Module net.finmath.lib

Package net.finmath.marketdata.model.bond

Class BondCurve

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.bond.BondCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve

public class BondCurve
extends AbstractCurve

Implements the bond curve as a curve object, see Curve. The bond curve is built as a product of a given reference discount curve and spread curve. Since it is not clear in general if the reference curve or the spread curve are given in terms of discount factors or zero rates, this class distinguishes between all possible cases of types. For the curve types provided see BondCurve.Type.

Version:

1.0

Author:

Moritz Scherrmann

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	BondCurve.Type	Possible curve types, where the first term stands for the reference discount curve and the second term stands for the spread curve.

Constructor Summary

Constructors

Constructor	Description
BondCurve(String name, LocalDate referenceDate, Curve referenceCurve, Curve spreadCurve, BondCurve.Type type)	Creates a bond curve.

Method Summary

Modifier and Type	Method	Description
CurveBuilder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
double	getDiscountFactor(double time)
double	getDiscountFactor(AnalyticModel model, double time)
String	getName()	Get the name of the curve.
double[]	getParameter()	Get the current parameter associated with the state of the objects.
Curve	getReferenceCurve()
LocalDate	getReferenceDate()	Return the reference date of this curve, i.e.
Curve	getSpreadCurve()
String	getType()
double	getValue(double time)	Returns the value for the time using the interpolation method associated with this curve.
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	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 $T$.
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

clone, getCloneForParameter, getValues, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

BondCurve

public BondCurve(String name,
                 LocalDate referenceDate,
                 Curve referenceCurve,
                 Curve spreadCurve,
                 BondCurve.Type type)

Creates a bond curve.

Parameters:

name - Name of the curve.

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

referenceCurve - The reference discount curve.

spreadCurve - The given spread curve.

type - The types of the given curves "referenceCurve" and "spreadCurve" (discount factor or zero rate)

Method Detail

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 AbstractCurve

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.

Parameters:

model - An analytic model providing a context.

time - Time for which the value should be returned.

Returns:

The value at the give time.

getDiscountFactor

public double getDiscountFactor(double time)

getDiscountFactor

public double getDiscountFactor(AnalyticModel model,
                                double time)

getZeroRate

public double 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.

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.

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.

getName

public String getName()

Description copied from interface: Curve

Get the name of the curve.

Specified by:

getName in interface Curve

Overrides:

getName in class AbstractCurve

Returns:

The name of this curve

getReferenceDate

public LocalDate getReferenceDate()

Description copied from interface: Curve

Return the reference date of this curve, i.e. the date associated with t=0. May be null in case the curve is not associated with a fixed date (e.g. a time homogenous model).

Specified by:

getReferenceDate in interface Curve

Overrides:

getReferenceDate in class AbstractCurve

Returns:

The date identified as t=0.

getReferenceCurve

public Curve getReferenceCurve()

getSpreadCurve

public Curve getSpreadCurve()

getType

public String getType()

getParameter

public double[] getParameter()

Description copied from interface: ParameterObject

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

Returns:

The parameter.

setParameter

public void setParameter(double[] parameter)

Description copied from interface: ParameterObject

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

Parameters:

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