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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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/*
* (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.businessdaycalendar.BusinessdayCalendarExcludingWeekends;
import net.finmath.time.daycount.DayCountConvention;
/**
* A forward curve derived from a given discount curve.
*
* The forward with fixing in \( t \) is calculated as
* \(
* (\frac{1}{dcf(t,t+d)} ( \frac{df(t)}{df(t+d)}-1 )
* \)
* where \( dcf(t,t+d) \) is the daycount-fraction between t and t+d and \( t \mapsto df(t) \) is the given referenceDiscountCurveNameForForwardCurve.
* The payment offset \( t+d \) is either generated from the paymentOffsetCode or directly specified if paymentOffsetCode=NaN.
*
* The referenceDiscountCurveNameForForwardCurve is referenced by name and evaluated late (which allows use of
* this construct in a calibration process referencing changing discount curves.
*
* @author Christian Fries
* @version 1.0
*/
public class ForwardCurveFromDiscountCurve extends AbstractForwardCurve implements Serializable {
private static final long serialVersionUID = -4126228588123963885L;
private final String referenceDiscountCurveForForwardsName; // The (pseudo-)discount curve that the forwards are calculated from. Note that this is in general different from the discount curve associated with the forwards
private final DayCountConvention daycountConvention;
private final double daycountScaling;
private final double periodOffset;
/**
* Create a forward curve using a given referenceDiscountCurveForForwards.
*
* @param name The name under which the forward curve can be referenced.
* @param referenceDiscountCurveName The (pseudo-)discount curve that the forwards are calculated from.
* @param discountCurveName The name of the discount curve associated with this forward curve (usually OIS).
* @param referenceDate The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
* @param paymentOffsetCode The payment offset. If null, the parameter p has to be provided to the getForward method.
* @param paymentOffsetBusinessdayCalendar The calendar used to generate the payment date from the paymentOffetCode.
* @param paymentOffsetDateRollConvention The date roll convention used to generate the payment date from the paymentOffsetCode.
* @param daycountConvention The daycount convention \( dcf(t,t+d) \) use the time-scale the performance ratio derived from the discount factors.
* @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 ForwardCurveFromDiscountCurve(final String name, final String referenceDiscountCurveName,
final String discountCurveName, final LocalDate referenceDate, final String paymentOffsetCode,
final BusinessdayCalendar paymentOffsetBusinessdayCalendar,
final BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention,
final DayCountConvention daycountConvention, final double periodOffset) {
super(name, referenceDate, paymentOffsetCode, paymentOffsetBusinessdayCalendar, paymentOffsetDateRollConvention, discountCurveName);
referenceDiscountCurveForForwardsName = referenceDiscountCurveName;
this.daycountConvention = daycountConvention;
daycountScaling = 1.0;
this.periodOffset = periodOffset;
}
/**
* Create a forward curve using a given referenceDiscountCurveForForwards.
*
* @param name The name under which the forward curve can be referenced.
* @param referenceDiscountCurveName The (pseudo-)discount curve that the forwards are calculated from.
* @param discountCurveName The name of the discount curve associated with this forward curve (usually OIS).
* @param referenceDate The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
* @param paymentOffsetCode The payment offset. If null, the parameter p has to be provided to the getForward method.
* @param paymentOffsetBusinessdayCalendar The calendar used to generate the payment date from the paymentOffetCode.
* @param paymentOffsetDateRollConvention The date roll convention used to generate the payment date from the paymentOffsetCode.
* @param daycountScaling The scaling factor applied to the paymentOffset measured in ACT/365.
* @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 ForwardCurveFromDiscountCurve(final String name, final String referenceDiscountCurveName, final String discountCurveName, final LocalDate referenceDate, final String paymentOffsetCode, final BusinessdayCalendar paymentOffsetBusinessdayCalendar, final BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, final double daycountScaling, final double periodOffset) {
super(name, referenceDate, paymentOffsetCode, paymentOffsetBusinessdayCalendar, paymentOffsetDateRollConvention, discountCurveName);
referenceDiscountCurveForForwardsName = referenceDiscountCurveName;
daycountConvention = null;
this.daycountScaling = daycountScaling;
this.periodOffset = periodOffset;
}
/**
* Create a forward curve using a given referenceDiscountCurveForForwards.
* Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
*
* @param name The name under which the forward curve can be referenced.
* @param referenceDiscountCurveName The (pseudo-)discount curve that the forwards are calculated from.
* @param referenceDate The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
* @param paymentOffsetCode The payment offset. If null, the parameter p has to be provided to the getForward method.
* @param paymentOffsetBusinessdayCalendar The calendar used to generate the payment date from the paymentOffetCode.
* @param paymentOffsetDateRollConvention The date roll convention used to generate the payment date from the paymentOffsetCode.
* @param daycountScaling The scaling factor applied to the paymentOffset measured in ACT/365.
* @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 ForwardCurveFromDiscountCurve(final String name, final String referenceDiscountCurveName, final LocalDate referenceDate, final String paymentOffsetCode, final BusinessdayCalendar paymentOffsetBusinessdayCalendar, final BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention, final double daycountScaling, final double periodOffset) {
this(name, referenceDiscountCurveName, referenceDiscountCurveName, referenceDate, paymentOffsetCode, paymentOffsetBusinessdayCalendar, paymentOffsetDateRollConvention, daycountScaling, periodOffset);
}
/**
* Create a forward curve using a given referenceDiscountCurveForForwards.
* Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
*
* @param name The name under which the forward curve can be referenced.
* @param referenceDiscountCurveName The (pseudo-)discount curve that the forwards are calculated from.
* @param referenceDate The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
* @param paymentOffsetCode The payment offset. If null, the parameter p has to be provided to the getForward method.
* @param paymentOffsetBusinessdayCalendar The calendar used to generate the payment date from the paymentOffetCode.
* @param paymentOffsetDateRollConvention The date roll convention used to generate the payment date from the paymentOffsetCode.
*/
public ForwardCurveFromDiscountCurve(final String name, final String referenceDiscountCurveName, final LocalDate referenceDate, final String paymentOffsetCode, final BusinessdayCalendar paymentOffsetBusinessdayCalendar, final BusinessdayCalendar.DateRollConvention paymentOffsetDateRollConvention) {
this(name, referenceDiscountCurveName, referenceDate, paymentOffsetCode, paymentOffsetBusinessdayCalendar, paymentOffsetDateRollConvention, 1.0, 0.0);
}
/**
* Create a forward curve using a given referenceDiscountCurveForForwards.
* Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
*
* @param name The name under which the forward curve can be referenced.
* @param referenceDiscountCurveName The (pseudo-)discount curve that the forwards are calculated from.
* @param referenceDate The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
* @param paymentOffsetCode The payment offset. If null, the parameter p has to be provided to the getForward method.
*/
public ForwardCurveFromDiscountCurve(final String name, final String referenceDiscountCurveName, final LocalDate referenceDate, final String paymentOffsetCode) {
this(name, referenceDiscountCurveName, referenceDate, paymentOffsetCode, new BusinessdayCalendarExcludingWeekends(), BusinessdayCalendar.DateRollConvention.FOLLOWING);
}
/**
* Create a forward curve using a given referenceDiscountCurveForForwards.
* Note that the referenceDiscountCurveForForwards is also used as the discount curve associated with the forwards (i.e. single curve).
*
* The name of the this forward curve will be
*
* "ForwardCurveFromDiscountCurve(" + referenceDiscountCurveName + "," + paymentOffsetCode + ")",
*
* but code should not reply on this. Instead you should use getName() to get the name of the curve.
*
* @param referenceDiscountCurveName The (pseudo-)discount curve that the forwards are calculated from.
* @param referenceDate The reference date used in the interpretation of times (i.e., the referenceDate where t=0).
* @param paymentOffsetCode The payment offset. If null, the parameter p has to be provided to the getForward method.
*/
public ForwardCurveFromDiscountCurve(final String referenceDiscountCurveName, final LocalDate referenceDate, final String paymentOffsetCode) {
this("ForwardCurveFromDiscountCurve(" + referenceDiscountCurveName + "," + paymentOffsetCode + ")", referenceDiscountCurveName, referenceDate, paymentOffsetCode);
}
@Override
public double getForward(final AnalyticModel model, final double fixingTime)
{
final double paymentOffset = getPaymentOffset(fixingTime+periodOffset);
return getForward(model, fixingTime, paymentOffset);
}
/* (non-Javadoc)
* @see net.finmath.marketdata.ForwardCurveInterface#getForward(double)
*/
@Override
public double getForward(final AnalyticModel model, final double fixingTime, final double paymentOffset)
{
if(model == null) {
throw new IllegalArgumentException(this.getName() + ": model==null");
}
final DiscountCurve referenceDiscountCurveForForwards = model.getDiscountCurve(referenceDiscountCurveForForwardsName); // do not use discountCurveName here (usually this is an OIS curve)
if(referenceDiscountCurveForForwards == null) {
throw new IllegalArgumentException(this.getName() + ": referenceDiscountCurveForForwards " + referenceDiscountCurveForForwardsName + " not found in the model:\n" + model.toString());
}
if(Double.isNaN(paymentOffset) || paymentOffset<=0.0) {
throw new IllegalArgumentException(this.getName() + ": Requesting forward with paymentOffset " + paymentOffset + " not allowed.");
}
final double daycount = (daycountConvention != null ?
daycountConvention.getDaycountFraction(
FloatingpointDate.getDateFromFloatingPointDate(getReferenceDate(), fixingTime),
FloatingpointDate.getDateFromFloatingPointDate(getReferenceDate(), fixingTime+paymentOffset)
)
: paymentOffset) * daycountScaling;
return (referenceDiscountCurveForForwards.getDiscountFactor(model, fixingTime+periodOffset) / referenceDiscountCurveForForwards.getDiscountFactor(model, fixingTime+paymentOffset+periodOffset) - 1.0) / daycount;
}
/* (non-Javadoc)
* @see net.finmath.marketdata.model.curves.CurveInterface#getValue(double)
*/
@Override
public double getValue(final double time) {
return getValue(null, time);
}
/* (non-Javadoc)
* @see net.finmath.marketdata.model.curves.CurveInterface#getValue(double)
*/
@Override
public double getValue(final AnalyticModel model, final double time) {
return getForward(model, time);
}
@Override
public double[] getParameter() {
// TODO Auto-generated method stub
return null;
}
@Override
public String toString() {
return "ForwardCurveFromDiscountCurve [" + super.toString() + ", referenceDiscountCurveForForwardsName=" + referenceDiscountCurveForForwardsName + ", daycountScaling=" + daycountScaling + ", periodOffset=" + periodOffset + "]";
}
}