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本文整理了Java中com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.discountFactorWithSpread()
方法的一些代码示例,展示了ZeroRatePeriodicDiscountFactors.discountFactorWithSpread()
的具体用法。这些代码示例主要来源于Github
/Stackoverflow
/Maven
等平台,是从一些精选项目中提取出来的代码,具有较强的参考意义,能在一定程度帮忙到你。ZeroRatePeriodicDiscountFactors.discountFactorWithSpread()
方法的具体详情如下:
包路径:com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
类名称:ZeroRatePeriodicDiscountFactors
方法名:discountFactorWithSpread
暂无
代码示例来源:origin: OpenGamma/Strata
public void test_discountFactorWithSpread_smallYearFraction() {
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
assertEquals(test.discountFactorWithSpread(DATE_VAL, SPREAD, PERIODIC, 1), 1d, TOLERANCE_DF);
}
代码示例来源:origin: OpenGamma/Strata
@Override
public ZeroRateSensitivity zeroRatePointSensitivityWithSpread(
double yearFraction,
Currency sensitivityCurrency,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) {
if (Math.abs(yearFraction) < EFFECTIVE_ZERO) {
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, 0);
}
if (compoundedRateType.equals(CompoundedRateType.CONTINUOUS)) {
double discountFactor = discountFactorWithSpread(yearFraction, zSpread, compoundedRateType, periodPerYear);
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction);
}
double df = discountFactor(yearFraction);
double df2 = Math.pow(df, -1.0 / (yearFraction * periodPerYear));
double df3 = df2 + zSpread / periodPerYear;
double ddfSdz = -yearFraction * Math.pow(df3, -yearFraction * periodPerYear - 1) * df2;
return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, ddfSdz);
}
代码示例来源:origin: OpenGamma/Strata
public void test_discountFactorWithSpread_periodic() {
int periodPerYear = 4;
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double discountFactorBase = test.discountFactor(DATE_AFTER);
double onePlus = Math.pow(discountFactorBase, -1.0d / (periodPerYear * relativeYearFraction));
double expected = Math.pow(onePlus + SPREAD / periodPerYear, -periodPerYear * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOLERANCE_DF);
}
代码示例来源:origin: OpenGamma/Strata
public void test_discountFactorWithSpread_continuous() {
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactor(DATE_AFTER);
double expected = df * Math.exp(-SPREAD * relativeYearFraction);
assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0), expected, TOLERANCE_DF);
}
代码示例来源:origin: OpenGamma/Strata
public void test_zeroRatePointSensitivityWithSpread_continous() {
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA);
}
代码示例来源:origin: OpenGamma/Strata
public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_continous() {
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
double df = test.discountFactorWithSpread(DATE_AFTER, SPREAD, CONTINUOUS, 0);
ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, CONTINUOUS, 0);
assertTrue(computed.compareKey(expected) == 0);
assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA);
}
代码示例来源:origin: OpenGamma/Strata
public void test_parameterSensitivity_withSpread_full() {
int periodPerYear = 2;
double spread = 0.0011; // 11 bp
ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
double sensiValue = 25d;
ZeroRateSensitivity point = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
point = point.multipliedBy(sensiValue);
CurrencyParameterSensitivities sensiObject = test.parameterSensitivity(point);
assertEquals(sensiObject.getSensitivities().size(), 1);
DoubleArray sensi0 = sensiObject.getSensitivities().get(0).getSensitivity();
double shift = 1.0E-6;
for (int i = 0; i < X.size(); i++) {
DoubleArray yP = Y.with(i, Y.get(i) + shift);
InterpolatedNodalCurve curveP =
InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yP, INTERPOLATOR);
double dfP = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveP)
.discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
DoubleArray yM = Y.with(i, Y.get(i) - shift);
InterpolatedNodalCurve curveM =
InterpolatedNodalCurve.of(META_ZERO_PERIODIC, X, yM, INTERPOLATOR);
double dfM = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, curveM)
.discountFactorWithSpread(DATE_AFTER, spread, PERIODIC, periodPerYear);
assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD, "With spread - " + i);
}
}
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