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 Details

  • Method Details

    • 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).