com.opengamma.strata.pricer

Class ZeroRatePeriodicDiscountFactors

java.lang.Object

com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors

All Implemented Interfaces:

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

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

Provides access to discount factors for a currency based on a zero rate periodically-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 periodically-compounded rates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

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 relativeYearFraction) 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)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
Currency	getCurrency() Gets the currency that the discount factors are for.
Curve	getCurve() Gets the underlying curve.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
static ZeroRatePeriodicDiscountFactors.Meta	meta() The meta-bean for ZeroRatePeriodicDiscountFactors.
ZeroRatePeriodicDiscountFactors.Meta	metaBean()
static ZeroRatePeriodicDiscountFactors	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()
ZeroRatePeriodicDiscountFactors	withCurve(Curve curve) Returns a new instance with a different curve.
ZeroRatePeriodicDiscountFactors	withParameter(int parameterIndex, double newValue)
ZeroRatePeriodicDiscountFactors	withPerturbation(ParameterPerturbation perturbation)
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.
ZeroRateSensitivity	zeroRatePointSensitivityWithSpread(double yearFraction, Currency sensitivityCurrency, double zSpread, CompoundedRateType compoundedRateType, int periodPerYear) Calculates the zero rate point sensitivity with z-spread 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 com.opengamma.strata.pricer.DiscountFactors

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

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static ZeroRatePeriodicDiscountFactors 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. The day count and compounding periods per year must be present in the metadata.

Specified by:

of in interface DiscountFactors

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)

Specified by:

findData in interface MarketDataView

getParameterCount

public int getParameterCount()

Specified by:

getParameterCount in interface ParameterizedData

getParameter

public double getParameter(int parameterIndex)

Specified by:

getParameter in interface ParameterizedData

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public ZeroRatePeriodicDiscountFactors withParameter(int parameterIndex,
                                                     double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface DiscountFactors

withPerturbation

public ZeroRatePeriodicDiscountFactors withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface DiscountFactors

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 relativeYearFraction)

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:

relativeYearFraction - 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

zeroRatePointSensitivityWithSpread

public ZeroRateSensitivity zeroRatePointSensitivityWithSpread(double yearFraction,
                                                              Currency sensitivityCurrency,
                                                              double zSpread,
                                                              CompoundedRateType compoundedRateType,
                                                              int periodPerYear)

Description copied from interface: DiscountFactors

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 DiscountFactors.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).

Specified by:

zeroRatePointSensitivityWithSpread in interface DiscountFactors

Parameters:

yearFraction - the year fraction

sensitivityCurrency - the currency of the sensitivity

zSpread - the z-spread

compoundedRateType - the compounded rate type

periodPerYear - the number of periods per year

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 ZeroRatePeriodicDiscountFactors withCurve(Curve curve)

Returns a new instance with a different curve.

Parameters:

curve - the new curve

Returns:

the new instance

meta

public static ZeroRatePeriodicDiscountFactors.Meta meta()

The meta-bean for ZeroRatePeriodicDiscountFactors.

Returns:

the meta-bean, not null

metaBean

public ZeroRatePeriodicDiscountFactors.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