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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 04.10.2013
*/
package net.finmath.marketdata.model.curves;
import java.time.LocalDate;
import java.util.Map;
import java.util.concurrent.ConcurrentHashMap;
import net.finmath.marketdata.model.AnalyticModel;
import net.finmath.time.FloatingpointDate;
import net.finmath.time.businessdaycalendar.BusinessdayCalendar;
/**
* Abstract base class for a forward curve, extending a curve object
*
* It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
*
* @author Christian Fries
* @version 1.0
*/
public abstract class AbstractForwardCurve extends CurveInterpolation implements ForwardCurve {
private static final long serialVersionUID = 3735595267579329042L;
private final String discountCurveName; // The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards)
private final Map paymentOffsets = new ConcurrentHashMap<>();
private final String paymentOffsetCode;
private final BusinessdayCalendar paymentBusinessdayCalendar;
private final BusinessdayCalendar.DateRollConvention paymentDateRollConvention;
private final double paymentOffset;
/**
* Construct a base forward curve with a reference date and a payment offset.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this curve, i.e., the date which defined 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 discountCurveName The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).
*/
public AbstractForwardCurve(final String name, final LocalDate referenceDate, final String paymentOffsetCode,
final BusinessdayCalendar paymentBusinessdayCalendar,
final BusinessdayCalendar.DateRollConvention paymentDateRollConvention,
final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod,
final InterpolationEntity interpolationEntity, final String discountCurveName) {
super(name, referenceDate, interpolationMethod, extrapolationMethod, interpolationEntity);
this.paymentOffsetCode = paymentOffsetCode;
this.paymentBusinessdayCalendar = paymentBusinessdayCalendar;
this.paymentDateRollConvention = paymentDateRollConvention;
paymentOffset = Double.NaN;
this.discountCurveName = discountCurveName;
}
/**
* Construct a base forward curve with a reference date and a payment offset.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this curve, i.e., the date which defined 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 discountCurveName The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).
*/
public AbstractForwardCurve(final String name, final LocalDate referenceDate, final String paymentOffsetCode, final BusinessdayCalendar paymentBusinessdayCalendar, final BusinessdayCalendar.DateRollConvention paymentDateRollConvention, final String discountCurveName) {
this(name, referenceDate, paymentOffsetCode, paymentBusinessdayCalendar, paymentDateRollConvention, InterpolationMethod.LINEAR, ExtrapolationMethod.CONSTANT, InterpolationEntity.VALUE, discountCurveName);
}
/**
* Construct a base forward curve with a reference date and a payment offset.
*
* @param name The name of this curve.
* @param referenceDate The reference date for this curve, i.e., the date which defined t=0.
* @param paymentOffset The maturity of the index modeled by this curve.
* @param discountCurveName The name of the discount curve associated with this forward curve (e.g. OIS for collateralized forwards).
*/
public AbstractForwardCurve(final String name, final LocalDate referenceDate, final double paymentOffset, final String discountCurveName) {
super(name, referenceDate, InterpolationMethod.LINEAR, ExtrapolationMethod.CONSTANT, InterpolationEntity.VALUE);
this.paymentOffset = paymentOffset;
this.discountCurveName = discountCurveName;
paymentOffsetCode = null;
paymentBusinessdayCalendar = null;
paymentDateRollConvention = null;
}
@Override
public String getDiscountCurveName() {
return discountCurveName;
}
@Override
public double getPaymentOffset(final double fixingTime) {
if(getPaymentOffsetCode() == null) {
return paymentOffset;
}
if(paymentOffsets.containsKey(fixingTime)) {
return paymentOffsets.get(fixingTime);
}
else {
/*
* TODO In case paymentDate is relevant for the index modeling, it should be checked
* if the following derivation of paymentDate is accurate (e.g. wo we have a fixingOffset).
* In such a case, this method may be overridden.
*/
final LocalDate referenceDate = getReferenceDate();
final LocalDate fixingDate = FloatingpointDate.getDateFromFloatingPointDate(referenceDate, fixingTime);
final LocalDate paymentDate = getPaymentBusinessdayCalendar().getAdjustedDate(fixingDate, getPaymentOffsetCode(), getPaymentDateRollConvention());
final double paymentTime = FloatingpointDate.getFloatingPointDateFromDate(referenceDate, paymentDate);
paymentOffsets.put(fixingTime, paymentTime-fixingTime);
return paymentTime-fixingTime;
}
}
/**
* 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