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

Class DiscountCurveNelsonSiegelSvensson

java.lang.Object
net.finmath.marketdata.model.curves.AbstractCurve
net.finmath.marketdata.model.curves.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:

  • Constructor Details

    • 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 Details

    • 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:

    • 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()

    • clone

      public DiscountCurveNelsonSiegelSvensson clone() throws CloneNotSupportedException
      Description copied from interface: Curve
      Create a deep copied clone.
      Specified by:
      clone in interface Curve
      Overrides:
      clone in class AbstractCurve
      Returns:
      A clone (deep copied).
      Throws:
      CloneNotSupportedException - Thrown, when the curve could not be cloned.

    • getCloneForParameter

      public DiscountCurveNelsonSiegelSvensson 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
      Overrides:
      getCloneForParameter in class AbstractCurve
      Parameters:
      value - The new parameter.
      Returns:
      A clone with an otherwise modified parameter.
      Throws:
      CloneNotSupportedException - Thrown, when the curve could not be cloned.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractCurve