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:

  • Constructor Details

    • 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 Details

    • 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.