DiscountCurveFromForwardCurve (finmath lib 3.2.7 API)

java.lang.Object
- net.finmath.marketdata.model.curves.AbstractCurve
- - net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve

All Implemented Interfaces:

Serializable, Cloneable, ParameterObjectInterface, CurveInterface, DiscountCurveInterface
```
public class DiscountCurveFromForwardCurve
extends AbstractCurve
implements Serializable, DiscountCurveInterface
```
A discount curve derived from a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.
Note that a special interpolation is performed for in-between points. Hence, creating a ForwardCurveFromDiscountCurve and from it a DiscountCurveFromForwardCurve will not recover the original curve since interpolation points may be lost.

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors
Constructor and Description
`DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve)` Create a discount curve using a given forward curve.
`DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve, double periodLengthTimeScaling)` Create a discount curve using a given forward curve.
`DiscountCurveFromForwardCurve(String forwardCurveName)` Create a discount curve using a given forward curve.
`DiscountCurveFromForwardCurve(String forwardCurveName, double periodLengthTimeScaling)` Create a discount curve using a given forward curve.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`boolean`	`equals(Object obj)`
`CurveBuilderInterface`	`getCloneBuilder()` Returns a curve builder bases on a clone of this curve.
`double`	`getDiscountFactor(AnalyticModelInterface model, double maturity)` Returns the discount factor for the corresponding maturity.
`double`	`getDiscountFactor(double maturity)` Returns the discount factor for the corresponding maturity.
`double[]`	`getParameter()` Get the current parameter associated with the state of the objects.
`double`	`getValue(AnalyticModelInterface model, double time)` Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
`int`	`hashCode()`
`void`	`setParameter(double[] parameter)` Set the current parameter and change the state of the objects.

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve
clone, getCloneForParameter, getName, getReferenceDate, getValue, getValues, toString

Methods inherited from class java.lang.Object
finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.marketdata.model.curves.CurveInterface
clone, getCloneForParameter, getName, getReferenceDate, getValue

- Constructor Detail
  - DiscountCurveFromForwardCurve
```
public DiscountCurveFromForwardCurve(String forwardCurveName,
                                     double periodLengthTimeScaling)
```
    Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.
    
    Parameters:
    
    forwardCurveName - The name of the forward curve used for calculation of the discount factors.
    
    periodLengthTimeScaling - A scaling factor applied to d, adjusting for the internal double time to the period length daycount fraction (note that this may only be an approximate solution to capture daycount effects).
  - DiscountCurveFromForwardCurve
```
public DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve,
                                     double periodLengthTimeScaling)
```
    Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.
    
    Parameters:
    
    forwardCurve - The forward curve used for calculation of the discount factors.
    
    periodLengthTimeScaling - A scaling factor applied to d, adjusting for the internal double time to the period length daycount fraction (note that this may only be an approximate solution to capture daycount effects).
  - DiscountCurveFromForwardCurve
```
public DiscountCurveFromForwardCurve(String forwardCurveName)
```
    Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.
    
    Parameters:
    
    forwardCurveName - The name of the forward curve used for calculation of the discount factors.
  - DiscountCurveFromForwardCurve
```
public DiscountCurveFromForwardCurve(ForwardCurveInterface forwardCurve)
```
    Create a discount curve using a given forward curve. The discount factors df(t) are defined at t = k * d for integers k via df(t+d) = df(t) / (1 + f(t) * d) and for t = k * d and 0 < r < d via df(t+r) = df(t) / (1 + f(t) * r) where d is a given the payment offset and f(t) is the forward curve.
    
    Parameters:
    
    forwardCurve - The forward curve used for calculation of the discount factors.
- Method Detail
  - getDiscountFactor
```
public double getDiscountFactor(double maturity)
```
    Description copied from interface: DiscountCurveInterface
    
    Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
    
    Specified by:
    
    getDiscountFactor in interface DiscountCurveInterface
    
    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
```
public double getDiscountFactor(AnalyticModelInterface model,
                                double maturity)
```
    Description copied from interface: DiscountCurveInterface
    
    Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
    
    Specified by:
    
    getDiscountFactor in interface DiscountCurveInterface
    
    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.
  - getValue
```
public double getValue(AnalyticModelInterface model,
                       double time)
```
    Description copied from interface: CurveInterface
    
    Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model. The model (context) is needed only if the curve relies on another curve. Examples are a forward curve which relies on a discount curve or a discount curve which is defined via a spread over another curve.
    
    Specified by:
    
    getValue in interface CurveInterface
    
    Parameters:
    
    model - An analytic model providing a context.
    
    time - Time for which the value should be returned.
    
    Returns:
    
    The value at the give time.
  - getParameter
```
public double[] getParameter()
```
    Description copied from interface: ParameterObjectInterface
    
    Get the current parameter associated with the state of the objects.
    
    Specified by:
    
    getParameter in interface ParameterObjectInterface
    
    Returns:
    
    The parameter.
  - setParameter
```
public void setParameter(double[] parameter)
```
    Description copied from interface: ParameterObjectInterface
    
    Set the current parameter and change the state of the objects.
    
    Specified by:
    
    setParameter in interface ParameterObjectInterface
    
    Parameters:
    
    parameter - The parameter associated with the new state of the objects.
  - getCloneBuilder
```
public CurveBuilderInterface getCloneBuilder()
                                      throws CloneNotSupportedException
```
    Description copied from interface: CurveInterface
    
    Returns a curve builder bases on a clone of this curve. Using that curve builder you may create a new curve from this curve by adding points or changing properties. Note: The clone has the same name than this one.
    
    Specified by:
    
    getCloneBuilder in interface CurveInterface
    
    Returns:
    
    An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.
    
    Throws:
    
    CloneNotSupportedException - Thrown, when this curve could not be cloned.
  - hashCode
```
public int hashCode()
```
    Overrides:
    
    hashCode in class Object
  - equals
```
public boolean equals(Object obj)
```
    Overrides:
    
    equals in class Object

Class DiscountCurveFromForwardCurve

Constructor Summary

Method Summary

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

Methods inherited from class java.lang.Object

Methods inherited from interface net.finmath.marketdata.model.curves.CurveInterface

Constructor Detail

DiscountCurveFromForwardCurve

DiscountCurveFromForwardCurve

DiscountCurveFromForwardCurve

DiscountCurveFromForwardCurve

Method Detail

getDiscountFactor

getDiscountFactor

getValue

getParameter

setParameter

getCloneBuilder

hashCode

equals