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

Class DiscountCurveFromProductOfCurves

• Constructor Summary

Constructors
Constructor and Description
DiscountCurveFromProductOfCurves(String name, LocalDate referenceDate, DiscountCurve... curves)
Create a discount curve using one or more curves.
• Method Summary

All Methods
Modifier and Type Method and Description
CurveBuilder getCloneBuilder()
Returns a curve builder bases on a clone of this curve.
double getDiscountFactor(AnalyticModel 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(AnalyticModel 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.
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

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
• Methods inherited from interface net.finmath.marketdata.model.curves.Curve

clone, getCloneForParameter, getName, getReferenceDate, getValue
• Constructor Detail

• DiscountCurveFromProductOfCurves

public DiscountCurveFromProductOfCurves(String name,
LocalDate referenceDate,
DiscountCurve... curves)
Create a discount curve using one or more curves.
Parameters:
name - The name of this curve.
referenceDate - The reference date of this curve.
curves - Argument list or array of curves.
• Method Detail

• getDiscountFactor

public double getDiscountFactor(double maturity)
Description copied from interface: DiscountCurve
Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
Specified by:
getDiscountFactor in interface DiscountCurve
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(AnalyticModel model,
double maturity)
Description copied from interface: DiscountCurve
Returns the discount factor for the corresponding maturity. This getter is not optimized for performance.
Specified by:
getDiscountFactor in interface DiscountCurve
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(AnalyticModel model,
double time)
Description copied from interface: Curve
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 Curve
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 CurveBuilder getCloneBuilder()
Description copied from interface: Curve
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 Curve
Returns:
An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.