net.finmath.marketdata2.model.curves

Class DiscountCurveInterpolation

java.lang.Object

net.finmath.marketdata2.model.curves.AbstractCurve

net.finmath.marketdata2.model.curves.CurveInterpolation

net.finmath.marketdata2.model.curves.DiscountCurveInterpolation

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, DiscountCurveInterface

public class DiscountCurveInterpolation
extends CurveInterpolation
implements Serializable, DiscountCurveInterface

Implementation of a discount factor curve based on CurveInterpolation. The discount curve is based on the CurveInterpolation class. It thus features all interpolation and extrapolation methods and interpolation entities as CurveInterpolation and implements the DiscountCurve. Note that this version of the DiscountCurveInterpolation will no longer make the assumption that at t=0 its value is 1.0. Such a norming is not necessary since valuation will always divide by the corresponding discount factor at evaluation time. See the implementation of SwapLeg for an example.

Version:

1.0

Author:

Christian Fries

See Also:

SwapLeg, CurveInterpolation, Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.marketdata2.model.curves.CurveInterpolation

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

Method Summary

Modifier and Type	Method and Description
protected void	addDiscountFactor(double maturity, RandomVariable discountFactor, boolean isParameter)
static DiscountCurveInterpolation	createDiscountCurveFromAnnualizedZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenAnnualizedZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromAnnualizedZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenAnnualizedZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromDiscountFactors(String name, double[] times, double[] givenDiscountFactors)
static DiscountCurveInterpolation	createDiscountCurveFromDiscountFactors(String name, double[] times, double[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
static DiscountCurveInterpolation	createDiscountCurveFromDiscountFactors(String name, double[] times, RandomVariable[] givenDiscountFactors) Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromDiscountFactors(String name, double[] times, RandomVariable[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromDiscountFactors(String name, double[] times, RandomVariable[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromDiscountFactors(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
static DiscountCurveInterface	createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime) Create a discount curve from forwards given by a LIBORMonteCarloModel.
static DiscountCurveInterpolation	createDiscountCurveFromZeroRates(String name, Date referenceDate, double[] times, RandomVariable[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromZeroRates(String name, double[] times, RandomVariable[] givenZeroRates) Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
static DiscountCurveInterpolation	createDiscountCurveFromZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
static DiscountCurveInterface	createDiscountFactorsFromForwardRates(String name, TimeDiscretization tenor, RandomVariable[] forwardRates) Create a discount curve from given time discretization and forward rates.
static RandomVariable[]	createZeroRates(double time, double[] maturities, LIBORModelMonteCarloSimulationModel model)
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	getZeroRate(double maturity) Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
RandomVariable[]	getZeroRates(double[] maturities) Returns the zero rates for a given vector maturities.
String	toString()

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

addPoint, clone, getCloneBuilder, getCloneForParameter, getExtrapolationMethod, getInterpolationEntity, getInterpolationMethod, getParameter, getParameterIndex, getTimeIndex, getValue, getValue, setParameter

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

clone, getCloneBuilder, getCloneForParameter, getName, getReferenceDate, getValue, getValue

Methods inherited from interface net.finmath.marketdata2.calibration.ParameterObject

getParameter, setParameter

Method Detail

createDiscountCurveFromDiscountFactors

public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(String name,
                                                                                LocalDate referenceDate,
                                                                                double[] times,
                                                                                RandomVariable[] givenDiscountFactors,
                                                                                boolean[] isParameter,
                                                                                CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                                CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                                CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.

Parameters:

name - The name of this discount curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

times - Array of times as doubles.

givenDiscountFactors - Array of corresponding discount factors.

isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromDiscountFactors

public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(String name,
                                                                                double[] times,
                                                                                RandomVariable[] givenDiscountFactors,
                                                                                boolean[] isParameter,
                                                                                CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                                CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                                CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.

Parameters:

name - The name of this discount curve.

times - Array of times as doubles.

givenDiscountFactors - Array of corresponding discount factors.

isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromDiscountFactors

public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(String name,
                                                                                double[] times,
                                                                                RandomVariable[] givenDiscountFactors,
                                                                                CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                                CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                                CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.

Parameters:

name - The name of this discount curve.

times - Array of times as doubles.

givenDiscountFactors - Array of corresponding discount factors.

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromDiscountFactors

public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(String name,
                                                                                double[] times,
                                                                                double[] givenDiscountFactors,
                                                                                CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                                CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                                CurveInterpolation.InterpolationEntity interpolationEntity)

createDiscountCurveFromDiscountFactors

public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(String name,
                                                                                double[] times,
                                                                                RandomVariable[] givenDiscountFactors)

Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.

Parameters:

name - The name of this discount curve.

times - Array of times as doubles.

givenDiscountFactors - Array of corresponding discount factors.

Returns:

A new discount factor object.

createDiscountCurveFromDiscountFactors

public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(String name,
                                                                                double[] times,
                                                                                double[] givenDiscountFactors)

createDiscountCurveFromZeroRates

public static DiscountCurveInterpolation createDiscountCurveFromZeroRates(String name,
                                                                          LocalDate referenceDate,
                                                                          double[] times,
                                                                          RandomVariable[] givenZeroRates,
                                                                          boolean[] isParameter,
                                                                          CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                          CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                          CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);

Parameters:

name - The name of this discount curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

times - Array of times as doubles.

givenZeroRates - Array of corresponding zero rates.

isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromZeroRates

public static DiscountCurveInterpolation createDiscountCurveFromZeroRates(String name,
                                                                          Date referenceDate,
                                                                          double[] times,
                                                                          RandomVariable[] givenZeroRates,
                                                                          boolean[] isParameter,
                                                                          CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                          CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                          CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);

Parameters:

name - The name of this discount curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

times - Array of times as doubles.

givenZeroRates - Array of corresponding zero rates.

isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromZeroRates

public static DiscountCurveInterpolation createDiscountCurveFromZeroRates(String name,
                                                                          LocalDate referenceDate,
                                                                          double[] times,
                                                                          RandomVariable[] givenZeroRates,
                                                                          CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                          CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                          CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);

Parameters:

name - The name of this discount curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

times - Array of times as doubles.

givenZeroRates - Array of corresponding zero rates.

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromZeroRates

public static DiscountCurveInterpolation createDiscountCurveFromZeroRates(String name,
                                                                          double[] times,
                                                                          RandomVariable[] givenZeroRates)

Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);

Parameters:

name - The name of this discount curve.

times - Array of times as doubles.

givenZeroRates - Array of corresponding zero rates.

Returns:

A new discount factor object.

createDiscountCurveFromAnnualizedZeroRates

public static DiscountCurveInterpolation createDiscountCurveFromAnnualizedZeroRates(String name,
                                                                                    LocalDate referenceDate,
                                                                                    double[] times,
                                                                                    RandomVariable[] givenAnnualizedZeroRates,
                                                                                    boolean[] isParameter,
                                                                                    CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                                    CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                                    CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.pow(1.0 + givenAnnualizedZeroRates[timeIndex], -times[timeIndex]);

Parameters:

name - The name of this discount curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

times - Array of times as doubles.

givenAnnualizedZeroRates - Array of corresponding zero rates.

isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountCurveFromAnnualizedZeroRates

public static DiscountCurveInterpolation createDiscountCurveFromAnnualizedZeroRates(String name,
                                                                                    LocalDate referenceDate,
                                                                                    double[] times,
                                                                                    RandomVariable[] givenAnnualizedZeroRates,
                                                                                    CurveInterpolation.InterpolationMethod interpolationMethod,
                                                                                    CurveInterpolation.ExtrapolationMethod extrapolationMethod,
                                                                                    CurveInterpolation.InterpolationEntity interpolationEntity)

Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.pow(1.0 + givenAnnualizedZeroRates[timeIndex], -times[timeIndex]);

Parameters:

name - The name of this discount curve.

referenceDate - The reference date for this curve, i.e., the date which defined t=0.

times - Array of times as doubles.

givenAnnualizedZeroRates - Array of corresponding zero rates.

interpolationMethod - The interpolation method used for the curve.

extrapolationMethod - The extrapolation method used for the curve.

interpolationEntity - The entity interpolated/extrapolated.

Returns:

A new discount factor object.

createDiscountFactorsFromForwardRates

public static DiscountCurveInterface createDiscountFactorsFromForwardRates(String name,
                                                                           TimeDiscretization tenor,
                                                                           RandomVariable[] forwardRates)

Create a discount curve from given time discretization and forward rates. This function is provided for "single interest rate curve" frameworks.

Parameters:

name - The name of this discount curve.

tenor - Time discretization for the forward rates

forwardRates - Array of forward rates.

Returns:

A new discount factor object.

createDiscountCurveFromMonteCarloLiborModel

public static DiscountCurveInterface createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName,
                                                                                 LIBORModelMonteCarloSimulationModel model,
                                                                                 double startTime)
                                                                          throws CalculationException

Create a discount curve from forwards given by a LIBORMonteCarloModel. If the model uses multiple curves, return its discount curve.

Parameters:

forwardCurveName - name of the forward curve.

model - Monte Carlo model providing the forwards.

startTime - time at which the curve starts, i.e. zero time for the curve

Returns:

a discount curve from forwards given by a LIBORMonteCarloModel.

Throws:

CalculationException - Thrown if the model failed to provide the forward rates.

createZeroRates

public static RandomVariable[] createZeroRates(double time,
                                               double[] maturities,
                                               LIBORModelMonteCarloSimulationModel model)
                                        throws CalculationException

Throws:

CalculationException

getZeroRate

public RandomVariable getZeroRate(double maturity)

Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.

Parameters:

maturity - The given maturity.

Returns:

The zero rate.

getZeroRates

public RandomVariable[] getZeroRates(double[] maturities)

Returns the zero rates for a given vector maturities.

Parameters:

maturities - The given maturities.

Returns:

The zero rates.

addDiscountFactor

protected void addDiscountFactor(double maturity,
                                 RandomVariable discountFactor,
                                 boolean isParameter)

toString

public String toString()

Overrides:

toString in class CurveInterpolation

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.