Module net.finmath.lib
Package net.finmath.marketdata2.model.curves

Interface DiscountCurveInterface

All Superinterfaces:
Cloneable, Curve, ParameterObject
All Known Implementing Classes:
DiscountCurveFromForwardCurve, DiscountCurveInterpolation
public interface DiscountCurveInterface extends Curve
The interface which is implemented by discount curves. A discount curve is a mapping of T to df(T) where df(T) represents the present value of a cash flow or 1 in time T, with respect to a specific currency unit and collateralization.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getDiscountFactor

      RandomVariable getDiscountFactor​(double maturity)
      Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
      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

      RandomVariable getDiscountFactor​(AnalyticModel model, double maturity)
      Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
      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.