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

Class ForwardCurveFromDiscountCurve

java.lang.Object
net.finmath.marketdata.model.curves.AbstractCurve
net.finmath.marketdata.model.curves.CurveInterpolation
net.finmath.marketdata.model.curves.AbstractForwardCurve
net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
All Implemented Interfaces:
Serializable, Cloneable, ParameterObject, Curve, ForwardCurve
public class ForwardCurveFromDiscountCurve extends AbstractForwardCurve implements Serializable
A forward curve derived from a given discount curve. The forward with fixing in \( t \) is calculated as \( (\frac{1}{dcf(t,t+d)} ( \frac{df(t)}{df(t+d)}-1 ) \) where \( dcf(t,t+d) \) is the daycount-fraction between t and t+d and \( t \mapsto df(t) \) is the given referenceDiscountCurveNameForForwardCurve. The payment offset \( t+d \) is either generated from the paymentOffsetCode or directly specified if paymentOffsetCode=NaN. The referenceDiscountCurveNameForForwardCurve is referenced by name and evaluated late (which allows use of this construct in a calibration process referencing changing discount curves.
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • ForwardCurveFromDiscountCurve

      public ForwardCurveFromDiscountCurve​(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, DayCountConvention daycountConvention, double periodOffset)
      Create a forward curve using a given referenceDiscountCurveForForwards.
      Parameters:
      name - The name under which the forward curve can be referenced.
      referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.
      discountCurveName - The name of the discount curve associated with this forward curve (usually OIS).
      referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
      paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.
      paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.
      paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.
      daycountConvention - The daycount convention \( dcf(t,t+d) \) use the time-scale the performance ratio derived from the discount factors.
      periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

    • ForwardCurveFromDiscountCurve

      public ForwardCurveFromDiscountCurve​(String name, String referenceDiscountCurveName, String discountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset)
      Create a forward curve using a given referenceDiscountCurveForForwards.
      Parameters:
      name - The name under which the forward curve can be referenced.
      referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.
      discountCurveName - The name of the discount curve associated with this forward curve (usually OIS).
      referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
      paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.
      paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.
      paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.
      daycountScaling - The scaling factor applied to the paymentOffset measured in ACT/365.
      periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

    • ForwardCurveFromDiscountCurve

      public ForwardCurveFromDiscountCurve​(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, double daycountScaling, double periodOffset)
      Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
      Parameters:
      name - The name under which the forward curve can be referenced.
      referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.
      referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
      paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.
      paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.
      paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.
      daycountScaling - The scaling factor applied to the paymentOffset measured in ACT/365.
      periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

    • ForwardCurveFromDiscountCurve

      public ForwardCurveFromDiscountCurve​(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentOffsetBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention)
      Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
      Parameters:
      name - The name under which the forward curve can be referenced.
      referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.
      referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
      paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.
      paymentOffsetBusinessdayCalendar - The calendar used to generate the payment date from the paymentOffetCode.
      paymentOffsetDateRollConvention - The date roll convention used to generate the payment date from the paymentOffsetCode.

    • ForwardCurveFromDiscountCurve

      public ForwardCurveFromDiscountCurve​(String name, String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode)
      Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
      Parameters:
      name - The name under which the forward curve can be referenced.
      referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.
      referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
      paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

    • ForwardCurveFromDiscountCurve

      public ForwardCurveFromDiscountCurve​(String referenceDiscountCurveName, LocalDate referenceDate, String paymentOffsetCode)
      Create a forward curve using a given referenceDiscountCurveForForwards. Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve). The name of the this forward curve will be "ForwardCurveFromDiscountCurve(" + referenceDiscountCurveName + "," + paymentOffsetCode + ")", but code should not reply on this. Instead you should use getName() to get the name of the curve.
      Parameters:
      referenceDiscountCurveName - The (pseudo-)discount curve that the forwards are calculated from.
      referenceDate - The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
      paymentOffsetCode - The payment offset. If null, the parameter p has to be provided to the getForward method.

  • Method Details

    • getForward

      public double getForward​(AnalyticModel model, double fixingTime)
      Description copied from interface: ForwardCurve
      Returns the forward for the corresponding fixing time.
      Specified by:
      getForward in interface ForwardCurve
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (can be null).
      fixingTime - The fixing time of the index associated with this forward curve.
      Returns:
      The forward.

    • getForward

      public double getForward​(AnalyticModel model, double fixingTime, double paymentOffset)
      Description copied from interface: ForwardCurve
      Returns the forward for the corresponding fixing time and paymentOffset.
      Specified by:
      getForward in interface ForwardCurve
      Parameters:
      model - An analytic model providing a context. Some curves do not need this (can be null).
      fixingTime - The fixing time of the index associated with this forward curve.
      paymentOffset - The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.
      Returns:
      The forward.

    • 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 CurveInterpolation
      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
      Overrides:
      getValue in class CurveInterpolation
      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
      Overrides:
      getParameter in class CurveInterpolation
      Returns:
      The parameter.

    • toString

      public String toString()
      Overrides:
      toString in class AbstractForwardCurve