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

Class DiscountCurveInterpolation

java.lang.Object
net.finmath.marketdata2.model.curves.AbstractCurve
net.finmath.marketdata2.model.curves.CurveInterpolation
net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
All Implemented Interfaces:
Serializable, Cloneable, ParameterObject, Curve, DiscountCurveInterface
public class DiscountCurveInterpolation extends CurveInterpolation implements Serializable, DiscountCurveInterface
Implementation of a discount factor curve based on CurveInterpolation. The discount curve is based on the CurveInterpolation class. It thus features all interpolation and extrapolation methods and interpolation entities as CurveInterpolation and implements the DiscountCurve. Note that this version of the DiscountCurveInterpolation will no longer make the assumption that at t=0 its value is 1.0. Such a norming is not necessary since valuation will always divide by the corresponding discount factor at evaluation time. See the implementation of SwapLeg for an example.
Version:
1.0
Author:
Christian Fries
See Also:
SwapLeg, CurveInterpolation, Serialized Form

  • Method Details

    • createDiscountCurveFromDiscountFactors

      public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors​(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
      Parameters:
      name - The name of this discount curve.
      referenceDate - The reference date for this curve, i.e., the date which defined t=0.
      times - Array of times as doubles.
      givenDiscountFactors - Array of corresponding discount factors.
      isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromDiscountFactors

      public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors​(String name, double[] times, RandomVariable[] givenDiscountFactors, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
      Parameters:
      name - The name of this discount curve.
      times - Array of times as doubles.
      givenDiscountFactors - Array of corresponding discount factors.
      isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromDiscountFactors

      public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors​(String name, double[] times, RandomVariable[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
      Parameters:
      name - The name of this discount curve.
      times - Array of times as doubles.
      givenDiscountFactors - Array of corresponding discount factors.
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromDiscountFactors

      public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors​(String name, double[] times, double[] givenDiscountFactors, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)

    • createDiscountCurveFromDiscountFactors

      public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors​(String name, double[] times, RandomVariable[] givenDiscountFactors)
      Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
      Parameters:
      name - The name of this discount curve.
      times - Array of times as doubles.
      givenDiscountFactors - Array of corresponding discount factors.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromDiscountFactors

      public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors​(String name, double[] times, double[] givenDiscountFactors)

    • createDiscountCurveFromZeroRates

      public static DiscountCurveInterpolation createDiscountCurveFromZeroRates​(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
      Parameters:
      name - The name of this discount curve.
      referenceDate - The reference date for this curve, i.e., the date which defined t=0.
      times - Array of times as doubles.
      givenZeroRates - Array of corresponding zero rates.
      isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromZeroRates

      public static DiscountCurveInterpolation createDiscountCurveFromZeroRates​(String name, Date referenceDate, double[] times, RandomVariable[] givenZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
      Parameters:
      name - The name of this discount curve.
      referenceDate - The reference date for this curve, i.e., the date which defined t=0.
      times - Array of times as doubles.
      givenZeroRates - Array of corresponding zero rates.
      isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromZeroRates

      public static DiscountCurveInterpolation createDiscountCurveFromZeroRates​(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
      Parameters:
      name - The name of this discount curve.
      referenceDate - The reference date for this curve, i.e., the date which defined t=0.
      times - Array of times as doubles.
      givenZeroRates - Array of corresponding zero rates.
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromZeroRates

      public static DiscountCurveInterpolation createDiscountCurveFromZeroRates​(String name, double[] times, RandomVariable[] givenZeroRates)
      Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
      Parameters:
      name - The name of this discount curve.
      times - Array of times as doubles.
      givenZeroRates - Array of corresponding zero rates.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromAnnualizedZeroRates

      public static DiscountCurveInterpolation createDiscountCurveFromAnnualizedZeroRates​(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenAnnualizedZeroRates, boolean[] isParameter, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.pow(1.0 + givenAnnualizedZeroRates[timeIndex], -times[timeIndex]);
      Parameters:
      name - The name of this discount curve.
      referenceDate - The reference date for this curve, i.e., the date which defined t=0.
      times - Array of times as doubles.
      givenAnnualizedZeroRates - Array of corresponding zero rates.
      isParameter - Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromAnnualizedZeroRates

      public static DiscountCurveInterpolation createDiscountCurveFromAnnualizedZeroRates​(String name, LocalDate referenceDate, double[] times, RandomVariable[] givenAnnualizedZeroRates, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity)
      Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods. The discount factor is determined by givenDiscountFactors[timeIndex] = Math.pow(1.0 + givenAnnualizedZeroRates[timeIndex], -times[timeIndex]);
      Parameters:
      name - The name of this discount curve.
      referenceDate - The reference date for this curve, i.e., the date which defined t=0.
      times - Array of times as doubles.
      givenAnnualizedZeroRates - Array of corresponding zero rates.
      interpolationMethod - The interpolation method used for the curve.
      extrapolationMethod - The extrapolation method used for the curve.
      interpolationEntity - The entity interpolated/extrapolated.
      Returns:
      A new discount factor object.

    • createDiscountFactorsFromForwardRates

      public static DiscountCurveInterface createDiscountFactorsFromForwardRates​(String name, TimeDiscretization tenor, RandomVariable[] forwardRates)
      Create a discount curve from given time discretization and forward rates. This function is provided for "single interest rate curve" frameworks.
      Parameters:
      name - The name of this discount curve.
      tenor - Time discretization for the forward rates
      forwardRates - Array of forward rates.
      Returns:
      A new discount factor object.

    • createDiscountCurveFromMonteCarloLiborModel

      public static DiscountCurveInterface createDiscountCurveFromMonteCarloLiborModel​(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime) throws CalculationException
      Create a discount curve from forwards given by a LIBORMonteCarloModel. If the model uses multiple curves, return its discount curve.
      Parameters:
      forwardCurveName - name of the forward curve.
      model - Monte Carlo model providing the forwards.
      startTime - time at which the curve starts, i.e. zero time for the curve
      Returns:
      a discount curve from forwards given by a LIBORMonteCarloModel.
      Throws:
      CalculationException - Thrown if the model failed to provide the forward rates.

    • createZeroRates

      public static RandomVariable[] createZeroRates​(double time, double[] maturities, LIBORModelMonteCarloSimulationModel model) throws CalculationException
      Throws:
      CalculationException

    • getZeroRate

      public RandomVariable getZeroRate​(double maturity)
      Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
      Parameters:
      maturity - The given maturity.
      Returns:
      The zero rate.

    • getZeroRates

      public RandomVariable[] getZeroRates​(double[] maturities)
      Returns the zero rates for a given vector maturities.
      Parameters:
      maturities - The given maturities.
      Returns:
      The zero rates.

    • addDiscountFactor

      protected void addDiscountFactor​(double maturity, RandomVariable discountFactor, boolean isParameter)

    • toString

      public String toString()
      Overrides:
      toString in class CurveInterpolation

    • getDiscountFactor

      public RandomVariable getDiscountFactor​(double maturity)
      Description copied from interface: DiscountCurveInterface
      Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
      Specified by:
      getDiscountFactor in interface DiscountCurveInterface
      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 RandomVariable getDiscountFactor​(AnalyticModel model, double maturity)
      Description copied from interface: DiscountCurveInterface
      Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
      Specified by:
      getDiscountFactor in interface DiscountCurveInterface
      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.