com.opengamma.analytics.financial.interestrate.ContinuousInterestRate.java Source code

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Here is the source code for com.opengamma.analytics.financial.interestrate.ContinuousInterestRate.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.analytics.financial.interestrate;

import org.apache.commons.lang.Validate;

import com.opengamma.util.ArgumentChecker;

/**
 * 
 */
public class ContinuousInterestRate extends InterestRate {
    //  private final double _annualEquivalent;

    public ContinuousInterestRate(final double rate) {
        super(rate);
        //    _annualEquivalent = Math.exp(getRate()) - 1;
    }

    @Override
    public InterestRate fromContinuous(final ContinuousInterestRate continuous) {
        Validate.notNull(continuous);
        return new ContinuousInterestRate(continuous.getRate());
    }

    @Override
    public double fromContinuousDerivative(final ContinuousInterestRate continuous) {
        Validate.notNull(continuous);
        return 1.0;
    }

    @Override
    public InterestRate fromPeriodic(final PeriodicInterestRate periodic) {
        Validate.notNull(periodic);
        final int m = periodic.getCompoundingPeriodsPerYear();
        return new ContinuousInterestRate(m * Math.log(1 + periodic.getRate() / m));
    }

    @Override
    public double getDiscountFactor(final double t) {
        return Math.exp(-getRate() * t);
    }

    @Override
    public ContinuousInterestRate toContinuous() {
        return new ContinuousInterestRate(getRate());
    }

    @Override
    public PeriodicInterestRate toPeriodic(final int periodsPerYear) {
        ArgumentChecker.notNegativeOrZero(periodsPerYear, "compounding periods per year");
        return new PeriodicInterestRate(periodsPerYear * (Math.exp(getRate() / periodsPerYear) - 1),
                periodsPerYear);
    }

    @Override
    public String toString() {
        return "Continuous[r = " + getRate() + "]";
    }
}