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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.marketdata2.model.curves;

import java.io.Serializable;
import java.time.LocalDate;
import java.time.ZoneId;
import java.util.Date;
import java.util.function.DoubleFunction;
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.montecarlo.AbstractRandomVariableFactory;
//import net.finmath.montecarlo.interestrate.LIBORMarketModelFromCovarianceModel;
//import net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;
import net.finmath.time.TimeDiscretizationFromArray;

/**
 * Implementation of a discount factor curve based on {@link net.finmath.marketdata.model.curves.CurveInterpolation}. The discount curve is based on the {@link net.finmath.marketdata.model.curves.CurveInterpolation} class.
 *
 * It thus features all interpolation and extrapolation methods and interpolation entities
 * as {@link net.finmath.marketdata.model.curves.CurveInterpolation} and implements the {@link net.finmath.marketdata.model.curves.DiscountCurve}.
 *
 * Note that this version of the DiscountCurveInterpolation 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.CurveInterpolation
 * @version 1.0
 */
public class DiscountCurveInterpolation extends CurveInterpolation 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 DiscountCurveInterpolation(final 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 DiscountCurveInterpolation(final String name, final InterpolationMethod interpolationMethod,
			final ExtrapolationMethod extrapolationMethod, final 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 DiscountCurveInterpolation(final String name, final LocalDate referenceDate, final InterpolationMethod interpolationMethod,
			final ExtrapolationMethod extrapolationMethod, final 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 DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(
			final String name, final LocalDate referenceDate,
			final double[] times, final RandomVariable[] givenDiscountFactors, final boolean[] isParameter,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {

		final DiscountCurveInterpolation discountFactors = new DiscountCurveInterpolation(name, referenceDate, interpolationMethod, extrapolationMethod, interpolationEntity);

		for(int timeIndex=0; timeIndex 0;
		}

		return createDiscountCurveFromDiscountFactors(name, times, givenDiscountFactors, isParameter, interpolationMethod, extrapolationMethod, interpolationEntity);
	}

	public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(
			final String name,
			final double[] times,
			final double[] givenDiscountFactors,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {
		final RandomVariable[] givenDiscountFactorsAsRandomVariables = DoubleStream.of(givenDiscountFactors).mapToObj(new DoubleFunction() {
			@Override
			public RandomVariableFromDoubleArray apply(final double x) { return new RandomVariableFromDoubleArray(x); }
		}).toArray(RandomVariable[]::new);
		return createDiscountCurveFromDiscountFactors(name, times, givenDiscountFactorsAsRandomVariables, 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 DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(final String name, final double[] times, final RandomVariable[] givenDiscountFactors) {
		final DiscountCurveInterpolation discountFactors = new DiscountCurveInterpolation(name);

		for(int timeIndex=0; timeIndex 0);
		}

		return discountFactors;
	}

	public static DiscountCurveInterpolation createDiscountCurveFromDiscountFactors(final String name, final double[] times, final double[] givenDiscountFactors) {
		final RandomVariable[] givenDiscountFactorsAsRandomVariables = DoubleStream.of(givenDiscountFactors).mapToObj(new DoubleFunction() {
			@Override
			public RandomVariableFromDoubleArray apply(final double x) { return new RandomVariableFromDoubleArray(x); }
		}).toArray(RandomVariable[]::new);
		return createDiscountCurveFromDiscountFactors(name, times, givenDiscountFactorsAsRandomVariables);
	}

	/**
	 * Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
	 * The discount factor is determined by
	 * 
	 * 		givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
	 * 
	 *
	 * @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 DiscountCurveInterpolation createDiscountCurveFromZeroRates(
			final String name, final LocalDate referenceDate,
			final double[] times, final RandomVariable[] givenZeroRates, final boolean[] isParameter,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {

		final RandomVariable[] givenDiscountFactors = new RandomVariable[givenZeroRates.length];

		for(int timeIndex=0; timeIndex
	 * 		givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
	 * 
	 *
	 * @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 DiscountCurveInterpolation createDiscountCurveFromZeroRates(
			final String name, final Date referenceDate,
			final double[] times, final RandomVariable[] givenZeroRates, final boolean[] isParameter,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {

		return createDiscountCurveFromZeroRates(name, referenceDate.toInstant().atZone(ZoneId.systemDefault()).toLocalDate(), times, givenZeroRates, isParameter, interpolationMethod, extrapolationMethod, interpolationEntity);
	}



	/**
	 * Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
	 * The discount factor is determined by
	 * 
	 * 		givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
	 * 
	 *
	 * @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 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 DiscountCurveInterpolation createDiscountCurveFromZeroRates(
			final String name, final LocalDate referenceDate,
			final double[] times, final RandomVariable[] givenZeroRates,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {

		final RandomVariable[] givenDiscountFactors = new RandomVariable[givenZeroRates.length];
		final boolean[] isParameter = new boolean[givenZeroRates.length];

		for(int timeIndex=0; timeIndex
	 * 		givenDiscountFactors[timeIndex] = Math.exp(- givenZeroRates[timeIndex] * times[timeIndex]);
	 * 
	 *
	 * @param name The name of this discount curve.
	 * @param times Array of times as doubles.
	 * @param givenZeroRates Array of corresponding zero rates.
	 * @return A new discount factor object.
	 */
	public static DiscountCurveInterpolation createDiscountCurveFromZeroRates(final String name, final double[] times, final RandomVariable[] givenZeroRates) {
		final RandomVariable[] givenDiscountFactors = new RandomVariable[givenZeroRates.length];

		for(int timeIndex=0; timeIndex
	 * 		givenDiscountFactors[timeIndex] = Math.pow(1.0 + givenAnnualizedZeroRates[timeIndex], -times[timeIndex]);
	 * 
	 *
	 * @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 givenAnnualizedZeroRates 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 DiscountCurveInterpolation createDiscountCurveFromAnnualizedZeroRates(
			final String name, final LocalDate referenceDate,
			final double[] times, final RandomVariable[] givenAnnualizedZeroRates, final boolean[] isParameter,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {

		final RandomVariable[] givenDiscountFactors = new RandomVariable[givenAnnualizedZeroRates.length];

		for(int timeIndex=0; timeIndex
	 * 		givenDiscountFactors[timeIndex] = Math.pow(1.0 + givenAnnualizedZeroRates[timeIndex], -times[timeIndex]);
	 * 
	 *
	 * @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 givenAnnualizedZeroRates Array of corresponding zero rates.
	 * @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 DiscountCurveInterpolation createDiscountCurveFromAnnualizedZeroRates(
			final String name, final LocalDate referenceDate,
			final double[] times, final RandomVariable[] givenAnnualizedZeroRates,
			final InterpolationMethod interpolationMethod, final ExtrapolationMethod extrapolationMethod, final InterpolationEntity interpolationEntity) {

		final RandomVariable[] givenDiscountFactors = new RandomVariable[givenAnnualizedZeroRates.length];
		final boolean[] isParameter = new boolean[givenAnnualizedZeroRates.length];

		for(int timeIndex=0; timeIndex 0);
		for(int timeIndex=1; timeIndex 0);
		}

		return discountFactors;
	}

	/**
	 * Create a discount curve from forwards given by a LIBORMonteCarloModel. If the model uses multiple curves, return its discount curve.
	 *
	 * @param forwardCurveName      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 discount curve from forwards given by a LIBORMonteCarloModel.
	 * @throws CalculationException Thrown if the model failed to provide the forward rates.
	 */
	public static DiscountCurveInterface createDiscountCurveFromMonteCarloLiborModel(final String forwardCurveName,  final LIBORModelMonteCarloSimulationModel model, final double startTime) throws CalculationException{
		// Check if the LMM uses a discount curve which is created from a forward curve
		if(model.getModel().getDiscountCurve()==null || model.getModel().getDiscountCurve().getName().toLowerCase().contains("DiscountCurveFromForwardCurve".toLowerCase())){
			return new DiscountCurveFromForwardCurve(ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel(forwardCurveName, model, startTime));
		}
		else {
			// i.e. forward curve of Libor Model not OIS. In this case return the OIS curve.
			// Only at startTime 0!
			return (DiscountCurveInterface) model.getModel().getDiscountCurve();
		}

	}


	// INSERTED
	public static RandomVariable[] createZeroRates(final double time, final double[] maturities, final LIBORModelMonteCarloSimulationModel model) throws CalculationException{

		// get time index of first libor fixing time after time
		final int firstLiborIndex = model.getLiborPeriodDiscretization().getTimeIndexNearestGreaterOrEqual(time);
		final int remainingLibors = model.getNumberOfLibors()-firstLiborIndex;
		RandomVariable[] forwardRates;
		double[] liborTimes;
		int indexOffset;
		double periodStart;
		double periodEnd;

		if(model.getLiborPeriodDiscretization().getTime(firstLiborIndex)>time) {
			periodStart = time;
			periodEnd   = model.getLiborPeriodDiscretization().getTime(firstLiborIndex);
			forwardRates = new RandomVariable[remainingLibors+1];
			forwardRates[0] = model.getForwardRate(time, periodStart, periodEnd);
			indexOffset = 1;
			liborTimes = new double[forwardRates.length+1];
			liborTimes[0] = 0;
		}
		else {
			forwardRates = new RandomVariable[remainingLibors];
			indexOffset = 0;
			liborTimes = new double[forwardRates.length+1];
		}

		for(int liborIndex=firstLiborIndex;liborIndex