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

Packages that use DiscountCurve

Package	Description
net.finmath.finitedifference.assetderivativevaluation.models	Package net.finmath.finitedifference.assetderivativevaluation.models.
net.finmath.finitedifference.interestrate.models	Package net.finmath.finitedifference.interestrate.models.
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. by extending AbstractProcessModel.
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. by extending AbstractProcessModel.
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.finitedifference.assetderivativevaluation.models

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

Modifier and Type	Method	Description
DiscountCurve	FDMBachelierModel.getDividendYieldCurve()
DiscountCurve	FDMBlackScholesModel.getDividendYieldCurve()
DiscountCurve	FDMCevModel.getDividendYieldCurve()
DiscountCurve	FDMHestonModel.getDividendYieldCurve()
DiscountCurve	FDMMertonModel.getDividendYieldCurve()
DiscountCurve	FDMMultiAssetBlackScholesModel.getDividendYieldCurve()	Returns the legacy single-asset dividend-yield accessor.
DiscountCurve	FDMSabrModel.getDividendYieldCurve()
DiscountCurve	FDMVarianceGammaModel.getDividendYieldCurve()
DiscountCurve	FiniteDifferenceEquityModel.getDividendYieldCurve()	Returns the dividend-yield discount curve.
DiscountCurve[]	FDMMultiAssetBlackScholesModel.getDividendYieldCurves()
default DiscountCurve[]	FiniteDifferenceEquityModel.getDividendYieldCurves()	Returns the dividend-yield discount curves of the model.
DiscountCurve	FDMBachelierModel.getRiskFreeCurve()
DiscountCurve	FDMBlackScholesModel.getRiskFreeCurve()
DiscountCurve	FDMCevModel.getRiskFreeCurve()
DiscountCurve	FDMHestonModel.getRiskFreeCurve()
DiscountCurve	FDMMertonModel.getRiskFreeCurve()
DiscountCurve	FDMMultiAssetBlackScholesModel.getRiskFreeCurve()
DiscountCurve	FDMSabrModel.getRiskFreeCurve()
DiscountCurve	FDMVarianceGammaModel.getRiskFreeCurve()
DiscountCurve	FiniteDifferenceEquityModel.getRiskFreeCurve()	Returns the risk-free discount curve used for pricing.

Methods in net.finmath.finitedifference.assetderivativevaluation.models with parameters of type DiscountCurve

Modifier and Type	Method	Description
static FDMVarianceGammaModel	FDMVarianceGammaModel.ofCGM(double initialValue, DiscountCurve riskFreeCurve, double c, double g, double m, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Named factory using the (C,G,M) parameterization and zero dividend yield.
static FDMVarianceGammaModel	FDMVarianceGammaModel.ofCGM(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double c, double g, double m, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Named factory using the (C,G,M) parameterization and explicit curves.

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

Modifier	Constructor	Description
	FDMBachelierModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization)	Convenience constructor without dividend yield curve (i.e., q = 0).
	FDMBachelierModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Bachelier model from discount curves.
	FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, double kappa, double thetaV, double sigma, double rho, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Bates finite difference model without dividend yield curve, using jump parameters.
	FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, double kappa, double thetaV, double sigma, double rho, BatesJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Bates finite difference model without dividend yield curve, using an explicit jump component.
	FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double kappa, double thetaV, double sigma, double rho, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Bates finite difference model from discount curves and jump parameters.
	FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double kappa, double thetaV, double sigma, double rho, BatesJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Bates finite difference model from discount curves and an explicit jump component.
	FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Black-Scholes finite difference model for option pricing without dividend yield.
	FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Black-Scholes finite difference model for option pricing.
	FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, LocalVolatility volatility, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a local-volatility finite difference model for option pricing.
	FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, LocalVolatility volatility, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a local-volatility finite difference model for option pricing without dividend yield.
	FDMCevModel(double initialValue, DiscountCurve riskFreeCurve, double sigma, double beta, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a CEV model instance assuming zero dividend yield (q = 0), consistent with the constructor style of FDMBlackScholesModel.
	FDMCevModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double sigma, double beta, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a CEV model instance using explicit discount curves for r and q.
	FDMHestonModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, double kappa, double thetaV, double sigma, double rho, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Heston finite difference model for option pricing without dividend yield curve (i.e. dividend yield is assumed to be zero).
	FDMHestonModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double kappa, double thetaV, double sigma, double rho, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a Heston finite difference model for option pricing.
	FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a finite-difference Merton model assuming zero dividend yield.
	FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, MertonJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a finite-difference Merton model assuming zero dividend yield.
	FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a finite-difference Merton model from discount curves and jump parameters.
	FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, MertonJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a finite-difference Merton model from discount curves and an explicit jump component.
	FDMMultiAssetBlackScholesModel(double[] initialValues, DiscountCurve riskFreeCurve, double[] volatilities, double[][] correlationMatrix, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a multi-asset Black-Scholes finite-difference model with zero dividend yield for every asset.
	FDMMultiAssetBlackScholesModel(double[] initialValues, DiscountCurve riskFreeCurve, DiscountCurve[] dividendYieldCurves, double[] volatilities, double[][] correlationMatrix, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a multi-asset Black-Scholes finite-difference model.
	FDMSabrModel(double initialSpot, double initialAlpha, DiscountCurve riskFreeCurve, double beta, double nu, double rho, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a SABR finite difference model with zero dividend yield.
	FDMSabrModel(double initialSpot, double initialAlpha, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double beta, double nu, double rho, SpaceTimeDiscretization spaceTimeDiscretization)	Constructs a SABR finite difference model from discount curves.
	FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, double sigma, double nu, double theta, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model assuming zero dividend yield and using the usual (sigma, nu, theta) parameterization.
	FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model assuming zero dividend yield and using an explicit jump component.
	FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double sigma, double nu, double theta, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model from explicit discount curves and the usual (sigma, nu, theta) parameterization.
	FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a Variance Gamma model from explicit discount curves and an explicit jump component.

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

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

Modifier and Type	Method	Description
DiscountCurve	FDMHullWhiteModel.getDiscountCurve()	Returns the discount curve used for discount-bond calibration.

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

Modifier	Constructor	Description
	FDMHullWhiteModel(AnalyticModel analyticModel, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, SpaceTimeDiscretization spaceTimeDiscretization)	Creates a one-factor Hull-White finite-difference model.

Uses of DiscountCurve in net.finmath.fouriermethod.models

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

Modifier and Type	Method	Description
DiscountCurve	BatesModel.getDiscountCurveForDiscountRate()
DiscountCurve	BlackScholesModel.getDiscountCurveForDiscountRate()
DiscountCurve	CharacteristicFunctionModel.getDiscountCurveForDiscountRate()
DiscountCurve	HestonModel.getDiscountCurveForDiscountRate()
DiscountCurve	MertonModel.getDiscountCurveForDiscountRate()
DiscountCurve	VarianceGammaModel.getDiscountCurveForDiscountRate()
DiscountCurve	BatesModel.getDiscountCurveForForwardRate()
DiscountCurve	BlackScholesModel.getDiscountCurveForForwardRate()
DiscountCurve	CharacteristicFunctionModel.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. repo rate minus dividend yield) and for discounting.
	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. repo rate minus dividend yield) and for discounting.

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()

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

Modifier and Type	Method	Description
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.of(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from sorted individual option quotes.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.of(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from sorted individual option quotes.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.of(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from sorted option smiles.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.of(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from sorted option smiles.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.ofUnsorted(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from unsorted individual option quotes.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.ofUnsorted(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from unsorted individual option quotes.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.ofUnsorted(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from unsorted option smiles.
static OptionSurfaceDataInterpolated	OptionSurfaceDataInterpolated.ofUnsorted(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from unsorted option smiles.

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.
	OptionSurfaceDataInterpolated(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from individual option quotes.
	OptionSurfaceDataInterpolated(OptionData[] optionQuotes, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from individual option quotes.
	OptionSurfaceDataInterpolated(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve)	Creates an interpolated surface from option smiles.
	OptionSurfaceDataInterpolated(OptionSmileData[] smiles, DiscountCurve discountCurve, DiscountCurve equityForwardCurve, RationalFunctionInterpolation.InterpolationMethod strikeInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod strikeExtrapolationMethod, RationalFunctionInterpolation.InterpolationMethod maturityInterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod maturityExtrapolationMethod)	Creates an interpolated surface from option 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. repo rate minus dividend yield) and for discounting.
	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. repo rate minus dividend yield) and for discounting.
	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. repo rate minus dividend yield) and for discounting.

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.