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Merge pull request #97 from agrotz/master
Use native finmath curves in equities framework
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63 changes: 10 additions & 53 deletions
63
src/main/java/net/finmath/equities/marketdata/FlatYieldCurve.java
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,69 +1,26 @@ | ||
| package net.finmath.equities.marketdata; | ||
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| import java.time.LocalDate; | ||
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| import net.finmath.time.daycount.DayCountConvention; | ||
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| /** | ||
| * Class to provide methods of a flat yield curve. | ||
| * TODO This class should be integrated into or replaced by finmat-lib's curve universe. | ||
| * | ||
| * @author Andreas Grotz | ||
| */ | ||
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| public class FlatYieldCurve { | ||
| private final LocalDate curveDate; | ||
| private final double rate; | ||
| private final DayCountConvention dayCounter; | ||
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| public FlatYieldCurve( | ||
| final LocalDate curveDate, | ||
| final double rate, | ||
| final DayCountConvention dayCounter) | ||
| { | ||
| this.curveDate = curveDate; | ||
| this.rate = rate; | ||
| this.dayCounter = dayCounter; | ||
| } | ||
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| public FlatYieldCurve rollToDate(LocalDate date) | ||
| { | ||
| return new FlatYieldCurve(date, rate, dayCounter); | ||
| } | ||
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| public double getRate(double maturity) | ||
| { | ||
| assert maturity >= 0.0 : "maturity must be positive"; | ||
| return rate; | ||
| } | ||
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| public double getRate(LocalDate date) | ||
| { | ||
| return getRate(dayCounter.getDaycountFraction(curveDate, date)); | ||
| } | ||
| public class FlatYieldCurve extends YieldCurve { | ||
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| public double getDiscountFactor(double maturity) | ||
| { | ||
| assert maturity >= 0.0 : "maturity must be positive"; | ||
| return Math.exp(-maturity * rate); | ||
| } | ||
| private final static int longTime = 100; | ||
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| public double getForwardDiscountFactor(double start, double expiry) | ||
| { | ||
| assert start >= 0.0 : "start must be positive"; | ||
| assert expiry >= start : "start must be before expiry"; | ||
| return getDiscountFactor(expiry) / getDiscountFactor(start); | ||
| } | ||
| public FlatYieldCurve(final LocalDate curveDate, final double rate, final DayCountConvention dayCounter) { | ||
| super("NONE", curveDate, dayCounter, new LocalDate[] { curveDate.plusYears(longTime) }, new double[] { | ||
| Math.exp(-rate * dayCounter.getDaycountFraction(curveDate, curveDate.plusYears(longTime))) }); | ||
| } | ||
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| public double getDiscountFactor(LocalDate date) | ||
| { | ||
| return getDiscountFactor(dayCounter.getDaycountFraction(curveDate, date)); | ||
| } | ||
| public FlatYieldCurve rollToDate(LocalDate date) { | ||
| assert date.isAfter(baseCurve.getReferenceDate()) : "can only roll to future dates"; | ||
| return new FlatYieldCurve(date, getRate(baseCurve.getReferenceDate().plusYears(longTime)), dayCounter); | ||
| } | ||
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| public double getForwardDiscountFactor(LocalDate startDate, LocalDate endDate) | ||
| { | ||
| assert !startDate.isBefore(curveDate) : "start date must be after curve date"; | ||
| assert !endDate.isBefore(startDate) : "end date must be after start date"; | ||
| return getDiscountFactor(endDate) / getDiscountFactor(startDate); | ||
| } | ||
| } |
81 changes: 81 additions & 0 deletions
81
src/main/java/net/finmath/equities/marketdata/YieldCurve.java
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,81 @@ | ||
| package net.finmath.equities.marketdata; | ||
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| import java.time.LocalDate; | ||
| import java.util.Arrays; | ||
| import net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod; | ||
| import net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationEntity; | ||
| import net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod; | ||
| import net.finmath.marketdata.model.curves.DiscountCurveInterpolation; | ||
| import net.finmath.time.daycount.DayCountConvention; | ||
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| /** | ||
| * Class to provide methods of a yield curve. | ||
| * | ||
| * @author Andreas Grotz | ||
| */ | ||
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| public class YieldCurve { | ||
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| protected final LocalDate referenceDate; | ||
| protected final LocalDate[] discountDates; | ||
| protected final DayCountConvention dayCounter; | ||
| protected final DiscountCurveInterpolation baseCurve; | ||
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| public YieldCurve(final String name, final LocalDate referenceDate, final DayCountConvention dayCounter, | ||
| final LocalDate[] discountDates, final double[] discountFactors) { | ||
| this.dayCounter = dayCounter; | ||
| this.discountDates = discountDates; | ||
| double[] times = new double[discountDates.length]; | ||
| boolean[] isParameter = new boolean[discountDates.length]; | ||
| for (int i = 0; i < times.length; i++) { | ||
| times[i] = dayCounter.getDaycountFraction(referenceDate, discountDates[i]); | ||
| } | ||
| baseCurve = DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors(name, referenceDate, times, | ||
| discountFactors, isParameter, InterpolationMethod.LINEAR, ExtrapolationMethod.CONSTANT, | ||
| InterpolationEntity.LOG_OF_VALUE_PER_TIME); | ||
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| this.referenceDate = referenceDate; | ||
| } | ||
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| public YieldCurve rollToDate(LocalDate date) { | ||
| assert date.isAfter(referenceDate) : "can only roll to future dates"; | ||
| LocalDate[] rolledDiscountDates = Arrays.stream(discountDates).filter(p -> p.isAfter(date)) | ||
| .toArray(LocalDate[]::new); | ||
| double[] rolledDiscountFactors = new double[rolledDiscountDates.length]; | ||
| for (int i = 0; i < rolledDiscountDates.length; i++) { | ||
| rolledDiscountFactors[i] = getForwardDiscountFactor(date, rolledDiscountDates[i]); | ||
| } | ||
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| return new YieldCurve(baseCurve.getName(), date, dayCounter, rolledDiscountDates, rolledDiscountFactors); | ||
| } | ||
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| public double getRate(double maturity) { | ||
| assert maturity >= 0.0 : "maturity must be positive"; | ||
| return baseCurve.getZeroRate(maturity); | ||
| } | ||
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| public double getRate(LocalDate date) { | ||
| return baseCurve.getZeroRate(dayCounter.getDaycountFraction(referenceDate, date)); | ||
| } | ||
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| public double getDiscountFactor(double maturity) { | ||
| assert maturity >= 0.0 : "maturity must be positive"; | ||
| return baseCurve.getDiscountFactor(maturity); | ||
| } | ||
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| public double getForwardDiscountFactor(double start, double expiry) { | ||
| assert start >= 0.0 : "start must be positive"; | ||
| assert expiry >= start : "start must be before expiry"; | ||
| return getDiscountFactor(expiry) / getDiscountFactor(start); | ||
| } | ||
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| public double getDiscountFactor(LocalDate date) { | ||
| return baseCurve.getDiscountFactor(dayCounter.getDaycountFraction(referenceDate, date)); | ||
| } | ||
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| public double getForwardDiscountFactor(LocalDate startDate, LocalDate endDate) { | ||
| assert !startDate.isBefore(referenceDate) : "start date must be after curve date"; | ||
| assert !endDate.isBefore(startDate) : "end date must be after start date"; | ||
| return getDiscountFactor(endDate) / getDiscountFactor(startDate); | ||
| } | ||
| } |
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