Uses of Interface
net.finmath.marketdata.model.curves.DiscountCurve

Packages that use DiscountCurve

Package	Description
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.model.volatility.caplet	Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.modelling.descriptor	Provides interface separating implementation from specification (of models and products)
net.finmath.montecarlo.assetderivativevaluation.models	Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.interestrate	Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.parser	Contains classes for parsing files.

Uses of DiscountCurve in net.finmath.fouriermethod.models

Methods in net.finmath.fouriermethod.models that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	BlackScholesModel.getDiscountCurveForDiscountRate()
DiscountCurve	HestonModel.getDiscountCurveForDiscountRate()
DiscountCurve	MertonModel.getDiscountCurveForDiscountRate()
DiscountCurve	VarianceGammaModel.getDiscountCurveForDiscountRate()
DiscountCurve	BlackScholesModel.getDiscountCurveForForwardRate()
DiscountCurve	HestonModel.getDiscountCurveForForwardRate()
DiscountCurve	MertonModel.getDiscountCurveForForwardRate()
DiscountCurve	VarianceGammaModel.getDiscountCurveForForwardRate()

Constructors in net.finmath.fouriermethod.models with parameters of type DiscountCurve

Modifier	Constructor	Description
	BatesModel(double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double[] volatility, double[] alpha, double[] beta, double[] sigma, double[] rho, double[] lambda, double k, double delta)	Create a two factor Bates model.
	BatesModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double[] volatility, double[] alpha, double[] beta, double[] sigma, double[] rho, double[] lambda, double k, double delta)	Create a two factor Bates model.
	BlackScholesModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility)	Create a Black Scholes model (characteristic function)
	HestonModel(double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility, double theta, double kappa, double xi, double rho)	Create a Heston model (characteristic function)
	HestonModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility, double theta, double kappa, double xi, double rho)	Create a Heston model (characteristic function)
	MertonModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility, double jumpIntensity, double jumpSizeMean, double jumpSizeStdDev)	Construct a Merton jump diffusion model with discount curves for the forward price (i.e.
	VarianceGammaModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)	Construct a Variance Gamma model with discount curves for the forward price (i.e.

Uses of DiscountCurve in net.finmath.marketdata.model

Methods in net.finmath.marketdata.model that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	AnalyticModel.getDiscountCurve(String discountCurveName)	Returns a discount curve for a given name.
DiscountCurve	AnalyticModelFromCurvesAndVols.getDiscountCurve(String discountCurveName)

Uses of DiscountCurve in net.finmath.marketdata.model.curves

Classes in net.finmath.marketdata.model.curves that implement DiscountCurve

Modifier and Type	Class	Description
class	DiscountCurveFromForwardCurve	A discount curve derived from a given forward curve.
class	DiscountCurveFromProductOfCurves	A discount curve derived from other discount curves by multiplying the discount factors.
class	DiscountCurveInterpolation	Implementation of a discount factor curve based on CurveInterpolation.
class	DiscountCurveNelsonSiegelSvensson	Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	DiscountCurveRenormalized	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.

Methods in net.finmath.marketdata.model.curves that return DiscountCurve

Modifier and Type	Method	Description
static DiscountCurve	DiscountCurveInterpolation.createDiscountFactorsFromForwardRates(String name, TimeDiscretization tenor, double[] forwardRates)	Create a discount curve from given time discretization and forward rates.

Constructors in net.finmath.marketdata.model.curves with parameters of type DiscountCurve

Modifier	Constructor	Description
	DiscountCurveFromProductOfCurves(String name, LocalDate referenceDate, DiscountCurve... curves)	Create a discount curve using one or more given curves.
	IndexCurveFromDiscountCurve(String name, double indexValue, DiscountCurve discountCurve)

Uses of DiscountCurve in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	AbstractVolatilitySurface.getDiscountCurve()
DiscountCurve	OptionSurfaceData.getDiscountCurve()
DiscountCurve	OptionSurfaceData.getEquityForwardCurve()

Constructors in net.finmath.marketdata.model.volatilities with parameters of type DiscountCurve

Modifier	Constructor	Description
	AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
	AbstractVolatilitySurfaceParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)
	CapletVolatilities(String name, LocalDate referenceDate, ForwardCurve forwardCurve, double[] maturities, double[] strikes, double[] volatilities, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)
	CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling)	Create a model with parameters a,b,c,d defining a lognormal volatility surface.
	CapletVolatilitiesParametric(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double a, double b, double c, double d, double timeScaling, VolatilitySurface.QuotingConvention quotingConvention)	Create a model with parameters a,b,c,d defining a lognormal volatility surface.
	CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, double displacement, boolean isDisplacementCalibrateable, double a, double b, double c, double d, double timeScaling)	Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
	OptionSurfaceData(String underlying, LocalDate referenceDate, double[] strikes, double[] maturities, double[][] values, VolatilitySurface.QuotingConvention convention, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.
	OptionSurfaceData(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an equity option surface from an array of smiles.
	SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, double[] optionMaturities, double[] tenor, double swapPeriodLength, double[][] impliedVolatilities)
	SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)

Uses of DiscountCurve in net.finmath.marketdata.model.volatility.caplet

Methods in net.finmath.marketdata.model.volatility.caplet that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	CapletVolatilitySurface.getDiscountCurve()
DiscountCurve	CapletVolBootstrapping.getDiscountCurve()

Constructors in net.finmath.marketdata.model.volatility.caplet with parameters of type DiscountCurve

Modifier	Constructor	Description
	CapletVolatilitySurface(String name, LocalDate referenceDate, double[][] volatilityMatrix, double[] maturityVector, double[] strikeVector, ForwardCurve forwardCurve, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)	The constructor of the caplet volatility surface class.
	CapletVolatilitySurface(String name, LocalDate referenceDate, double volatility, double[] maturityVector, double[] strikeVector, ForwardCurve forwardCurve, VolatilitySurface.QuotingConvention volatilityConvention, DiscountCurve discountCurve)	The constructor of the caplet volatility surface class.

Uses of DiscountCurve in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type DiscountCurve

Modifier and Type	Method	Description
static double	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve, DiscountCurve discountCurve)
static double	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurve discountCurve, AnalyticModel model)	Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(Schedule schedule, DiscountCurve discountCurve)	Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, DiscountCurve discountCurve)	Function to calculate an (idealized) swap annuity for a given schedule and discount curve.

Uses of DiscountCurve in net.finmath.marketdata2.model.volatilities

Methods in net.finmath.marketdata2.model.volatilities that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	AbstractVolatilitySurface.getDiscountCurve()

Constructors in net.finmath.marketdata2.model.volatilities with parameters of type DiscountCurve

Modifier	Constructor	Description
	AbstractVolatilitySurface(String name, LocalDate referenceDate, ForwardCurve forwardCurve, DiscountCurve discountCurve, VolatilitySurface.QuotingConvention quotingConvention, DayCountConvention daycountConvention)

Uses of DiscountCurve in net.finmath.modelling.descriptor

Methods in net.finmath.modelling.descriptor that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	BlackScholesModelDescriptor.getDiscountCurveForDiscountRate()
DiscountCurve	HestonModelDescriptor.getDiscountCurveForDiscountRate()
DiscountCurve	MertonModelDescriptor.getDiscountCurveForDiscountRate()
DiscountCurve	VarianceGammaModelDescriptor.getDiscountCurveForDiscountRate()
DiscountCurve	BlackScholesModelDescriptor.getDiscountCurveForForwardRate()
DiscountCurve	HestonModelDescriptor.getDiscountCurveForForwardRate()
DiscountCurve	MertonModelDescriptor.getDiscountCurveForForwardRate()
DiscountCurve	VarianceGammaModelDescriptor.getDiscountCurveForForwardRate()

Constructors in net.finmath.modelling.descriptor with parameters of type DiscountCurve

Modifier	Constructor	Description
	BlackScholesModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility)
	HestonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double theta, Double kappa, Double xi, Double rho)
	MertonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double jumpIntensity, Double jumpSizeMean, Double jumpSizeStdDev)
	VarianceGammaModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)

Uses of DiscountCurve in net.finmath.montecarlo.assetderivativevaluation.models

Methods in net.finmath.montecarlo.assetderivativevaluation.models that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	HestonModel.getDiscountCurveForDiscountRate()
DiscountCurve	VarianceGammaModel.getDiscountCurveForDiscountRate()
DiscountCurve	HestonModel.getDiscountCurveForForwardRate()
DiscountCurve	VarianceGammaModel.getDiscountCurveForForwardRate()

Constructors in net.finmath.montecarlo.assetderivativevaluation.models with parameters of type DiscountCurve

Modifier	Constructor	Description
	BlackScholesModelWithCurves(Double initialValue, DiscountCurve discountCurveForForwardRate, Double volatility, DiscountCurve discountCurveForDiscountRate, RandomVariableFactory randomVariableFactory)	Create a Black-Scholes specification implementing AbstractProcessModel.
	BlackScholesModelWithCurves(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, RandomVariableFactory randomVariableFactory)	Create a Black-Scholes specification implementing AbstractProcessModel.
	HestonModel(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, RandomVariable theta, RandomVariable kappa, RandomVariable xi, RandomVariable rho, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory)	Create a Heston model.
	MertonModel(double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, DiscountCurve discountCurveForDiscountRate, double jumpIntensity, double jumpSizeMean, double jumpSizeStDev)	Create a Merton model.
	MertonModel(double initialValue, DiscountCurve discountCurveForForwardRate, double volatility, DiscountCurve discountCurveForDiscountRate, double jumpIntensity, double jumpSizeMean, double jumpSizeStDev, RandomVariableFactory randomVariableFactory)	Create a Merton model.
	MertonModel(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, RandomVariable jumpIntensity, RandomVariable jumpSizeMean, RandomVariable jumpSizeStDev, RandomVariableFactory randomVariableFactory)	Create a Merton model.
	VarianceGammaModel(double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)	Construct a Variance Gamma model with discount curves for the forward price (i.e.
	VarianceGammaModel(double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu, RandomVariableFactory randomVariableFactory)	Construct a Variance Gamma model with discount curves for the forward price (i.e.
	VarianceGammaModel(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, RandomVariable sigma, RandomVariable theta, RandomVariable nu, RandomVariableFactory randomVariableFactory)	Construct a Variance Gamma model with discount curves for the forward price (i.e.

Uses of DiscountCurve in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type DiscountCurve

Modifier and Type	Method	Description
HybridAssetLIBORModelMonteCarloSimulation	ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve)	Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type DiscountCurve

Modifier	Constructor	Description
	HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve)	Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Uses of DiscountCurve in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	TermStructureModel.getDiscountCurve()	Return the discount curve associated the forwards.

Uses of DiscountCurve in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	HullWhiteModel.getDiscountCurve()
DiscountCurve	HullWhiteModelWithConstantCoeff.getDiscountCurve()
DiscountCurve	HullWhiteModelWithDirectSimulation.getDiscountCurve()
DiscountCurve	HullWhiteModelWithShiftExtension.getDiscountCurve()
DiscountCurve	LIBORMarketModelFromCovarianceModel.getDiscountCurve()
DiscountCurve	LIBORMarketModelStandard.getDiscountCurve()
DiscountCurve	LIBORMarketModelWithTenorRefinement.getDiscountCurve()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type DiscountCurve

Modifier and Type	Method	Description
static HullWhiteModel	HullWhiteModel.of(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type DiscountCurve

Modifier	Constructor	Description
	HullWhiteModel(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModelWithConstantCoeff(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, double meanReversion, double volatility, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModelWithDirectSimulation(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModelWithShiftExtension(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervals, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a model for given covariance.

Uses of DiscountCurve in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type DiscountCurve

Modifier and Type	Method	Description
Map<String,double[]>	SwaptionAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionAnalyticApproximationRebonato.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve, double[] swapTenor)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getLogSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, AnalyticModel model, DiscountCurve discountCurve, ForwardCurve forwardCurve)	Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.

Uses of DiscountCurve in net.finmath.parser

Methods in net.finmath.parser that return DiscountCurve

Modifier and Type	Method	Description
DiscountCurve	CSVCurveParser.parseCSV(File file, String currency, String index)	Extract a single discount curve from a csv file.
DiscountCurve[]	CSVCurveParser.parseZIP(File file, String currency, String index)	Extract an arry of discount curves from a zip archive.