/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate.curve;
import java.util.List;
import com.opengamma.analytics.financial.interestrate.ContinuousInterestRate;
import com.opengamma.analytics.financial.model.interestrate.InterestRateModel;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.curve.FunctionalDoublesCurve;
import com.opengamma.analytics.math.function.special.TopHatFunction;
import com.opengamma.util.ArgumentChecker;
/**
* A curve that provides interest rate (continuously compounded) discount factor.
* <p>The relation between the rate <i>r(t)</i> at the maturity <i>t</i> and the discount factor <i>df(t)</i> is <i>df(t)=e<sup>-r(t)t</sup></i>.
*/
public abstract class YieldAndDiscountCurve implements InterestRateModel<Double> {
/**
* The curve name.
*/
private final String _name;
/**
* Constructor.
* @param name The curve name.
*/
public YieldAndDiscountCurve(final String name) {
ArgumentChecker.notNull(name, "Name");
_name = name;
}
/**
* Returns the curve name.
* @return The name.
*/
public String getName() {
return _name;
}
/**
* Returns the discount factor at a given time.
* @param t The time
* @return The discount factor for time to maturity <i>t</i>.
*/
public double getDiscountFactor(final double t) {
if (t == 0) { //short cut rate lookup
return 1.0;
}
return Math.exp(-t * getInterestRate(t));
}
public abstract double getForwardRate(final double t);
/**
* Returns the interest rate in a given compounding per year at a given time.
* @param t The time.
* @param compoundingPeriodsPerYear The number of composition per year.
* @return The rate in the requested composition.
*/
public double getPeriodicInterestRate(final double t, final int compoundingPeriodsPerYear) {
final double rcc = getInterestRate(t);
final ContinuousInterestRate cont = new ContinuousInterestRate(rcc);
return cont.toPeriodic(compoundingPeriodsPerYear).getRate();
}
/**
* Returns the sensitivity (derivative) of the interest rate at a given time with respect to the parameters defining the curve.
* @param time The time.
* @return The sensitivity.
*/
public abstract double[] getInterestRateParameterSensitivity(final double time);
/**
* Return the number of parameters for the definition of the curve.
* @return The number of parameters.
*/
public abstract int getNumberOfParameters();
/**
* The list of underlying curves (up to one level).
* @return The list.
*/
public abstract List<String> getUnderlyingCurvesNames();
/**
* Create another YieldAndDiscountCurve with the zero-coupon rates shifted by a given amount.
* @param shift The shift amount.
* @return The new curve.
*/
public YieldAndDiscountCurve withParallelShift(final double shift) {
return new YieldAndDiscountAddZeroSpreadCurve(this._name + "WithParallelShift", false, this, YieldCurve.from(ConstantDoublesCurve.from(shift)));
}
/**
* Create another YieldAndDiscountCurve with the zero-coupon rates shifted by a given amount at a given time.
* The shift is done around the given time within the default range 1.0E-3.
* @param t The time.
* @param shift The shift amount.
* @return The new curve.
*/
public YieldAndDiscountCurve withSingleShift(final double t, final double shift) {
final double defaultRange = 1.0E-3; // 1 day ~ 3E-3
return new YieldAndDiscountAddZeroSpreadCurve(this._name + "WithSingleShift", false, this,
YieldCurve.from(new FunctionalDoublesCurve(new TopHatFunction(t - defaultRange, t + defaultRange, shift))));
}
}