com.opengamma.analytics.financial.model.interestrate.HoLeeInterestRateModel.java Source code

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Here is the source code for com.opengamma.analytics.financial.model.interestrate.HoLeeInterestRateModel.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.model.interestrate;

import org.apache.commons.lang.Validate;
import org.threeten.bp.ZonedDateTime;

import com.opengamma.analytics.financial.model.interestrate.definition.StandardDiscountBondModelDataBundle;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.util.time.DateUtils;

/**
 * 
 */
public class HoLeeInterestRateModel implements DiscountBondModel<StandardDiscountBondModelDataBundle> {

    @Override
    public Function1D<StandardDiscountBondModelDataBundle, Double> getDiscountBondFunction(final ZonedDateTime time,
            final ZonedDateTime maturity) {
        Validate.notNull(time);
        Validate.notNull(maturity);
        return new Function1D<StandardDiscountBondModelDataBundle, Double>() {

            @Override
            public Double evaluate(final StandardDiscountBondModelDataBundle data) {
                Validate.notNull(data);
                final double t = DateUtils.getDifferenceInYears(data.getDate(), time);
                final double s = DateUtils.getDifferenceInYears(data.getDate(), maturity);
                final double b = s - t;
                final double sigma = data.getShortRateVolatility(t);
                final double rT = data.getShortRate(t);
                final double rS = data.getShortRate(s);
                final double pT = Math.exp(-rT * t);
                final double pS = Math.exp(-rS * s);
                final double dlnPdt = -rT;
                final double lnA = Math.log(pS / pT) - b * dlnPdt - 0.5 * sigma * sigma * b * b;
                return Math.exp(lnA - b * rT);
            }
        };
    }
}