Class ZeroRateDiscountFactors

  • All Implemented Interfaces:
    MarketDataView, ParameterizedData, DiscountFactors, java.io.Serializable, Bean, ImmutableBean

    public final class ZeroRateDiscountFactors
    extends java.lang.Object
    implements DiscountFactors, ImmutableBean, java.io.Serializable
    Provides access to discount factors for a currency based on a zero rate continuously compounded curve.

    This provides discount factors for a single currency.

    This implementation is based on an underlying curve that is stored with maturities and zero-coupon continuously-compounded rates.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static ZeroRateDiscountFactors of​(Currency currency,
                                                 java.time.LocalDate valuationDate,
                                                 Curve underlyingCurve)
        Obtains an instance based on a zero-rates curve.

        The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must contain year fractions against zero rates, and the day count must be present. A suitable metadata instance for the curve can be created by Curves.zeroRates(String, DayCount).

        Parameters:
        currency - the currency
        valuationDate - the valuation date for which the curve is valid
        underlyingCurve - the underlying curve
        Returns:
        the curve
      • findData

        public <T> java.util.Optional<T> findData​(MarketDataName<T> name)
        Description copied from interface: MarketDataView
        Finds the market data with the specified name.

        This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

        Specified by:
        findData in interface MarketDataView
        Type Parameters:
        T - the type of the market data value
        Parameters:
        name - the name to find
        Returns:
        the market data value, empty if not found
      • getParameterCount

        public int getParameterCount()
        Description copied from interface: ParameterizedData
        Gets the number of parameters.

        This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

        Specified by:
        getParameterCount in interface ParameterizedData
        Returns:
        the number of parameters
      • getParameter

        public double getParameter​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the value of the parameter at the specified index.
        Specified by:
        getParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the value of the parameter
      • getParameterMetadata

        public ParameterMetadata getParameterMetadata​(int parameterIndex)
        Description copied from interface: ParameterizedData
        Gets the metadata of the parameter at the specified index.

        If there is no specific parameter metadata, an empty instance will be returned.

        Specified by:
        getParameterMetadata in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        Returns:
        the metadata of the parameter
      • withParameter

        public ZeroRateDiscountFactors withParameter​(int parameterIndex,
                                                     double newValue)
        Description copied from interface: ParameterizedData
        Returns a copy of the data with the value at the specified index altered.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withParameter in interface DiscountFactors
        Specified by:
        withParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        newValue - the new value for the specified parameter
        Returns:
        a parameterized data instance based on this with the specified parameter altered
      • withPerturbation

        public ZeroRateDiscountFactors withPerturbation​(ParameterPerturbation perturbation)
        Description copied from interface: ParameterizedData
        Returns a perturbed copy of the data.

        The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withPerturbation in interface DiscountFactors
        Specified by:
        withPerturbation in interface ParameterizedData
        Parameters:
        perturbation - the perturbation to apply
        Returns:
        a parameterized data instance based on this with the specified perturbation applied
      • relativeYearFraction

        public double relativeYearFraction​(java.time.LocalDate date)
        Description copied from interface: DiscountFactors
        Calculates the relative time between the valuation date and the specified date.

        The double value returned from this method is used as the input to other methods. It is typically calculated from a DayCount.

        Specified by:
        relativeYearFraction in interface DiscountFactors
        Parameters:
        date - the date
        Returns:
        the year fraction
      • discountFactor

        public double discountFactor​(double yearFraction)
        Description copied from interface: DiscountFactors
        Gets the discount factor for specified year fraction.

        The year fraction must be based on #relativeYearFraction(LocalDate).

        Specified by:
        discountFactor in interface DiscountFactors
        Parameters:
        yearFraction - the year fraction
        Returns:
        the discount factor
      • discountFactorTimeDerivative

        public double discountFactorTimeDerivative​(double yearFraction)
        Description copied from interface: DiscountFactors
        Returns the discount factor derivative with respect to the year fraction or time.

        The year fraction must be based on #relativeYearFraction(LocalDate).

        Specified by:
        discountFactorTimeDerivative in interface DiscountFactors
        Parameters:
        yearFraction - the year fraction
        Returns:
        the discount factor derivative
      • zeroRate

        public double zeroRate​(double yearFraction)
        Description copied from interface: DiscountFactors
        Gets the continuously compounded zero rate for specified year fraction.

        The year fraction must be based on #relativeYearFraction(LocalDate).

        Specified by:
        zeroRate in interface DiscountFactors
        Parameters:
        yearFraction - the year fraction
        Returns:
        the zero rate
      • zeroRatePointSensitivity

        public ZeroRateSensitivity zeroRatePointSensitivity​(double yearFraction,
                                                            Currency sensitivityCurrency)
        Description copied from interface: DiscountFactors
        Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.

        This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity typically has the value (-discountFactor * yearFraction). The sensitivity refers to the result of DiscountFactors.discountFactor(LocalDate).

        This method allows the currency of the sensitivity to differ from the currency of the market data.

        The year fraction must be based on #relativeYearFraction(LocalDate).

        Specified by:
        zeroRatePointSensitivity in interface DiscountFactors
        Parameters:
        yearFraction - the year fraction
        sensitivityCurrency - the currency of the sensitivity
        Returns:
        the point sensitivity of the zero rate
      • parameterSensitivity

        public CurrencyParameterSensitivities parameterSensitivity​(ZeroRateSensitivity pointSens)
        Description copied from interface: DiscountFactors
        Calculates the parameter sensitivity from the point sensitivity.

        This is used to convert a single point sensitivity to parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.

        Specified by:
        parameterSensitivity in interface DiscountFactors
        Parameters:
        pointSens - the point sensitivity to convert
        Returns:
        the parameter sensitivity
      • withCurve

        public ZeroRateDiscountFactors withCurve​(Curve curve)
        Returns a new instance with a different curve.
        Parameters:
        curve - the new curve
        Returns:
        the new instance
      • getCurrency

        public Currency getCurrency()
        Gets the currency that the discount factors are for.
        Specified by:
        getCurrency in interface DiscountFactors
        Returns:
        the value of the property, not null
      • getValuationDate

        public java.time.LocalDate getValuationDate()
        Gets the valuation date.
        Specified by:
        getValuationDate in interface MarketDataView
        Returns:
        the value of the property, not null
      • getCurve

        public Curve getCurve()
        Gets the underlying curve. The metadata of the curve must define a day count.
        Returns:
        the value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object