org.jquantlib.termstructures

Class AbstractYieldTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.AbstractYieldTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, YieldTermStructure, Observable, Observer

Direct Known Subclasses:

FlatForward, ForwardRateStructure, ImpliedTermStructure, InterpolatedDiscountCurve, ZeroYieldStructure

public abstract class AbstractYieldTermStructure
extends AbstractTermStructure
implements YieldTermStructure

This abstract class defines the interface of concrete rate structures which will be derived from this one.

Rates are assumed to be annual continuous compounding.

Method Summary

Modifier and Type	Method and Description
double	discount(Date d) Returns the discount factor for a given date or time.
double	discount(Date d, boolean extrapolate) Returns the discount factor for a given date or time.
double	discount(double t) Returns the discount factor for a given date or time.
double	discount(double t, boolean extrapolate) Returns the discount factor for a given date or time.
InterestRate	forwardRate(Date d1, Date d2, DayCounter resultDayCounter, Compounding comp) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d1, Date d2, DayCounter resultDayCounter, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d1, Date d2, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d, Period p, DayCounter resultDayCounter, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(Date d, Period p, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate)
InterestRate	forwardRate(double t1, double t2, Compounding comp) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(double t1, double t2, Compounding comp, Frequency freq) Returns the implied forward interest rate between two dates or times.
InterestRate	forwardRate(double time1, double time2, Compounding comp, Frequency freq, boolean extrapolate) Returns the implied forward interest rate between two dates or times.
double	parRate(Date[] dates, Frequency freq, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
double	parRate(double[] times, Frequency frequency, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
double	parRate(int tenor, Date startDate, Frequency freq, boolean extrapolate) Returns the implied par rate for a given sequence of payments at the given dates or times.
InterestRate	zeroRate(Date d, DayCounter resultDayCounter, Compounding comp) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(Date d, DayCounter resultDayCounter, Compounding comp, Frequency freq) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(Date d, DayCounter dayCounter, Compounding comp, Frequency freq, boolean extrapolate) Return the implied zero-yield rate for a given date or time.
InterestRate	zeroRate(double time, Compounding comp, Frequency freq, boolean extrapolate) Return the implied zero-yield rate for a given date or time.

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.jquantlib.termstructures.TermStructure

calendar, dayCounter, maxDate, maxTime, referenceDate, settlementDays, timeFromReference

Methods inherited from interface org.jquantlib.math.interpolations.Extrapolator

allowsExtrapolation, disableExtrapolation, enableExtrapolation

Methods inherited from interface org.jquantlib.util.Observer

update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Method Detail

zeroRate

public final InterestRate zeroRate(Date d,
                                   DayCounter resultDayCounter,
                                   Compounding comp)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

Specified by:

zeroRate in interface YieldTermStructure

zeroRate

public final InterestRate zeroRate(Date d,
                                   DayCounter resultDayCounter,
                                   Compounding comp,
                                   Frequency freq)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

Specified by:

zeroRate in interface YieldTermStructure

zeroRate

public final InterestRate zeroRate(Date d,
                                   DayCounter dayCounter,
                                   Compounding comp,
                                   Frequency freq,
                                   boolean extrapolate)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the required day-counting rule.

Specified by:

zeroRate in interface YieldTermStructure

zeroRate

public InterestRate zeroRate(double time,
                             Compounding comp,
                             Frequency freq,
                             boolean extrapolate)

Description copied from interface: YieldTermStructure

Return the implied zero-yield rate for a given date or time. In the former case, the time is calculated as a fraction of year from the reference date.

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for calculating the passed double t.

Specified by:

zeroRate in interface YieldTermStructure

forwardRate

public InterestRate forwardRate(Date d1,
                                Date d2,
                                DayCounter resultDayCounter,
                                Compounding comp)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Dates are not adjusted for holidays

Specified by:

forwardRate in interface YieldTermStructure

forwardRate

public InterestRate forwardRate(Date d1,
                                Date d2,
                                DayCounter resultDayCounter,
                                Compounding comp,
                                Frequency freq)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(Date d1,
                                Date d2,
                                DayCounter dayCounter,
                                Compounding comp,
                                Frequency freq,
                                boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(double t1,
                                double t2,
                                Compounding comp)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure#forwardRate(Date, Date, DayCounter, org.jquantlib.termstructures.InterestRate.Compounding, Frequency)

forwardRate

public InterestRate forwardRate(double t1,
                                double t2,
                                Compounding comp,
                                Frequency freq)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure#forwardRate(Date, Date, DayCounter, org.jquantlib.termstructures.InterestRate.Compounding, Frequency)

forwardRate

public InterestRate forwardRate(double time1,
                                double time2,
                                Compounding comp,
                                Frequency freq,
                                boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

The resulting interest rate has the same day-counting rule used by the term structure. The same rule should be used for the calculating the passed times t1 and t2.

Specified by:

forwardRate in interface YieldTermStructure

forwardRate

public InterestRate forwardRate(Date d,
                                Period p,
                                DayCounter resultDayCounter,
                                Compounding comp,
                                Frequency freq)

Description copied from interface: YieldTermStructure

Returns the implied forward interest rate between two dates or times. In the former case, times are calculated as fractions of year from the reference date. The resulting interest rate has the required day-counting rule.

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

forwardRate

public InterestRate forwardRate(Date d,
                                Period p,
                                DayCounter dayCounter,
                                Compounding comp,
                                Frequency freq,
                                boolean extrapolate)

Specified by:

forwardRate in interface YieldTermStructure

See Also:

YieldTermStructure.forwardRate(Date, Date, DayCounter, Compounding)

discount

public double discount(Date d)

Description copied from interface: YieldTermStructure

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

Specified by:

discount in interface YieldTermStructure

discount

public double discount(Date d,
                       boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

Specified by:

discount in interface YieldTermStructure

See Also:

org.jquantlib.termstructures.YieldTermStructureImpl#discount(org.jquantlib.time.Date, boolean)

discount

public double discount(double t)

Description copied from interface: YieldTermStructure

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

The same day-counting rule used by the term structure should be used for calculating the passed double t.

Specified by:

discount in interface YieldTermStructure

discount

public double discount(double t,
                       boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the discount factor for a given date or time. In the former case, the double is calculated as a fraction of year from the reference date.

Specified by:

discount in interface YieldTermStructure

See Also:

org.jquantlib.termstructures.YieldTermStructureImpl#discount(double, boolean)

parRate

public double parRate(int tenor,
                      Date startDate,
                      Frequency freq,
                      boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Specified by:

parRate in interface YieldTermStructure

parRate

public double parRate(Date[] dates,
                      Frequency freq,
                      boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Specified by:

parRate in interface YieldTermStructure

Returns:

the first date in the vector must equal the start date; the following dates must equal the payment dates.

See Also:

YieldTermStructure.parRate(int, Date, Frequency, boolean)

parRate

public double parRate(double[] times,
                      Frequency frequency,
                      boolean extrapolate)

Description copied from interface: YieldTermStructure

Returns the implied par rate for a given sequence of payments at the given dates or times. In the former case, times are calculated as fractions of year from the reference date.

Specified by:

parRate in interface YieldTermStructure

Returns:

the first double in the vector must equal the start time; the following times must equal the payment times.

See Also:

YieldTermStructure.parRate(int, Date, Frequency, boolean)