:

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

maturity - The maturity for which the discount factor is requested.

Returns:

The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.

getValue

public RandomVariable 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 RandomVariable[] 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.

setParameter

public void setParameter(RandomVariable[] 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.

getCloneBuilder

public CurveBuilder getCloneBuilder()
                             throws CloneNotSupportedException

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.

Throws:

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

hashCode

public int hashCode()

Overrides:

hashCode in class Object

equals

public boolean equals(Object obj)

Overrides:

equals in class Object