Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Class DiscountCurveRenormalized

java.lang.Object

net.finmath.marketdata.model.curves.DiscountCurveRenormalized

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, DiscountCurve

public class DiscountCurveRenormalized
extends Object
implements DiscountCurve, Serializable

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.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
DiscountCurveRenormalized(String name, LocalDate referenceDate, LocalDate spotDate, String baseCurveName)

Method Summary

Modifier and Type	Method	Description
DiscountCurveRenormalized	clone()	Create a deep copied clone.
CurveBuilder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
Curve	getCloneForParameter(double[] value)	Create a clone with a modified parameter.
double	getDiscountFactor(double maturity)	Returns the discount factor for the corresponding maturity.
double	getDiscountFactor(AnalyticModel model, double maturity)	Returns the discount factor for the corresponding maturity.
String	getName()	Get the name of the curve.
double[]	getParameter()	Get the current parameter associated with the state of the objects.
LocalDate	getReferenceDate()	Return the reference date of this curve, i.e.
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.
void	setParameter(double[] parameter)	Set the current parameter and change the state of the objects.

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscountCurveRenormalized

public DiscountCurveRenormalized(String name,
                                 LocalDate referenceDate,
                                 LocalDate spotDate,
                                 String baseCurveName)

Method Detail

getName

public String getName()

Description copied from interface: Curve

Get the name of the curve.

Specified by:

getName in interface Curve

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

Returns:

The date identified as t=0.

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

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.

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.

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.

getCloneForParameter

public Curve getCloneForParameter(double[] value)
                           throws CloneNotSupportedException

Description copied from interface: ParameterObject

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface Curve

Specified by:

getCloneForParameter in interface ParameterObject

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

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

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

public void setParameter(double[] 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.

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)

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:

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.

clone

public DiscountCurveRenormalized clone()

Description copied from interface: Curve

Create a deep copied clone.

Specified by:

clone in interface Curve

Overrides:

clone in class Object

Returns:

A clone (deep copied).