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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (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 © 2015 - 2025 Weber Informatics LLC | Privacy Policy