AnalyticalModel: No curve wrapping in getDiscountCurve() method

finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

Apache License 2.0

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AnalyticalModel: No curve wrapping in getDiscountCurve() method #26

Closed NiklasRodi closed 7 years ago

NiklasRodi commented 7 years ago

What is this PR for?

Do not use DiscountCurveFromForwardCurve-wrapper in getDiscountCurve() if given curveName corresponds to forwardCurve. This is analogous to the behaviour of getForwardCurve()
added documentation for getDiscountCurve() and getForwardCurve() in the interface

What type of PR is it?

Improvement

Questions:

Is it problematic for others user to have this more strict behaviour of AnalyticalModel::getDiscountCurve()?

cfries commented 7 years ago

Looks very good to me. The wrapping should be done outside (calibrated curves, etc.), if needed. I will think a little if this could break anything... (but UnitTests are OK).

NiklasRodi commented 7 years ago

It depends what you call break. There is e.g. a fallback-behaviour in SwapLeg::getValue() where the forward can also be calculated from a discountCurve. However, I removed this Feature in the parallel pull-request as I think that this implicit behaviour is dangerous