net.finmath.marketdata.model.curves

Class ForwardCurveNelsonSiegelSvensson

java.lang.Object

net.finmath.marketdata.model.curves.AbstractCurve

net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson

All Implemented Interfaces:

java.io.Serializable, java.lang.Cloneable, ParameterObjectInterface, CurveInterface, ForwardCurveInterface

public class ForwardCurveNelsonSiegelSvensson
extends AbstractCurve
implements java.io.Serializable, ForwardCurveInterface

Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization. In the NSS parameterization the zero rate \( r(T) \) is given by \[ r(T) = \beta_0 + \beta_1 \frac{1-x_0}{T/\tau_0} + \beta_2 ( \frac{1-x_0}{T/\tau_0} - x_0) + \beta_3 ( \frac{1-x_1}{T/\tau_1} - x_1) \] where \( x_0 = \exp(-T/\tau_0) \) and \( x_1 = \exp(-T/\tau_1) \). The sub-family of curves with \( \beta_3 = 0 \) is called Nelson-Siegel parameterization.

See Also:

DiscountCurveNelsonSiegelSvensson, Serialized Form

Constructor Summary

Constructors

Constructor and Description
ForwardCurveNelsonSiegelSvensson(java.lang.String name, java.util.Calendar referenceDate, java.lang.String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, DayCountConventionInterface daycountConvention, double[] parameter, double timeScaling)
ForwardCurveNelsonSiegelSvensson(java.lang.String name, java.util.Calendar referenceDate, java.lang.String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, DayCountConventionInterface daycountConvention, double[] parameter, double timeScaling, double periodOffset)

Method Summary

Modifier and Type	Method and Description
ForwardCurveNelsonSiegelSvensson	clone() Create a deep copied clone.
CurveBuilderInterface	getCloneBuilder() Returns a curve builder bases on a clone of this curve.
ForwardCurveNelsonSiegelSvensson	getCloneForParameter(double[] value) Create a clone with a modified parameter.
java.lang.String	getDiscountCurveName() Returns the name of the discount curve associated with this forward curve.
double	getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
double	getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
double[]	getParameter() Get the current parameter associated with the state of the objects.
double	getPaymentOffset(double fixingTime) Returns the payment offset associated with this forward curve and a corresponding fixingTime.
double	getValue(AnalyticModelInterface 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.

Methods inherited from class net.finmath.marketdata.model.curves.AbstractCurve

getName, getReferenceDate, getValue, getValues, toString

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.marketdata.model.curves.CurveInterface

getName, getReferenceDate, getValue

Constructor Detail

ForwardCurveNelsonSiegelSvensson

public ForwardCurveNelsonSiegelSvensson(java.lang.String name,
                                        java.util.Calendar referenceDate,
                                        java.lang.String paymentOffsetCode,
                                        BusinessdayCalendarInterface paymentBusinessdayCalendar,
                                        BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention,
                                        DayCountConventionInterface daycountConvention,
                                        double[] parameter,
                                        double timeScaling,
                                        double periodOffset)

Parameters:

name - The name of the curve. The curve can be fetched under this name when being part of an AnalyticModel.

referenceDate - The reference date to the curve, i.e., the date associated with t=0.

paymentOffsetCode - The payment offset code, like 3M, 6M, 12M, etc., used in calculating forwards from discount factors.

paymentBusinessdayCalendar - The payment businessday calendar.

paymentDateRollConvention - The payment date roll convention.

daycountConvention - The daycount convention.

parameter - The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

periodOffset - An offset in ACT/365 applied to the fixing to construct the period start (the negative of the fixingOffset of the period).

ForwardCurveNelsonSiegelSvensson

public ForwardCurveNelsonSiegelSvensson(java.lang.String name,
                                        java.util.Calendar referenceDate,
                                        java.lang.String paymentOffsetCode,
                                        BusinessdayCalendarInterface paymentBusinessdayCalendar,
                                        BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention,
                                        DayCountConventionInterface daycountConvention,
                                        double[] parameter,
                                        double timeScaling)

Parameters:

name - The name of the curve. The curve can be fetched under this name when being part of an AnalyticModel.

referenceDate - The reference date to the curve, i.e., the date associated with t=0.

paymentOffsetCode - The payment offset code, like 3M, 6M, 12M, etc., used in calculating forwards from discount factors.

paymentBusinessdayCalendar - The payment businessday calendar.

paymentDateRollConvention - The payment date roll convention.

daycountConvention - The daycount convention.

parameter - The Nelson-Siegel-Svensson parameters in the order \( ( \beta_0, \beta_1, \beta_2, \beta_3, \tau_0, \tau_1 ) \).

timeScaling - A scaling factor applied to t when converting from global double time to the parametric function argument t.

Method Detail

getForward

public double getForward(AnalyticModelInterface model,
                         double fixingTime)

Description copied from interface: ForwardCurveInterface

Returns the forward for the corresponding fixing time.

Specified by:

getForward in interface ForwardCurveInterface

Parameters:

model - An analytic model providing a context. Some curves do not need this (can be null).

fixingTime - The fixing time of the index associated with this forward curve.

Returns:

The forward.

getForward

public double getForward(AnalyticModelInterface model,
                         double fixingTime,
                         double paymentOffset)

Description copied from interface: ForwardCurveInterface

Returns the forward for the corresponding fixing time.

Specified by:

getForward in interface ForwardCurveInterface

Parameters:

model - An analytic model providing a context. Some curves do not need this (can be null).

fixingTime - The fixing time of the index associated with this forward curve.

paymentOffset - The payment offset (as internal day count fraction) specifying the payment of this index. Used only as a fallback and/or consistency check.

Returns:

The forward.

getDiscountCurveName

public java.lang.String getDiscountCurveName()

Description copied from interface: ForwardCurveInterface

Returns the name of the discount curve associated with this forward curve.

Specified by:

getDiscountCurveName in interface ForwardCurveInterface

Returns:

The name of the discount curve associated with this forward curve.

getCloneBuilder

public CurveBuilderInterface getCloneBuilder()
                                      throws java.lang.CloneNotSupportedException

Description copied from interface: CurveInterface

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 interface CurveInterface

Returns:

An object implementing the CurveBuilderInterface where the underlying curve is a clone of this curve.

Throws:

java.lang.CloneNotSupportedException - Thrown, when this curve could not be cloned.

clone

public ForwardCurveNelsonSiegelSvensson clone()
                                       throws java.lang.CloneNotSupportedException

Description copied from interface: CurveInterface

Create a deep copied clone.

Specified by:

clone in interface CurveInterface

Overrides:

clone in class AbstractCurve

Returns:

A clone (deep copied).

Throws:

java.lang.CloneNotSupportedException - Thrown, when the curve could not be cloned.

getCloneForParameter

public ForwardCurveNelsonSiegelSvensson getCloneForParameter(double[] value)
                                                      throws java.lang.CloneNotSupportedException

Description copied from interface: ParameterObjectInterface

Create a clone with a modified parameter.

Specified by:

getCloneForParameter in interface ParameterObjectInterface

Specified by:

getCloneForParameter in interface CurveInterface

Overrides:

getCloneForParameter in class AbstractCurve

Parameters:

value - The new parameter.

Returns:

A clone with an otherwise modified parameter.

Throws:

java.lang.CloneNotSupportedException - Thrown, when the curve could not be cloned.

getValue

public double getValue(AnalyticModelInterface model,
                       double time)

Description copied from interface: CurveInterface

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.

Specified by:

getValue in interface CurveInterface

Parameters:

model - An analytic model providing a context.

time - Time for which the value should be returned.

Returns:

The value at the give time.

getParameter

public double[] getParameter()

Description copied from interface: ParameterObjectInterface

Get the current parameter associated with the state of the objects.

Specified by:

getParameter in interface ParameterObjectInterface

Returns:

The parameter.

setParameter

public void setParameter(double[] parameter)

Description copied from interface: ParameterObjectInterface

Set the current parameter and change the state of the objects.

Specified by:

setParameter in interface ParameterObjectInterface

Parameters:

parameter - The parameter associated with the new state of the objects.

getPaymentOffset

public double getPaymentOffset(double fixingTime)

Description copied from interface: ForwardCurveInterface

Returns the payment offset associated with this forward curve and a corresponding fixingTime.

Specified by:

getPaymentOffset in interface ForwardCurveInterface

Parameters:

fixingTime - The fixing time of the index associated with this forward curve.

Returns:

The payment offset associated with this forward curve.