Module net.finmath.lib
Package net.finmath.marketdata.model.curves

Class DiscountCurveNelsonSiegelSvensson

  • All Implemented Interfaces:
    Serializable, Cloneable, ParameterObject, Curve, DiscountCurve
    public class DiscountCurveNelsonSiegelSvensson
extends AbstractCurve
implements Serializable, DiscountCurve
    Implementation of a discount factor curve 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. Note: This is a time-parameterized model. The finmath lib library uses an internal mapping from date to times \( t \). This mapping does not necessarily need to correspond with the curves understanding for the parameter \( T \). For that reason this class allows to re-scale the time parameter. Currently only a simple re-scaling factor is supported. The parameter T used in the parameterization is given by T = timeScaling * t, where t is the maturity as an ACT/365 year fraction from the given reference date.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form

    • Constructor Detail

      • DiscountCurveNelsonSiegelSvensson

        public DiscountCurveNelsonSiegelSvensson​(String name,
                                         LocalDate referenceDate,
                                         double[] parameter,
                                         double timeScaling)
        Create a discount curve using a Nelson-Siegel-Svensson parametrization.
        Parameters:
        name - The name of the curve (the curve can be referenced under this name, if added to an AnalyticModelFromCuvesAndVols.
        referenceDate - The reference date of this curve, i.e. the date associated with t=0.
        parameter - The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).
        timeScaling - The time parameter argument rescaling. See getDiscountFactor(AnalyticModel, double).

    • Method Detail

      • getDiscountFactor

        public double getDiscountFactor​(double maturity)
        Description copied from interface: DiscountCurve
        Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
        Specified by:
        getDiscountFactor in interface DiscountCurve
        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 double getDiscountFactor​(AnalyticModel model,
                                double maturity)
        Return the discount factor within a given model context for a given maturity.
        Specified by:
        getDiscountFactor in interface DiscountCurve
        Parameters:
        model - The model used as a context (not required for this class).
        maturity - The maturity in terms of ACT/365 daycount form this curve reference date. Note that this parameter might get rescaled to a different time parameter.
        Returns:
        The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.
        See Also:
        DiscountCurve.getDiscountFactor(net.finmath.marketdata.model.AnalyticModel, double)

      • 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.

      • 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.

      • getZeroRates

        public double[] getZeroRates​(double[] maturities)
        Returns the zero rates for a given vector maturities.
        Parameters:
        maturities - The given maturities.
        Returns:
        The zero rates.

      • 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.

      • 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.

      • setParameter

        @Deprecated
public void setParameter​(double[] parameter)
        Deprecated.
        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.

      • getTimeScaling

        public double getTimeScaling()