Many resources are needed to download a project. Please understand that we have to compensate our server costs. Thank you in advance. Project price only 1 $
You can buy this project and download/modify it how often you want.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 20.05.2005
*/
package net.finmath.marketdata.model.curves;
import java.io.Serializable;
import java.time.LocalDate;
import net.finmath.marketdata.model.AnalyticModel;
import net.finmath.time.FloatingpointDate;
import net.finmath.time.businessdaycalendar.BusinessdayCalendar;
import net.finmath.time.daycount.DayCountConvention;
/**
* Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
* In the NSS parameterization the zero rate \( r(T) \) is given by
*
* \[ r(T) = \beta_0 + \beta_1 \frac{1-x_0}{T/\tau_0} + \beta_2 ( \frac{1-x_0}{T/\tau_0} - x_0) + \beta_3 ( \frac{1-x_1}{T/\tau_1} - x_1) \]
*
* where \( x_0 = \exp(-T/\tau_0) \) and \( x_1 = \exp(-T/\tau_1) \).
*
* The sub-family of curves with \( \beta_3 = 0 \) is called Nelson-Siegel parameterization.
*
* @see net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
* @author Christian Fries
* @version 1.0
*/
public class ForwardCurveNelsonSiegelSvensson extends AbstractCurve implements Serializable, ForwardCurve {
private static final long serialVersionUID = 8024640795839972709L;
private final String paymentOffsetCode;
private final BusinessdayCalendar paymentBusinessdayCalendar;
private final BusinessdayCalendar.DateRollConvention paymentDateRollConvention;
private final DayCountConvention daycountConvention;
private double periodOffset = 0.0;
private final DiscountCurveNelsonSiegelSvensson discountCurve;
/**
* @param name The name of the curve. The curve can be fetched under this name when being part of an {@link net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols}.
* @param referenceDate The reference date to the curve, i.e., the date associated with t=0.
* @param paymentOffsetCode The payment offset code, like 3M, 6M, 12M, etc., used in calculating forwards from discount factors.
* @param paymentBusinessdayCalendar The payment businessday calendar.
* @param paymentDateRollConvention The payment date roll convention.
* @param daycountConvention The daycount convention.
* @param parameter The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).
* @param timeScaling A scaling factor applied to t when converting from global double time to the parametric function argument t.
* @param periodOffset An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).
*/
public ForwardCurveNelsonSiegelSvensson(final String name, final LocalDate referenceDate, final String paymentOffsetCode, final BusinessdayCalendar paymentBusinessdayCalendar, final BusinessdayCalendar.DateRollConvention paymentDateRollConvention, final DayCountConvention daycountConvention, final double[] parameter, final double timeScaling, final double periodOffset) {
super(name, referenceDate);
this.paymentOffsetCode = paymentOffsetCode;
this.paymentBusinessdayCalendar = paymentBusinessdayCalendar;
this.paymentDateRollConvention = paymentDateRollConvention;
this.daycountConvention = daycountConvention;
this.periodOffset = periodOffset;
discountCurve = new DiscountCurveNelsonSiegelSvensson(name, referenceDate, parameter, timeScaling);
}
/**
* @param name The name of the curve. The curve can be fetched under this name when being part of an {@link net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols}.
* @param referenceDate The reference date to the curve, i.e., the date associated with t=0.
* @param paymentOffsetCode The payment offset code, like 3M, 6M, 12M, etc., used in calculating forwards from discount factors.
* @param paymentBusinessdayCalendar The payment businessday calendar.
* @param paymentDateRollConvention The payment date roll convention.
* @param daycountConvention The daycount convention.
* @param parameter The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).
* @param timeScaling A scaling factor applied to t when converting from global double time to the parametric function argument t.
*/
public ForwardCurveNelsonSiegelSvensson(final String name, final LocalDate referenceDate, final String paymentOffsetCode, final BusinessdayCalendar paymentBusinessdayCalendar, final BusinessdayCalendar.DateRollConvention paymentDateRollConvention, final DayCountConvention daycountConvention, final double[] parameter, final double timeScaling) {
this(name, referenceDate, paymentOffsetCode, paymentBusinessdayCalendar, paymentDateRollConvention, daycountConvention, parameter, timeScaling, 0.0);
}
@Override
public double getForward(final AnalyticModel model, final double fixingTime) {
return getForward(model, fixingTime, getPaymentOffset(fixingTime+periodOffset));
}
@Override
public double getForward(final AnalyticModel model, final double fixingTime, final double paymentOffset) {
double daycountFraction = (paymentOffset*discountCurve.getTimeScaling());
if(daycountConvention != null) {
final LocalDate fixingDate = getDateFromModelTime(fixingTime+periodOffset);
final LocalDate paymentDate = getDateFromModelTime(fixingTime+periodOffset + paymentOffset);
daycountFraction = Math.max(daycountConvention.getDaycountFraction(fixingDate, paymentDate), 1.0/365.0);
}
return (discountCurve.getDiscountFactor(model, fixingTime+periodOffset) / discountCurve.getDiscountFactor(model, fixingTime+periodOffset + paymentOffset) - 1.0) / daycountFraction;
}
@Override
public String getDiscountCurveName() {
return null;
}
@Override
public CurveBuilder getCloneBuilder() {
return new CurveBuilder() {
@Override
public Curve build() {
return ForwardCurveNelsonSiegelSvensson.this;
}
@Override
public CurveBuilder addPoint(final double time, final double value, final boolean isParameter) {
throw new UnsupportedOperationException("NSS curve does not support adding points.");
}
};
}
@Override
public ForwardCurveNelsonSiegelSvensson clone() throws CloneNotSupportedException {
return (ForwardCurveNelsonSiegelSvensson)super.clone();
}
@Override
public ForwardCurveNelsonSiegelSvensson getCloneForParameter(final double[] value) throws CloneNotSupportedException {
return new ForwardCurveNelsonSiegelSvensson(getName(), getReferenceDate(), paymentOffsetCode, paymentBusinessdayCalendar, paymentDateRollConvention, daycountConvention, value, discountCurve.getTimeScaling(), periodOffset);
}
@Override
public double getValue(final AnalyticModel model, final double time) {
return getForward(model, time, getPaymentOffset(time));
}
@Override
public double[] getParameter() {
return discountCurve.getParameter();
}
/**
* Returns the forwards for a given vector fixing times.
*
* @param model An analytic model providing a context. The discount curve (if needed) is obtained from this model.
* @param fixingTimes The given fixing times.
* @return The forward rates.
*/
public double[] getForwards(final AnalyticModel model, final double[] fixingTimes)
{
final double[] values = new double[fixingTimes.length];
for(int i=0; i
