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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. Contact: [email protected].
*
* Created on 20.05.2005
*/
package net.finmath.marketdata2.model.curves;
import java.io.Serializable;
import java.time.LocalDate;
import java.time.ZoneId;
import java.util.ArrayList;
import java.util.Date;
import java.util.stream.DoubleStream;
import net.finmath.exception.CalculationException;
import net.finmath.marketdata2.model.AnalyticModel;
import net.finmath.montecarlo.RandomVariableFromDoubleArray;
import net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.businessdaycalendar.BusinessdayCalendar;
import net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends;
/**
* A container for a forward (rate) curve. The forward curve is based on the {@link net.finmath.marketdata.model.curves.CurveFromInterpolationPoints} class.
* It thus features all interpolation and extrapolation methods and interpolation entities as {@link net.finmath.marketdata.model.curves.CurveFromInterpolationPoints}.
*
* The forward F(t) of an index is such that * F(t) * D(t+p) equals the market price of the corresponding
* index fixed in t and paid in t+d, where t is the fixing time of the index and t+p is the payment time of the index.
* F(t) is the corresponding forward and D is the associated discount curve.
*
* @author Christian Fries
* @version 1.0
*/
public class ForwardCurveInterpolation extends AbstractForwardCurve implements Serializable {
private static final long serialVersionUID = -4126228588123963885L;
/**
* Additional choice of interpolation entities for forward curves.
*/
public enum InterpolationEntityForward {
/** Interpolation is performed on the forward **/
FORWARD,
/** Interpolation is performed on the value = forward * discount factor **/
FORWARD_TIMES_DISCOUNTFACTOR,
/** Interpolation is performed on the zero rate **/
ZERO,
/** Interpolation is performed on the (synthetic) discount factor **/
DISCOUNTFACTOR
}
private InterpolationEntityForward interpolationEntityForward = InterpolationEntityForward.FORWARD;
/**
* Generate a forward curve using a given discount curve and payment offset.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this code, i.e., the date which defines t=0.
* @param paymentOffsetCode The maturity of the index modeled by this curve.
* @param paymentBusinessdayCalendar The business day calendar used for adjusting the payment date.
* @param paymentDateRollConvention The date roll convention used for adjusting the payment date.
* @param interpolationMethod The interpolation method used for the curve.
* @param extrapolationMethod The extrapolation method used for the curve.
* @param interpolationEntity The entity interpolated/extrapolated.
* @param interpolationEntityForward Interpolation entity used for forward rate interpolation.
* @param discountCurveName The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
*/
public ForwardCurveInterpolation(String name,
LocalDate referenceDate,
String paymentOffsetCode,
BusinessdayCalendar paymentBusinessdayCalendar,
BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
InterpolationMethod interpolationMethod,
ExtrapolationMethod extrapolationMethod,
InterpolationEntity interpolationEntity,
InterpolationEntityForward interpolationEntityForward,
String discountCurveName) {
super(name, referenceDate, paymentOffsetCode, paymentBusinessdayCalendar, paymentDateRollConvention, interpolationMethod,
extrapolationMethod, interpolationEntity, discountCurveName);
this.interpolationEntityForward = interpolationEntityForward;
if(interpolationEntityForward == InterpolationEntityForward.DISCOUNTFACTOR) {
super.addPoint(0.0, new RandomVariableFromDoubleArray(1.0), false);
}
}
/**
* Generate a forward curve using a given discount curve and payment offset.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this code, i.e., the date which defines t=0.
* @param paymentOffsetCode The maturity of the index modeled by this curve.
* @param interpolationEntityForward Interpolation entity used for forward rate interpolation.
* @param discountCurveName The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
*/
public ForwardCurveInterpolation(String name, LocalDate referenceDate, String paymentOffsetCode, InterpolationEntityForward interpolationEntityForward, String discountCurveName) {
this(name, referenceDate, paymentOffsetCode, new BusinessdayCalendarExcludingWeekends(), BusinessdayCalendar.DateRollConvention.FOLLOWING, InterpolationMethod.LINEAR, ExtrapolationMethod.CONSTANT, InterpolationEntity.VALUE, interpolationEntityForward, discountCurveName);
}
/**
* Generate a forward curve using a given discount curve and payment offset.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this code, i.e., the date which defines t=0.
* @param paymentOffsetCode The maturity of the index modeled by this curve.
* @param discountCurveName The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
*/
public ForwardCurveInterpolation(String name, LocalDate referenceDate, String paymentOffsetCode, String discountCurveName) {
this(name, referenceDate, paymentOffsetCode, InterpolationEntityForward.FORWARD, discountCurveName);
}
/**
* Generate a forward curve using a given discount curve and payment offset.
*
* @param name The name of this curve.
* @param paymentOffset The maturity of the underlying index modeled by this curve.
* @param interpolationEntityForward Interpolation entity used for forward rate interpolation.
* @param discountCurveName The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
*/
public ForwardCurveInterpolation(String name, double paymentOffset, InterpolationEntityForward interpolationEntityForward, String discountCurveName) {
super(name, null, paymentOffset, discountCurveName);
this.interpolationEntityForward = interpolationEntityForward;
}
/**
* Create a forward curve from given times and given forwards.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this code, i.e., the date which defines t=0.
* @param paymentOffsetCode The maturity of the index modeled by this curve.
* @param paymentBusinessdayCalendar The business day calendar used for adjusting the payment date.
* @param paymentDateRollConvention The date roll convention used for adjusting the payment date.
* @param interpolationMethod The interpolation method used for the curve.
* @param extrapolationMethod The extrapolation method used for the curve.
* @param interpolationEntity The entity interpolated/extrapolated.
* @param interpolationEntityForward Interpolation entity used for forward rate interpolation.
* @param discountCurveName The name of a discount curve associated with this index (associated with it's funding or collateralization), if any.
* @param model The model to be used to fetch the discount curve, if needed.
* @param times A vector of given time points.
* @param givenForwards A vector of given forwards (corresponding to the given time points).
* @return A new ForwardCurve object.
*/
public static ForwardCurveInterpolation createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode,
BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
InterpolationMethod interpolationMethod, ExtrapolationMethod extrapolationMethod, InterpolationEntity interpolationEntity,
InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards) {
ForwardCurveInterpolation forwardCurveInterpolation = new ForwardCurveInterpolation(name, referenceDate, paymentOffsetCode, paymentBusinessdayCalendar, paymentDateRollConvention,
interpolationMethod, extrapolationMethod, interpolationEntity, interpolationEntityForward, discountCurveName);
for(int timeIndex=0; timeIndex 0);
forwardCurveInterpolation.addForward(null, fixingTime, givenForwards[timeIndex], isParameter);
}
return forwardCurveInterpolation;
}
/**
* Create a forward curve from given times and discount factors.
*
* The forward curve will have times.length-1 fixing times from times[0] to times[times.length-2]
*
* forward[timeIndex] = (givenDiscountFactors[timeIndex]/givenDiscountFactors[timeIndex+1]-1.0) / (times[timeIndex+1] - times[timeIndex]);
*
* Note: If time[0] > 0, then the discount factor 1.0 will inserted at time 0.0
*
* @param name The name of this curve.
* @param times A vector of given time points.
* @param givenDiscountFactors A vector of given discount factors (corresponding to the given time points).
* @param paymentOffset The maturity of the underlying index modeled by this curve.
* @return A new ForwardCurve object.
*/
public static ForwardCurveInterpolation createForwardCurveFromDiscountFactors(String name, double[] times, RandomVariable[] givenDiscountFactors, double paymentOffset) {
ForwardCurveInterpolation forwardCurveInterpolation = new ForwardCurveInterpolation(name, paymentOffset, InterpolationEntityForward.FORWARD, null);
if(times.length == 0) {
throw new IllegalArgumentException("Vector of times must not be empty.");
}
if(times[0] > 0) {
// Add first forward
RandomVariable forward = givenDiscountFactors[0].sub(1.0).pow(-1.0).div(times[0]);
forwardCurveInterpolation.addForward(null, 0.0, forward, true);
}
for(int timeIndex=0; timeIndex 0);
forwardCurveInterpolation.addForward(null, fixingTime, forward, isParameter);
}
return forwardCurveInterpolation;
}
/**
* Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
*
* @param name The name of this curve.
* @param times A vector of given time points.
* @param givenForwards A vector of given forwards (corresponding to the given time points).
* @param model An analytic model providing a context. The discount curve (if needed) is obtained from this model.
* @param discountCurveName Name of the discount curve associated with this index (associated with it's funding or collateralization).
* @param paymentOffset Time between fixing and payment.
* @return A new ForwardCurve object.
*/
public static ForwardCurveInterpolation createForwardCurveFromForwards(String name, double[] times, RandomVariable[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset) {
ForwardCurveInterpolation forwardCurveInterpolation = new ForwardCurveInterpolation(name, paymentOffset, InterpolationEntityForward.FORWARD, discountCurveName);
for(int timeIndex=0; timeIndex 0);
forwardCurveInterpolation.addForward(model, fixingTime, givenForwards[timeIndex], isParameter);
}
return forwardCurveInterpolation;
}
/**
* Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
*
* @param name The name of this curve.
* @param times A vector of given time points.
* @param givenForwards A vector of given forwards (corresponding to the given time points).
* @param model An analytic model providing a context. The discount curve (if needed) is obtained from this model.
* @param discountCurveName Name of the discount curve associated with this index (associated with it's funding or collateralization).
* @param paymentOffset Time between fixing and payment.
* @return A new ForwardCurve object.
*/
public static ForwardCurveInterpolation createForwardCurveFromForwards(String name, double[] times, double[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset) {
RandomVariable[] givenForwardsAsRandomVariables = DoubleStream.of(givenForwards).mapToObj(x -> { return new RandomVariableFromDoubleArray(x); }).toArray(RandomVariable[]::new);
return createForwardCurveFromForwards(name, times, givenForwardsAsRandomVariables, model, discountCurveName, paymentOffset);
}
/**
* Create a forward curve from forwards given by a LIBORMonteCarloModel.
*
* @param name name of the forward curve.
* @param model Monte Carlo model providing the forwards.
* @param startTime time at which the curve starts, i.e. zero time for the curve
* @return a forward curve from forwards given by a LIBORMonteCarloModel.
* @throws CalculationException Thrown if the model failed to provide the forward rates.
*/
public static ForwardCurveInterpolation createForwardCurveFromMonteCarloLiborModel(String name, LIBORModelMonteCarloSimulationModel model, double startTime) throws CalculationException{
int timeIndex = model.getTimeIndex(startTime);
// Get all Libors at timeIndex which are not yet fixed (others null) and times for the timeDiscretizationFromArray of the curves
ArrayList liborsAtTimeIndex = new ArrayList<>();
int firstLiborIndex = model.getLiborPeriodDiscretization().getTimeIndexNearestGreaterOrEqual(startTime);
double firstLiborTime = model.getLiborPeriodDiscretization().getTime(firstLiborIndex);
if(firstLiborTime>startTime) {
liborsAtTimeIndex.add(model.getLIBOR(startTime, startTime, firstLiborTime));
}
// Vector of times for the forward curve
double[] times = new double[firstLiborTime==startTime ? (model.getNumberOfLibors()-firstLiborIndex) : (model.getNumberOfLibors()-firstLiborIndex+1)];
times[0]=0;
int indexOffset = firstLiborTime==startTime ? 0 : 1;
for(int i=firstLiborIndex;iNote: This implementation currently ignores the provided paymentOffset.
* Instead it uses the payment offset calculate from the curve specification.
*
* @param model An analytic model providing a context. Some curves do not need this (can be null).
* @param fixingTime The fixing time of the index associated with this forward curve.
* @param paymentOffset The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.
*
* @return The forward.
*/
@Override
public RandomVariable getForward(AnalyticModel model, double fixingTime, double paymentOffset)
{
// @TODO: A warning should be issued that this implementation does not use
// if(paymentOffset != this.getPaymentOffset(fixingTime)) {
// Logger.getLogger("net.finmath").warning("Requesting forward with paymentOffsets not agreeing with original calibration. Requested: " + paymentOffsets +". Calibrated: " + getPaymentOffset(fixingTime) + ".");
// }
return this.getForward(model, fixingTime);
}
/**
* Add a forward to this curve.
*
* @param model An analytic model providing a context. The discount curve (if needed) is obtained from this model.
* @param fixingTime The given fixing time.
* @param forward The given forward.
* @param isParameter If true, then this point is server via {@link #getParameter()} and changed via {@link #setParameter(RandomVariable[])} and {@link #getCloneForParameter(RandomVariable[])}, i.e., it can be calibrated.
*/
private void addForward(AnalyticModel model, double fixingTime, RandomVariable forward, boolean isParameter) {
double interpolationEntitiyTime;
RandomVariable interpolationEntityForwardValue;
switch(interpolationEntityForward) {
case FORWARD:
default:
interpolationEntitiyTime = fixingTime;
interpolationEntityForwardValue = forward;
break;
case FORWARD_TIMES_DISCOUNTFACTOR:
interpolationEntitiyTime = fixingTime;
interpolationEntityForwardValue = forward.mult(model.getDiscountCurve(discountCurveName).getValue(model, fixingTime+getPaymentOffset(fixingTime)));
break;
case ZERO:
{
double paymentOffset = getPaymentOffset(fixingTime);
interpolationEntitiyTime = fixingTime+paymentOffset;
interpolationEntityForwardValue = forward.mult(paymentOffset).add(1.0).log().div(paymentOffset);
}
break;
case DISCOUNTFACTOR:
{
double paymentOffset = getPaymentOffset(fixingTime);
interpolationEntitiyTime = fixingTime+paymentOffset;
interpolationEntityForwardValue = getValue(fixingTime).div(forward.mult(paymentOffset).add(1.0));
}
break;
}
super.addPoint(interpolationEntitiyTime, interpolationEntityForwardValue, isParameter);
}
@Override
protected void addPoint(double time, RandomVariable value, boolean isParameter) {
if(interpolationEntityForward == InterpolationEntityForward.DISCOUNTFACTOR) {
time += getPaymentOffset(time);
}
super.addPoint(time, value, isParameter);
}
/**
* Returns the special interpolation method used for this forward curve.
*
* @return The interpolation method used for the forward.
*/
public InterpolationEntityForward getInterpolationEntityForward() {
return interpolationEntityForward;
}
@Override
public String toString() {
return "ForwardCurve [" + super.toString() + ", interpolationEntityForward=" + interpolationEntityForward + "]";
}
}
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