net.finmath.montecarlo.hybridassetinterestrate

Class ModelFactory

java.lang.Object

net.finmath.montecarlo.hybridassetinterestrate.ModelFactory

public class ModelFactory
extends Object

Helper factory to create a simple equity hybrid LIBOR market model.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
HybridAssetLIBORModelMonteCarloSimulationInterface	getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface baseModel, BrownianMotionInterface brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurveInterface discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.
static ModelFactory	getInstance()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

getInstance

public static ModelFactory getInstance()

getHybridAssetLIBORModel

public HybridAssetLIBORModelMonteCarloSimulationInterface getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface baseModel,
                                                                                   BrownianMotionInterface brownianMotion,
                                                                                   double[] initialValues,
                                                                                   double riskFreeRate,
                                                                                   double[][] correlations,
                                                                                   double[] maturities,
                                                                                   double[] strikes,
                                                                                   double[] volatilities,
                                                                                   DiscountCurveInterface discountCurve)
                                                                            throws CalculationException

Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Parameters:

baseModel - LIBOR model providing the stochastic numeraire.

brownianMotion - BrownianMotionInterface for the asset process.

initialValues - Initial value of the asset process.

riskFreeRate - Not used (internally used to generate paths, will be later adjusted)

correlations - Correlation of the asset processes.

maturities - Maturities of the options (one for each asset process).

strikes - Strikes of the options (one for each asset process).

volatilities - Implied volatilities of the options (one for each asset process).

discountCurve - Discount curve used for the final hybrid model (not used in calibration).

Returns:

An object implementing HybridAssetLIBORModelMonteCarloSimulationInterface, where each asset process is calibrated to a given option.

Throws:

CalculationException - Thrown if calibration fails.