finMath lib documentation
net.finmath.analytic.model.curves

Interface DiscountCurveInterface

• All Superinterfaces:
Cloneable, Curve, ParameterObject
All Known Implementing Classes:
DiscountCurveFromForwardCurve, DiscountCurveInterpolation

public interface DiscountCurveInterface
extends Curve
The interface which is implemented by discount curves. A discount curve is a mapping of T to df(T) where df(T) represents the present value of a cash flow or 1 in time T, with respect to a specific currency unit and collateralization.
Version:
1.0
Author:
Christian Fries
• Method Summary

All Methods
Modifier and Type Method and Description
RandomVariable getDiscountFactor(AnalyticModel model, double maturity)
Returns the discount factor for the corresponding maturity.
RandomVariable getDiscountFactor(double maturity)
Returns the discount factor for the corresponding maturity.
• Methods inherited from interface net.finmath.analytic.model.curves.Curve

clone, getCloneBuilder, getCloneForParameter, getName, getReferenceDate, getValue, getValue
• Methods inherited from interface net.finmath.analytic.calibration.ParameterObject

getParameter, setParameter
• Method Detail

• getDiscountFactor

RandomVariable getDiscountFactor(double maturity)
Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
Parameters:
maturity - The maturity for which the discount factor is requested.
Returns:
The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.
• getDiscountFactor

RandomVariable getDiscountFactor(AnalyticModel model,
double maturity)
Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
Parameters:
model - An analytic model providing a context. Some curves do not need this (can be null).
maturity - The maturity for which the discount factor is requested.
Returns:
The discount factor (i.e., price of the zero coupon bond with given maturity and notional 1.