Uses of Class
com.quantfinlib.rates.DiscountCurve

Packages that use DiscountCurve

Package	Description
com.quantfinlib.credit	Credit curves, CDS pricing and credit spreads.
com.quantfinlib.rates	Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions.

Uses of DiscountCurve in com.quantfinlib.credit

Methods in com.quantfinlib.credit with parameters of type DiscountCurve

Modifier and Type	Method	Description
static MultiCurrencyExposureSimulator.Curve	MultiCurrencyExposureSimulator.Curve.of(DiscountCurve c)	Adapter for a 2.1 multi-curve DiscountCurve (time in ACT/365F years).

Uses of DiscountCurve in com.quantfinlib.rates

Methods in com.quantfinlib.rates that return DiscountCurve

Modifier and Type	Method	Description
static DiscountCurve	MultiCurveBootstrap.bootstrap(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation)	A self-discounting curve (OIS: deposits on the overnight rate and OIS swaps).
static DiscountCurve	MultiCurveBootstrap.bootstrapProjection(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation, DiscountCurve discount)	A projection curve, discounting on the fixed discount curve.
DiscountCurve	CurvePair.discount()	Returns the value of the discount record component.
static DiscountCurve	DiscountCurve.of(LocalDate valuationDate, double[] times, double[] discountFactors, CurveInterpolation interpolation)	A curve from pillar times (ACT/365F years after valuationDate, strictly increasing, positive) and their discount factors (positive).
DiscountCurve	DiscountCurve.parallelShift(double shift)	A copy with every pillar's continuously compounded zero rate shifted by shift (a parallel shift of the pillar zero curve).
DiscountCurve	CurvePair.projection()	Returns the value of the projection record component.

Methods in com.quantfinlib.rates with parameters of type DiscountCurve

Modifier and Type	Method	Description
double	FixedLeg.annuity(DiscountCurve discount)	Annuity per unit notional and unit rate, over the coupons not yet paid.
double	InterestRateSwap.annuity(DiscountCurve discount)	Fixed-leg annuity on the discount curve, per unit notional and unit rate.
double	OisSwap.annuity(DiscountCurve discount)	sum tau_i P(t_i) per unit notional.
double	VanillaSwap.annuity(DiscountCurve discount)	Fixed-leg annuity per unit notional.
static DiscountCurve	MultiCurveBootstrap.bootstrapProjection(LocalDate valuationDate, List<CurveInstrument> instruments, CurveInterpolation interpolation, DiscountCurve discount)	A projection curve, discounting on the fixed discount curve.
static double	RatesOptions.capFloor(DiscountCurve discount, DiscountCurve projection, LocalDate start, LocalDate end, int paymentsPerYear, DayCount dayCount, BusinessCalendar calendar, BusinessCalendar.Roll roll, double strike, double vol, boolean cap, RatesOptions.VolModel model)	Cap (or floor) on the projection index over the adjusted schedule from start to end: caplet j pays tau_j max(F_j - K, 0) at t_j, F_j the projection forward on its accrual period, fixing at the period start, discounted on discount.
double	OvernightLeg.compoundedRate(LocalDate accrualStart, LocalDate accrualEnd, DiscountCurve projection)	The compounded overnight rate (no spread) for an accrual period.
double	RateFuture.convexityAdjustment(DiscountCurve curve)	This future's adjustment on the curve's time axis.
double	FloatLeg.couponRate(LegConvention.Period period, DiscountCurve projection)	The coupon rate (index rate plus spread) of one period, from published fixings where they exist and the projection curve otherwise.
double	OvernightLeg.couponRate(LegConvention.Period period, DiscountCurve projection)
double	TermRateLeg.couponRate(LegConvention.Period period, DiscountCurve projection)
double	InterestRateSwap.floatLegPv(DiscountCurve discount, DiscountCurve projection)	PV of the floating leg per unit notional.
double	VanillaSwap.floatLegPv(DiscountCurve discount, DiscountCurve projection)	Floating-leg PV per unit notional.
double	CurveInstrument.impliedQuote(DiscountCurve discount, DiscountCurve projection)	The quote implied by the curves, in the units of CurveInstrument.quote().
double	Deposit.impliedQuote(DiscountCurve discount, DiscountCurve projection)
double	Fra.impliedQuote(DiscountCurve discount, DiscountCurve projection)
double	InterestRateSwap.impliedQuote(DiscountCurve discount, DiscountCurve projection)
double	OisSwap.impliedQuote(DiscountCurve discount, DiscountCurve projection)
double	RateFuture.impliedQuote(DiscountCurve discount, DiscountCurve projection)
double	InterestRateSwap.parRate(DiscountCurve discount, DiscountCurve projection)	Par fixed rate.
double	OisSwap.parRate(DiscountCurve discount)	The par fixed rate on discount.
double	VanillaSwap.parRate(DiscountCurve discount, DiscountCurve projection)	Par fixed rate.
double	InterestRateSwap.payerPv(DiscountCurve discount, DiscountCurve projection)	PV per unit notional of paying InterestRateSwap.fixedRate() and receiving floating.
double	OisSwap.payerPv(DiscountCurve discount)	PV per unit notional of paying fixed, receiving the compounded overnight rate.
double	VanillaSwap.payerPv(DiscountCurve discount, DiscountCurve projection)	PV per unit notional of paying fixed and receiving floating.
double	FixedLeg.pv(DiscountCurve discount)	PV per unit notional of the unpaid fixed coupons.
default double	FloatLeg.pv(DiscountCurve discount, DiscountCurve projection)	PV per unit notional of the coupons not yet paid (payment date after the discount curve's valuation date).
double	VanillaSwap.receiverPv(DiscountCurve discount, DiscountCurve projection)	PV per unit notional of receiving fixed and paying floating.
static double	RatesOptions.swaption(DiscountCurve discount, DiscountCurve projection, InterestRateSwap underlying, double strike, double vol, boolean payer, RatesOptions.VolModel model)	Swaption on underlying (its fixed rate is ignored; strike is used), expiring at the swap start: A_d * model(F, K) with F the multi-curve par rate and A_d the OIS annuity.

Method parameters in com.quantfinlib.rates with type arguments of type DiscountCurve

Modifier and Type	Method	Description
static double[]	BootstrapJacobian.bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01 with the same contract and ordering as MultiCurveRisk.bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction): the PV change for +1bp in each quote, OIS quotes first, by the implicit-function Jacobian.
static double[]	BootstrapJacobian.bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01 with the same contract and ordering as MultiCurveRisk.bucketedDv01(LocalDate, List, List, CurveInterpolation, ToDoubleBiFunction): the PV change for +1bp in each quote, OIS quotes first, by the implicit-function Jacobian.
static double[]	MultiCurveRisk.bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01, OIS quotes first then projection quotes.
static double[]	MultiCurveRisk.bucketedDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	Per-quote DV01, OIS quotes first then projection quotes.
static double[]	MultiCurveRisk.keyRateDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv, double[] keyTenorsYears)	Key-rate DV01s at keyTenorsYears (strictly increasing, ACT/365F years); one value per key.
static double[]	MultiCurveRisk.keyRateDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv, double[] keyTenorsYears)	Key-rate DV01s at keyTenorsYears (strictly increasing, ACT/365F years); one value per key.
static double	MultiCurveRisk.parallelDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	DV01 for a +1bp move in every quote.
static double	MultiCurveRisk.parallelDv01(LocalDate valuationDate, List<CurveInstrument> oisInstruments, List<CurveInstrument> projectionInstruments, CurveInterpolation interpolation, ToDoubleBiFunction<DiscountCurve, DiscountCurve> pv)	DV01 for a +1bp move in every quote.

Constructors in com.quantfinlib.rates with parameters of type DiscountCurve

Modifier	Constructor	Description
	CurvePair(DiscountCurve discount, DiscountCurve projection)	Creates an instance of a CurvePair record class.