Module net.finmath.lib

Package net.finmath.marketdata.model.curves

Class DiscountCurveFromProductOfCurves

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves

All Implemented Interfaces:

Serializable, Cloneable, ParameterObject, Curve, DiscountCurve

public class DiscountCurveFromProductOfCurves
extends AbstractCurve
implements Serializable, DiscountCurve

A discount curve derived from other discount curves by multiplying the discount factors.

Version:

1.1

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
DiscountCurveFromProductOfCurves(String name, LocalDate referenceDate, String... curveNames)	Create a discount curve using one or more curves.
DiscountCurveFromProductOfCurves(String name, LocalDate referenceDate, DiscountCurve... curves)	Create a discount curve using one or more given curves.

Method Summary

Modifier and Type	Method	Description
CurveBuilder	getCloneBuilder()	Returns a curve builder bases on a clone of this curve.
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.
double[]	getParameter()	Get the current parameter associated with the state of the objects.
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 net.finmath.marketdata.model.curves.AbstractCurve

clone, getCloneForParameter, getName, getReferenceDate, getValue, getValues, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.marketdata.model.curves.Curve

clone, getCloneForParameter, getName, getReferenceDate, getValue

Constructor Details

DiscountCurveFromProductOfCurves

public DiscountCurveFromProductOfCurves(String name,
 LocalDate referenceDate,
 String... curveNames)

Create a discount curve using one or more curves. The product curve is generated dynamically by looking up the given curveNames in the model passed to the method getDiscountFactor(AnalyticModel, double).

Parameters:

name - The name of this curve.

referenceDate - The reference date of this curve.

curveNames - Argument list or array of curve names.

DiscountCurveFromProductOfCurves

public DiscountCurveFromProductOfCurves(String name,
 LocalDate referenceDate,
 DiscountCurve... curves)

Create a discount curve using one or more given curves.

Parameters:

name - The name of this curve.

referenceDate - The reference date of this curve.

curves - Argument list or array of curves.

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)

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.

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.

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.

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.