Package com.opengamma.strata.pricer

Class ZeroRateDiscountFactors

java.lang.Object

com.opengamma.strata.pricer.ZeroRateDiscountFactors

All Implemented Interfaces:

MarketDataView, ParameterizedData, DiscountFactors, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ZeroRateDiscountFactors
extends Object
implements DiscountFactors, org.joda.beans.ImmutableBean, 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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ZeroRateDiscountFactors.Meta	The meta-bean for ZeroRateDiscountFactors.

Method Summary

Modifier and Type	Method	Description
CurrencyParameterSensitivities	createParameterSensitivity(Currency currency, DoubleArray sensitivities)	Creates the parameter sensitivity when the sensitivity values are known.
double	discountFactor(double yearFraction)	Gets the discount factor for specified year fraction.
double	discountFactorTimeDerivative(double yearFraction)	Returns the discount factor derivative with respect to the year fraction or time.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
OptionalInt	findParameterIndex(ParameterMetadata metadata)	Finds the parameter index of the specified metadata.
Currency	getCurrency()	Gets the currency that the discount factors are for.
Curve	getCurve()	Gets the underlying curve.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
LocalDate	getValuationDate()	Gets the valuation date.
int	hashCode()
static ZeroRateDiscountFactors.Meta	meta()	The meta-bean for ZeroRateDiscountFactors.
ZeroRateDiscountFactors.Meta	metaBean()
static ZeroRateDiscountFactors	of(Currency currency, LocalDate valuationDate, Curve underlyingCurve)	Obtains an instance based on a zero-rates curve.
CurrencyParameterSensitivities	parameterSensitivity(ZeroRateSensitivity pointSens)	Calculates the parameter sensitivity from the point sensitivity.
double	relativeYearFraction(LocalDate date)	Calculates the relative time between the valuation date and the specified date.
String	toString()
ZeroRateDiscountFactors	withCurve(Curve curve)	Returns a new instance with a different curve.
ZeroRateDiscountFactors	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
ZeroRateDiscountFactors	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.
double	zeroRate(double yearFraction)	Gets the continuously compounded zero rate for specified year fraction.
ZeroRateSensitivity	zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency)	Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.pricer.DiscountFactors

discountFactor, discountFactorWithSpread, discountFactorWithSpread, zeroRate, zeroRatePointSensitivity, zeroRatePointSensitivity, zeroRatePointSensitivity, zeroRatePointSensitivityWithSpread, zeroRatePointSensitivityWithSpread, zeroRatePointSensitivityWithSpread, zeroRatePointSensitivityWithSpread

Method Detail

of

public static ZeroRateDiscountFactors of(Currency currency,
                                         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> 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

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Description copied from interface: ParameterizedData

Finds the parameter index of the specified metadata.

If the parameter metadata is not matched, an empty optional will be returned.

Specified by:

findParameterIndex in interface ParameterizedData

Parameters:

metadata - the parameter metadata to find the index of

Returns:

the index 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(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

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: DiscountFactors

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, DiscountFactors.parameterSensitivity(ZeroRateSensitivity) should be used and manipulated. However, it can be useful to create parameter sensitivity from pre-computed sensitivity values.

There will typically be one CurrencyParameterSensitivity for each underlying data structure, such as a curve. For example, if the discount factors are based on a single discount curve, then there will be one CurrencyParameterSensitivity in the result.

Specified by:

createParameterSensitivity in interface DiscountFactors

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count

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

meta

public static ZeroRateDiscountFactors.Meta meta()

The meta-bean for ZeroRateDiscountFactors.

Returns:

the meta-bean, not null

metaBean

public ZeroRateDiscountFactors.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

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 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(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object