com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors类的使用及代码示例-6ren

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com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors类的使用及代码示例

转载作者：知者更新时间：2024-03-13 11:14:07

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本文整理了Java中com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors类的一些代码示例，展示了ZeroRatePeriodicDiscountFactors类的具体用法。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类的具体详情如下：
包路径：com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
类名称：ZeroRatePeriodicDiscountFactors

ZeroRatePeriodicDiscountFactors介绍

[英]Provides access to discount factors for a currency based on a zero rate periodically-compounded curve.

This provides discount factors for a single currency.

This implementation is based on an underlying curve that is stored with maturities and zero-coupon periodically-compounded rates.
[中]提供对基于零利率周期复合曲线的货币贴现系数的访问。
这为单一货币提供了贴现系数。
这种实现基于一条基本曲线，该曲线以到期日和零息票周期复合利率存储。

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

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
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
 switch (propertyName.hashCode()) {
  case 575402001:  // currency
   return ((ZeroRatePeriodicDiscountFactors) bean).getCurrency();
  case 113107279:  // valuationDate
   return ((ZeroRatePeriodicDiscountFactors) bean).getValuationDate();
  case 95027439:  // curve
   return ((ZeroRatePeriodicDiscountFactors) bean).getCurve();
 }
 return super.propertyGet(bean, propertyName, quiet);
}

代码示例来源：origin: OpenGamma/Strata

public void test_withCurve() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE).withCurve(CURVE2);
 assertEquals(test.getCurve(), CURVE2);
}

代码示例来源：origin: OpenGamma/Strata

public void test_of() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 assertEquals(test.getCurrency(), GBP);
 assertEquals(test.getValuationDate(), DATE_VAL);
 assertEquals(test.getCurve(), CURVE);
 assertEquals(test.getParameterCount(), CURVE.getParameterCount());
 assertEquals(test.getParameter(0), CURVE.getParameter(0));
 assertEquals(test.getParameterMetadata(0), CURVE.getParameterMetadata(0));
 assertEquals(test.withParameter(0, 1d).getCurve(), CURVE.withParameter(0, 1d));
 assertEquals(test.withPerturbation((i, v, m) -> v + 1d).getCurve(), CURVE.withPerturbation((i, v, m) -> v + 1d));
 assertEquals(test.findData(CURVE.getName()), Optional.of(CURVE));
 assertEquals(test.findData(CurveName.of("Rubbish")), Optional.empty());
}

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_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_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_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);
 }    
}

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);
 }    
}

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

@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_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_parameterSensitivity() {
 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.size(), 1);
 CurrencyParameterSensitivity sensi1 = sensiObject.getSensitivities().get(0);
 assertEquals(sensi1.getCurrency(), GBP);
}

代码示例来源：origin: OpenGamma/Strata

public void test_zeroRatePointSensitivityWithSpread_smallYearFraction() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 ZeroRateSensitivity expected = ZeroRateSensitivity.of(GBP, 0d, 0.0d);
 ZeroRateSensitivity computed = test.zeroRatePointSensitivityWithSpread(DATE_VAL, SPREAD, CONTINUOUS, 0);
 assertTrue(computed.compareKey(expected) == 0);
 assertEquals(computed.getSensitivity(), expected.getSensitivity(), TOLERANCE_DELTA_FD);
}

代码示例来源：origin: OpenGamma/Strata

public void coverage() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 coverImmutableBean(test);
 ZeroRatePeriodicDiscountFactors test2 = ZeroRatePeriodicDiscountFactors.of(USD, DATE_VAL.plusDays(1), CURVE2);
 coverBeanEquals(test, test2);
}

代码示例来源：origin: OpenGamma/Strata

public void test_createParameterSensitivity() {
 ZeroRatePeriodicDiscountFactors test = ZeroRatePeriodicDiscountFactors.of(GBP, DATE_VAL, CURVE);
 DoubleArray sensitivities = DoubleArray.of(0.12, 0.15, 0.16);
 CurrencyParameterSensitivities sens = test.createParameterSensitivity(USD, sensitivities);
 assertEquals(sens.getSensitivities().get(0), CURVE.createParameterSensitivity(USD, sensitivities));
}

代码示例来源：origin: OpenGamma/Strata

@Override
public ZeroRatePeriodicDiscountFactors withPerturbation(ParameterPerturbation perturbation) {
 return withCurve(curve.withPerturbation(perturbation));
}

代码示例来源：origin: OpenGamma/Strata

private Curve getCurve(DiscountFactors discountFactors) {
 if (discountFactors instanceof SimpleDiscountFactors) {
  return ((SimpleDiscountFactors) discountFactors).getCurve();
 }
 if (discountFactors instanceof ZeroRateDiscountFactors) {
  return ((ZeroRateDiscountFactors) discountFactors).getCurve();
 }
 if (discountFactors instanceof ZeroRatePeriodicDiscountFactors) {
  return ((ZeroRatePeriodicDiscountFactors) discountFactors).getCurve();
 }
 throw new IllegalArgumentException("Unsupported DiscountFactors type");
}

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