net.finmath.montecarlo.interestrate

Class LIBORModelMonteCarloSimulation

java.lang.Object

net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation

All Implemented Interfaces:

LIBORModelMonteCarloSimulationInterface, MonteCarloSimulationInterface

public class LIBORModelMonteCarloSimulation
extends Object
implements LIBORModelMonteCarloSimulationInterface

Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModel model and AbstractLogNormalProcess process.

Version:

0.7

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel.
LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model, AbstractProcess process) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel and an AbstractProcess.

Method Summary

Modifier and Type	Method and Description
BrownianMotionInterface	getBrownianMotion() Returns the Brownian motion used to simulate the curve.
LIBORModelMonteCarloSimulationInterface	getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
LIBORModelMonteCarloSimulationInterface	getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).
Object	getCloneWithModifiedSeed(int seed) Return a clone of this model with a modified Brownian motion using a different seed.
AbstractLIBORCovarianceModel	getCovarianceModel()
RandomVariableInterface	getLIBOR(double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	getLIBOR(int timeIndex, int liborIndex) Return the forward rate for a given simulation time index and a given forward rate index.
double	getLiborPeriod(int timeIndex) Returns the period start of the specified forward rate period.
TimeDiscretizationInterface	getLiborPeriodDiscretization() Returns the libor period discretization as time discretization representing start and end dates of periods.
int	getLiborPeriodIndex(double time) Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
RandomVariableInterface[]	getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
LIBORMarketModelInterface	getModel() Returns the underlying model.
RandomVariableInterface	getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfComponents()
int	getNumberOfFactors()
int	getNumberOfLibors()
int	getNumberOfPaths() Returns the numberOfPaths.
RandomVariableInterface	getNumeraire(double time) Return the numeraire at a given time.
AbstractProcessInterface	getProcess()
RandomVariableInterface	getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
double	getTime(int timeIndex) Returns the time for a given time index.
TimeDiscretizationInterface	getTimeDiscretization() Returns the timeDiscretization.
int	getTimeIndex(double time) Returns the time index for a given time.

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORModelMonteCarloSimulation

public LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model,
                                      AbstractProcess process)

Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel and an AbstractProcess.

Parameters:

model - The LIBORMarketModel.

process - The process.

LIBORModelMonteCarloSimulation

public LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model)

Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel.

Parameters:

model - The LIBORMarketModel.

Method Detail

getMonteCarloWeights

public RandomVariableInterface getMonteCarloWeights(int timeIndex)
                                             throws CalculationException

Description copied from interface: MonteCarloSimulationInterface

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationInterface

Parameters:

timeIndex - Time index at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getMonteCarloWeights

public RandomVariableInterface getMonteCarloWeights(double time)
                                             throws CalculationException

Description copied from interface: MonteCarloSimulationInterface

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationInterface

Parameters:

time - Time at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in interface LIBORModelMonteCarloSimulationInterface

Returns:

Returns the numberOfFactors.

getNumberOfPaths

public int getNumberOfPaths()

Description copied from interface: MonteCarloSimulationInterface

Returns the numberOfPaths.

Specified by:

getNumberOfPaths in interface MonteCarloSimulationInterface

Returns:

Returns the numberOfPaths.

getTime

public double getTime(int timeIndex)

Description copied from interface: MonteCarloSimulationInterface

Returns the time for a given time index.

Specified by:

getTime in interface MonteCarloSimulationInterface

Parameters:

timeIndex - Time index

Returns:

Returns the time for a given time index.

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

Description copied from interface: MonteCarloSimulationInterface

Returns the timeDiscretization.

Specified by:

getTimeDiscretization in interface MonteCarloSimulationInterface

Returns:

Returns the timeDiscretization.

getTimeIndex

public int getTimeIndex(double time)

Description copied from interface: MonteCarloSimulationInterface

Returns the time index for a given time.

Specified by:

getTimeIndex in interface MonteCarloSimulationInterface

Parameters:

time - The time.

Returns:

Returns the time index for a given time.

getRandomVariableForConstant

public RandomVariableInterface getRandomVariableForConstant(double value)

Description copied from interface: MonteCarloSimulationInterface

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.

Specified by:

getRandomVariableForConstant in interface MonteCarloSimulationInterface

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

getBrownianMotion

public BrownianMotionInterface getBrownianMotion()

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Returns the Brownian motion used to simulate the curve.

Specified by:

getBrownianMotion in interface LIBORModelMonteCarloSimulationInterface

Returns:

The Brownian motion used to simulate the curve.

getLIBOR

public RandomVariableInterface getLIBOR(int timeIndex,
                                        int liborIndex)
                                 throws CalculationException

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Return the forward rate for a given simulation time index and a given forward rate index.

Specified by:

getLIBOR in interface LIBORModelMonteCarloSimulationInterface

Parameters:

timeIndex - Simulation time index.

liborIndex - Tenor time index (index corresponding to the fixing of the forward rate).

Returns:

The forward rate as a random variable.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getLIBORs

public RandomVariableInterface[] getLIBORs(int timeIndex)
                                    throws CalculationException

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Return the forward rate curve for a given simulation time index.

Specified by:

getLIBORs in interface LIBORModelMonteCarloSimulationInterface

Parameters:

timeIndex - Simulation time index.

Returns:

The forward rate curve for a given simulation time index.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getLIBOR

public RandomVariableInterface getLIBOR(double time,
                                        double periodStart,
                                        double periodEnd)
                                 throws CalculationException

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Return the forward rate for a given simulation time and a given period start and period end.

Specified by:

getLIBOR in interface LIBORModelMonteCarloSimulationInterface

Parameters:

time - Simulation time

periodStart - Start time of period

periodEnd - End time of period

Returns:

The forward rate as a random variable as seen on simulation time for the specified period.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getLiborPeriod

public double getLiborPeriod(int timeIndex)

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Returns the period start of the specified forward rate period.

Specified by:

getLiborPeriod in interface LIBORModelMonteCarloSimulationInterface

Parameters:

timeIndex - The index corresponding to a given time (interpretation is start of period)

Returns:

The period start of the specified forward rate period.

getLiborPeriodDiscretization

public TimeDiscretizationInterface getLiborPeriodDiscretization()

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Returns the libor period discretization as time discretization representing start and end dates of periods.

Specified by:

getLiborPeriodDiscretization in interface LIBORModelMonteCarloSimulationInterface

Returns:

Returns the libor period discretization

getLiborPeriodIndex

public int getLiborPeriodIndex(double time)

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.

Specified by:

getLiborPeriodIndex in interface LIBORModelMonteCarloSimulationInterface

Parameters:

time - The tenor time (fixing of the forward rate) for which the index is requested.

Returns:

The index corresponding to a given time (interpretation is start of period)

getNumberOfComponents

public int getNumberOfComponents()

getNumberOfLibors

public int getNumberOfLibors()

Specified by:

getNumberOfLibors in interface LIBORModelMonteCarloSimulationInterface

Returns:

The number of LIBORs in the LIBOR discretization

getNumeraire

public RandomVariableInterface getNumeraire(double time)
                                     throws CalculationException

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Return the numeraire at a given time.

Specified by:

getNumeraire in interface LIBORModelMonteCarloSimulationInterface

Parameters:

time - Time at which the process should be observed

Returns:

The numeraire at the specified time as RandomVariable

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCovarianceModel

public AbstractLIBORCovarianceModel getCovarianceModel()

Specified by:

getCovarianceModel in interface LIBORModelMonteCarloSimulationInterface

Returns:

the covarianceModel

getModel

public LIBORMarketModelInterface getModel()

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.

Specified by:

getModel in interface LIBORModelMonteCarloSimulationInterface

Returns:

The underlying model

getProcess

public AbstractProcessInterface getProcess()

Specified by:

getProcess in interface LIBORModelMonteCarloSimulationInterface

Returns:

The implementation of the process

getCloneWithModifiedSeed

public Object getCloneWithModifiedSeed(int seed)

Description copied from interface: LIBORModelMonteCarloSimulationInterface

Return a clone of this model with a modified Brownian motion using a different seed.

Specified by:

getCloneWithModifiedSeed in interface LIBORModelMonteCarloSimulationInterface

Parameters:

seed - The seed

Returns:

Clone of this object, but having a different seed.

getCloneWithModifiedData

public LIBORModelMonteCarloSimulationInterface getCloneWithModifiedData(Map<String,Object> dataModified)
                                                                 throws CalculationException

Description copied from interface: MonteCarloSimulationInterface

Create a clone of this simulation modifying some of its properties (if any).

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationInterface

Parameters:

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, with some data modified (then it is no longer a clone :-)

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCloneWithModifiedData

public LIBORModelMonteCarloSimulationInterface getCloneWithModifiedData(String entityKey,
                                                                        Object dataModified)
                                                                 throws CalculationException

Create a clone of this simulation modifying one of its properties (if any).

Parameters:

entityKey - The entity to modify.

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, where the specified part of the data is modified data (then it is no longer a clone :-)

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.