net.finmath.marketdata.model.curves.DiscountCurve Maven / Gradle / Ivy

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/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: [email protected].
 *
 * Created on 20.05.2005
 */
package net.finmath.marketdata.model.curves;

import java.io.Serializable;
import java.util.Calendar;

import net.finmath.marketdata.model.AnalyticModelInterface;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * Implementation of a discount factor curve based on {@link net.finmath.marketdata.model.curves.Curve}. The discount curve is based on the {@link net.finmath.marketdata.model.curves.Curve} class.
 * 
 * It thus features all interpolation and extrapolation methods and interpolation entities
 * as {@link net.finmath.marketdata.model.curves.Curve} and implements the {@link net.finmath.marketdata.model.curves.DiscountCurveInterface}.
 * 
 * Note that this version of the DiscountCurve 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 {@link net.finmath.marketdata.products.SwapLeg}
 * for an example.
 * 
 * @author Christian Fries
 * @see net.finmath.marketdata.products.SwapLeg
 * @see net.finmath.marketdata.model.curves.Curve
 */
public class DiscountCurve extends Curve implements Serializable, DiscountCurveInterface {

	private static final long serialVersionUID = -4126228588123963885L;

	/**
	 * Create an empty discount curve using default interpolation and extrapolation methods.
	 * 
	 * @param name The name of this discount curve.
	 */
	private DiscountCurve(String name) {
		super(name, null, InterpolationMethod.LINEAR, ExtrapolationMethod.CONSTANT, InterpolationEntity.LOG_OF_VALUE_PER_TIME);
	}

	/**
	 * Create an empty discount curve using given interpolation and extrapolation methods.
	 *
	 * @param name The name of this discount curve.
	 * @param interpolationMethod The interpolation method used for the curve.
	 * @param extrapolationMethod The extrapolation method used for the curve.
	 * @param interpolationEntity The entity interpolated/extrapolated.
	 */
	private DiscountCurve(String name, InterpolationMethod interpolationMethod,
			ExtrapolationMethod extrapolationMethod, InterpolationEntity interpolationEntity){

		super(name, null, interpolationMethod, extrapolationMethod, interpolationEntity);
	}


	/**
	 * Create an empty discount curve using given interpolation and extrapolation methods.
	 *
	 * @param name The name of this discount curve.
	 * @param referenceDate The reference date for this curve, i.e., the date which defined t=0.
	 * @param interpolationMethod The interpolation method used for the curve.
	 * @param extrapolationMethod The extrapolation method used for the curve.
	 * @param interpolationEntity The entity interpolated/extrapolated.
	 */
	private DiscountCurve(String name, Calendar referenceDate, InterpolationMethod interpolationMethod,
			ExtrapolationMethod extrapolationMethod, InterpolationEntity interpolationEntity){

		super(name, referenceDate, interpolationMethod, extrapolationMethod, interpolationEntity);
	}

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

		DiscountCurve discountFactors = new DiscountCurve(name, referenceDate, interpolationMethod, extrapolationMethod, interpolationEntity);

		for(int timeIndex=0; timeIndex 0;
		}
		
		return createDiscountCurveFromDiscountFactors(name, times, givenDiscountFactors, isParameter, interpolationMethod, extrapolationMethod, interpolationEntity);
	}

	/**
	 * Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
	 * 
	 * @param name The name of this discount curve.
	 * @param times Array of times as doubles.
	 * @param givenDiscountFactors Array of corresponding discount factors.
	 * @return A new discount factor object.
	 */
	public static DiscountCurve createDiscountCurveFromDiscountFactors(String name, double[] times, double[] givenDiscountFactors) {
		DiscountCurve discountFactors = new DiscountCurve(name);

		for(int timeIndex=0; timeIndex 0);
		}

		return discountFactors;
	}

	/**
	 * Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
	 *
	 * @param name The name of this discount curve.
	 * @param referenceDate The reference date for this curve, i.e., the date which defined t=0.
	 * @param times Array of times as doubles.
	 * @param givenZeroRates Array of corresponding zero rates.
	 * @param isParameter Array of booleans specifying whether this point is served "as as parameter", e.g., whether it is calibrates (e.g. using CalibratedCurves).
	 * @param interpolationMethod The interpolation method used for the curve.
	 * @param extrapolationMethod The extrapolation method used for the curve.
	 * @param interpolationEntity The entity interpolated/extrapolated.
	 * @return A new discount factor object.
	 */
	public static DiscountCurve createDiscountCurveFromZeroRates(
			String name, Calendar referenceDate,
			double[] times, double[] givenZeroRates, boolean[] isParameter,
			InterpolationMethod interpolationMethod, ExtrapolationMethod extrapolationMethod, InterpolationEntity interpolationEntity) {
		
		double[] givenDiscountFactors = new double[givenZeroRates.length];

		for(int timeIndex=0; timeIndex 0);
		}

		return discountFactors;
	}

	/* (non-Javadoc)
	 * @see net.finmath.marketdata.model.curves.DiscountCurveInterface#getDiscountFactor(double)
	 */
	@Override
	public double getDiscountFactor(double maturity)
	{
		return getDiscountFactor(null, maturity);
	}

	/* (non-Javadoc)
	 * @see net.finmath.marketdata.model.curves.DiscountCurveInterface#getDiscountFactor(double)
	 */
	@Override
	public double getDiscountFactor(AnalyticModelInterface model, double maturity)
	{
		return getValue(model, 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 $T$.
	 * 
	 * @param maturity The given maturity.
	 * @return The zero rate.
	 */
	public double getZeroRate(double maturity)
	{
		if(maturity == 0) return this.getZeroRate(1.0E-14);

		return -Math.log(getDiscountFactor(null, maturity))/maturity;
	}

	/**
	 * Returns the zero rates for a given vector maturities.
	 * 
	 * @param maturities The given maturities.
	 * @return The zero rates.
	 */
	public double[] getZeroRates(double[] maturities)
	{
		double[] values = new double[maturities.length];

		for(int i=0; i