- java.lang.Object
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- net.finmath.marketdata.model.curves.DiscountCurveRenormalized
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- All Implemented Interfaces:
Serializable
,Cloneable
,ParameterObject
,Curve
,DiscountCurve
public class DiscountCurveRenormalized extends Object implements DiscountCurve, Serializable
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.- Version:
- 1.0
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description DiscountCurveRenormalized(String name, LocalDate referenceDate, LocalDate spotDate, String baseCurveName)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description DiscountCurveRenormalized
clone()
Create a deep copied clone.CurveBuilder
getCloneBuilder()
Returns a curve builder bases on a clone of this curve.Curve
getCloneForParameter(double[] value)
Create a clone with a modified parameter.double
getDiscountFactor(double maturity)
Returns the discount factor for the corresponding maturity.double
getDiscountFactor(AnalyticModel model, double maturity)
Returns the discount factor for the corresponding maturity.String
getName()
Get the name of the curve.double[]
getParameter()
Get the current parameter associated with the state of the objects.LocalDate
getReferenceDate()
Return the reference date of this curve, i.e.double
getValue(double time)
Returns the value for the time using the interpolation method associated with this curve.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.
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Method Detail
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getReferenceDate
public LocalDate getReferenceDate()
Description copied from interface:Curve
Return the reference date of this curve, i.e. the date associated with t=0. May be null in case the curve is not associated with a fixed date (e.g. a time homogenous model).- Specified by:
getReferenceDate
in interfaceCurve
- Returns:
- The date identified as t=0.
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getValue
public double getValue(double time)
Description copied from interface:Curve
Returns the value for the time using the interpolation method associated with this curve.
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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.
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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 interfaceCurve
- Returns:
- An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.
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getCloneForParameter
public Curve getCloneForParameter(double[] value) throws CloneNotSupportedException
Description copied from interface:ParameterObject
Create a clone with a modified parameter.- Specified by:
getCloneForParameter
in interfaceCurve
- Specified by:
getCloneForParameter
in interfaceParameterObject
- Parameters:
value
- The new parameter.- Returns:
- A clone with an otherwise modified parameter.
- Throws:
CloneNotSupportedException
- Thrown, when the curve could not be cloned.
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getParameter
public double[] getParameter()
Description copied from interface:ParameterObject
Get the current parameter associated with the state of the objects.- Specified by:
getParameter
in interfaceParameterObject
- Returns:
- The parameter.
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setParameter
public void setParameter(double[] parameter)
Description copied from interface:ParameterObject
Set the current parameter and change the state of the objects.- Specified by:
setParameter
in interfaceParameterObject
- Parameters:
parameter
- The parameter associated with the new state of the objects.
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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 interfaceDiscountCurve
- 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.
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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 interfaceDiscountCurve
- 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.
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