本文整理了Java中com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.discountFactor()方法的一些代码示例，展示了ZeroRatePeriodicDiscountFactors.discountFactor()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.discountFactor()方法的具体详情如下：
包路径：com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
类名称：ZeroRatePeriodicDiscountFactors
方法名：discountFactor

ZeroRatePeriodicDiscountFactors.discountFactor介绍

暂无

代码示例

代码示例来源：origin: OpenGamma/Strata

@Override
public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency) {
 double discountFactor = discountFactor(yearFraction);
 return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction);
}

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_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_discountFactor() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double expected = Math.pow(1.0d + CURVE.yValue(relativeYearFraction) / CMP_PERIOD,
   -CMP_PERIOD * relativeYearFraction);
 assertEquals(test.discountFactor(DATE_AFTER), expected);
}

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_zeroRate() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double discountFactor = test.discountFactor(DATE_AFTER);
 double zeroRate = test.zeroRate(DATE_AFTER);
 assertEquals(Math.exp(-zeroRate * relativeYearFraction), discountFactor);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivityWithSpread_periodic() {
 int periodPerYear = 4;
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double df = test.discountFactor(DATE_AFTER);
 double z = -1.0/relativeYearFraction*Math.log(df);
 double shift = 1.0E-6;
 double zP = z + shift;
 double zM = z - shift;
 double dfSP = Math.pow(
   Math.pow(Math.exp(-zP * relativeYearFraction),
     -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear,
   -relativeYearFraction * periodPerYear);
 double dfSM = Math.pow(
   Math.pow(Math.exp(-zM * relativeYearFraction),
     -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear,
   -relativeYearFraction * periodPerYear);
 double ddfSdz = (dfSP - dfSM) / (2 * shift);    
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, ddfSdz);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear);
 assertTrue(computed.compareKey(expected) == 0);
 assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivity() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double df = test.discountFactor(DATE_AFTER);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, -df * relativeYearFraction);
 assertEquals(test.zeroRatePointSensitivity(DATE_AFTER), expected);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivity_sensitivityCurrency() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double df = test.discountFactor(DATE_AFTER);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, -df * relativeYearFraction);
 assertEquals(test.zeroRatePointSensitivity(DATE_AFTER, USD), expected);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivityWithSpread_sensitivityCurrency_periodic() {
 int periodPerYear = 4;
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER);
 double df = test.discountFactor(DATE_AFTER);
 double z = -1.0/relativeYearFraction*Math.log(df);
 double shift = 1.0E-6;
 double zP = z + shift;
 double zM = z - shift;
 double dfSP = Math.pow(
   Math.pow(Math.exp(-zP * relativeYearFraction),
     -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear,
   -relativeYearFraction * periodPerYear);
 double dfSM = Math.pow(
   Math.pow(Math.exp(-zM * relativeYearFraction),
     -1.0 / (relativeYearFraction * periodPerYear)) + SPREAD / periodPerYear,
   -relativeYearFraction * periodPerYear);
 double ddfSdz = (dfSP - dfSM) / (2 * shift);    
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, relativeYearFraction, USD, ddfSdz);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_AFTER, USD, SPREAD, PERIODIC, periodPerYear);
 assertTrue(computed.compareKey(expected) == 0);
 assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD);
}

代码示例来源：origin: OpenGamma/Strata

public void test_parameterSensitivity_full() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 double sensiValue = 25d;
 ZeroRateSensitivity point = test.zeroRatePointSensitivity(DATE_AFTER);
 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).discountFactor(DATE_AFTER);
  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).discountFactor(DATE_AFTER);
  assertEquals(sensi0.get(i), sensiValue * (dfP - dfM) / (2 * shift), TOLERANCE_DELTA_FD);
 }    
}