com.opengamma.strata.pricer

Interface DiscountFactors

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

SimpleDiscountFactors, ZeroRateDiscountFactors, ZeroRatePeriodicDiscountFactors

public interface DiscountFactors
extends MarketDataView, ParameterizedData

Provides access to discount factors for a single currency.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

Method Summary

Modifier and Type	Method and 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.
default double	discountFactor(LocalDate date) Gets the discount factor for the specified date.
double	discountFactorTimeDerivative(double yearFraction) Returns the discount factor derivative with respect to the year fraction or time.
default double	discountFactorWithSpread(double yearFraction, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Gets the discount factor for the specified year fraction with z-spread.
default double	discountFactorWithSpread(LocalDate date, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Gets the discount factor for the specified date with z-spread.
Currency	getCurrency() Gets the currency.
static DiscountFactors	of(Currency currency, LocalDate valuationDate, Curve curve) Obtains an instance from a curve.
CurrencyParameterSensitivities	parameterSensitivity(ZeroRateSensitivity pointSensitivity) Calculates the parameter sensitivity from the point sensitivity.
double	relativeYearFraction(LocalDate date) Calculates the relative time between the valuation date and the specified date.
DiscountFactors	withParameter(int parameterIndex, double newValue)
DiscountFactors	withPerturbation(ParameterPerturbation perturbation)
double	zeroRate(double yearFraction) Gets the continuously compounded zero rate for specified year fraction.
default double	zeroRate(LocalDate date) Gets the continuously compounded zero rate for the specified date.
default ZeroRateSensitivity	zeroRatePointSensitivity(double yearFraction) Calculates the zero rate point sensitivity at the 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.
default ZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date) Calculates the zero rate point sensitivity at the specified date.
default ZeroRateSensitivity	zeroRatePointSensitivity(LocalDate date, Currency sensitivityCurrency) Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
default ZeroRateSensitivity	zeroRatePointSensitivityWithSpread(double yearFraction, Currency sensitivityCurrency, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the zero rate point sensitivity with z-spread at the specified year fraction specifying the currency of the sensitivity.
default ZeroRateSensitivity	zeroRatePointSensitivityWithSpread(double yearFraction, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the zero rate point sensitivity with z-spread at the specified year fraction.
default ZeroRateSensitivity	zeroRatePointSensitivityWithSpread(LocalDate date, Currency sensitivityCurrency, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the zero rate point sensitivity with z-spread at the specified date specifying the currency of the sensitivity.
default ZeroRateSensitivity	zeroRatePointSensitivityWithSpread(LocalDate date, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) Calculates the zero rate point sensitivity with z-spread at the specified date.

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData, getValuationDate

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

of

static DiscountFactors of(Currency currency,
                          LocalDate valuationDate,
                          Curve curve)

Obtains an instance from a curve.

The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must have x-values of year fractions with the day count specified. The y-values must be zero rates or discount factors.

Parameters:

currency - the currency

valuationDate - the valuation date for which the curve is valid

curve - the underlying curve

Returns:

the discount factors view

getCurrency

Currency getCurrency()

Gets the currency.

The currency that discount factors are provided for.

Returns:

the currency

withParameter

DiscountFactors withParameter(int parameterIndex,
                              double newValue)

Specified by:

withParameter in interface ParameterizedData

withPerturbation

DiscountFactors withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

relativeYearFraction

double relativeYearFraction(LocalDate date)

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.

Parameters:

date - the date

Returns:

the year fraction

Throws:

RuntimeException - if it is not possible to convert dates to relative times

discountFactor

default double discountFactor(LocalDate date)

Gets the discount factor for the specified date.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

date - the date to discount to

Returns:

the discount factor

Throws:

RuntimeException - if the value cannot be obtained

discountFactor

double discountFactor(double yearFraction)

Gets the discount factor for specified year fraction.

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

Parameters:

yearFraction - the year fraction

Returns:

the discount factor

Throws:

RuntimeException - if the value cannot be obtained

discountFactorTimeDerivative

double discountFactorTimeDerivative(double yearFraction)

Returns the discount factor derivative with respect to the year fraction or time.

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

Parameters:

yearFraction - the year fraction

Returns:

the discount factor derivative

Throws:

RuntimeException - if the value cannot be obtained

discountFactorWithSpread

default double discountFactorWithSpread(LocalDate date,
                                        double zSpread,
                                        CompoundedRateType compoundedRateType,
                                        int periodsPerYear)

Gets the discount factor for the specified date with z-spread.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

If the valuation date is on or after the specified date, the discount factor is 1.

Parameters:

date - the date to discount to

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the discount factor

Throws:

RuntimeException - if the value cannot be obtained

discountFactorWithSpread

default double discountFactorWithSpread(double yearFraction,
                                        double zSpread,
                                        CompoundedRateType compoundedRateType,
                                        int periodsPerYear)

Gets the discount factor for the specified year fraction with z-spread.

The discount factor represents the time value of money for the specified currency when comparing the valuation date to the specified date.

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

If the valuation date is on or after the specified date, the discount factor is 1.

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

Parameters:

yearFraction - the year fraction

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the discount factor

Throws:

RuntimeException - if the value cannot be obtained

zeroRate

default double zeroRate(LocalDate date)

Gets the continuously compounded zero rate for the specified date.

The continuously compounded zero rate is coherent to discountFactor(LocalDate) along with year fraction which is computed internally in each implementation.

Parameters:

date - the date to discount to

Returns:

the zero rate

Throws:

RuntimeException - if the value cannot be obtained

zeroRate

double zeroRate(double yearFraction)

Gets the continuously compounded zero rate for specified year fraction.

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

Parameters:

yearFraction - the year fraction

Returns:

the zero rate

Throws:

RuntimeException - if the value cannot be obtained

zeroRatePointSensitivity

default ZeroRateSensitivity zeroRatePointSensitivity(LocalDate date)

Calculates the zero rate point sensitivity at the specified date.

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 discountFactor(LocalDate).

Parameters:

date - the date to discount to

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

default ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction)

Calculates the zero rate point sensitivity at the specified year fraction.

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 discountFactor(LocalDate).

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

Parameters:

yearFraction - the year fraction

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

default ZeroRateSensitivity zeroRatePointSensitivity(LocalDate date,
                                                     Currency sensitivityCurrency)

Calculates the zero rate point sensitivity at the specified date 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 discountFactor(LocalDate).

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

Parameters:

date - the date to discount to

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivity

ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction,
                                             Currency sensitivityCurrency)

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 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).

Parameters:

yearFraction - the year fraction

sensitivityCurrency - the currency of the sensitivity

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivityWithSpread

default ZeroRateSensitivity zeroRatePointSensitivityWithSpread(LocalDate date,
                                                               double zSpread,
                                                               CompoundedRateType compoundedRateType,
                                                               int periodsPerYear)

Calculates the zero rate point sensitivity with z-spread at the specified date.

This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity refers to the result of discountFactorWithSpread(LocalDate, double, CompoundedRateType, int).

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

Parameters:

date - the date to discount to

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivityWithSpread

default ZeroRateSensitivity zeroRatePointSensitivityWithSpread(double yearFraction,
                                                               double zSpread,
                                                               CompoundedRateType compoundedRateType,
                                                               int periodsPerYear)

Calculates the zero rate point sensitivity with z-spread at the specified year fraction.

This returns a sensitivity instance referring to the zero rate sensitivity of the points that were queried in the market data. The sensitivity refers to the result of discountFactorWithSpread(LocalDate, double, CompoundedRateType, int).

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

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

Parameters:

yearFraction - the year fraction

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivityWithSpread

default ZeroRateSensitivity zeroRatePointSensitivityWithSpread(LocalDate date,
                                                               Currency sensitivityCurrency,
                                                               double zSpread,
                                                               CompoundedRateType compoundedRateType,
                                                               int periodsPerYear)

Calculates the zero rate point sensitivity with z-spread at the specified date 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 refers to the result of discountFactorWithSpread(LocalDate, double, CompoundedRateType, int).

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

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

Parameters:

date - the date to discount to

sensitivityCurrency - the currency of the sensitivity

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

zeroRatePointSensitivityWithSpread

default ZeroRateSensitivity zeroRatePointSensitivityWithSpread(double yearFraction,
                                                               Currency sensitivityCurrency,
                                                               double zSpread,
                                                               CompoundedRateType compoundedRateType,
                                                               int periodsPerYear)

Calculates the zero rate point sensitivity with z-spread 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 refers to the result of discountFactorWithSpread(LocalDate, double, CompoundedRateType, int).

The z-spread is a parallel shift applied to continuously compounded rates or periodic compounded rates of the discounting curve.

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).

Parameters:

yearFraction - the year fraction

sensitivityCurrency - the currency of the sensitivity

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodsPerYear - the number of periods per year

Returns:

the point sensitivity of the zero rate

Throws:

RuntimeException - if the result cannot be calculated

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSensitivity)

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.

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated

createParameterSensitivity

CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                          DoubleArray sensitivities)

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, 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.

Parameters:

currency - the currency

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

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated