@Override public double zeroRate(double yearFraction) { double yearFractionMod = Math.max(EFFECTIVE_ZERO, yearFraction); double discountFactor = discountFactor(yearFractionMod); return -Math.log(discountFactor) / yearFractionMod; }
public void test_discountFactor_withSpread_periodic() { int periodPerYear = 4; SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double discountFactorBase = test.discountFactor(DATE_AFTER); double rate = (Math.pow(discountFactorBase, -1d / periodPerYear / relativeYearFraction) - 1d) * periodPerYear; double expected = discountFactorFromPeriodicallyCompoundedRate(rate + SPREAD, periodPerYear, relativeYearFraction); assertEquals(test.discountFactorWithSpread(DATE_AFTER, SPREAD, PERIODIC, periodPerYear), expected, TOL); }
@Override public ZeroRateSensitivity zeroRatePointSensitivity(double yearFraction, Currency sensitivityCurrency) { double discountFactor = discountFactor(yearFraction); return ZeroRateSensitivity.of(currency, yearFraction, sensitivityCurrency, -discountFactor * yearFraction); }
public void test_zeroRate() { SimpleDiscountFactors test = SimpleDiscountFactors.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); }
@Override public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens) { double yearFraction = pointSens.getYearFraction(); if (Math.abs(yearFraction) < EFFECTIVE_ZERO) { return CurrencyParameterSensitivities.empty(); // Discount factor in 0 is always 1, no sensitivity. } double discountFactor = discountFactor(yearFraction); UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction); CurrencyParameterSensitivity curSens = unitSens .multipliedBy(-1d / (yearFraction * discountFactor)) .multipliedBy(pointSens.getCurrency(), pointSens.getSensitivity()); return CurrencyParameterSensitivities.of(curSens); }
public void test_discountFactor() { SimpleDiscountFactors test = SimpleDiscountFactors.of(GBP, DATE_VAL, CURVE); double relativeYearFraction = ACT_365F.relativeYearFraction(DATE_VAL, DATE_AFTER); double expected = CURVE.yValue(relativeYearFraction); assertEquals(test.discountFactor(DATE_AFTER), expected); }