net.finmath.montecarlo.interestrate.modelplugins

Class AbstractLIBORCovarianceModel

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel

Direct Known Subclasses:

AbstractLIBORCovarianceModelParametric

public abstract class AbstractLIBORCovarianceModel
extends Object

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
AbstractLIBORCovarianceModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors) Constructor consuming time discretizations, which are handled by the super class.

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface	getCovariance(double time, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface	getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface[]	getFactorLoading(double time, double component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time and a given component.
RandomVariableInterface[]	getFactorLoading(double time, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time and component index.
abstract RandomVariableInterface[]	getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
abstract RandomVariableInterface	getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex) Returns the pseudo inverse of the factor matrix.
TimeDiscretizationInterface	getLiborPeriodDiscretization() The forward rate time discretization associated with this model (defines the components).
int	getNumberOfFactors()
TimeDiscretizationInterface	getTimeDiscretization() The simulation time discretization associated with this model.

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractLIBORCovarianceModel

public AbstractLIBORCovarianceModel(TimeDiscretizationInterface timeDiscretization,
                                    TimeDiscretizationInterface liborPeriodDiscretization,
                                    int numberOfFactors)

Constructor consuming time discretizations, which are handled by the super class.

Parameters:

timeDiscretization - The vector of simulation time discretization points.

liborPeriodDiscretization - The vector of tenor discretization points.

numberOfFactors - The number of factors to use (a factor reduction is performed)

Method Detail

getFactorLoading

public RandomVariableInterface[] getFactorLoading(double time,
                                                  double component,
                                                  RandomVariableInterface[] realizationAtTimeIndex)

Return the factor loading for a given time and a given component. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t__i such that t__i is the largest point in getTimeDiscretization such that t__i ≤ t . The component here, it given via a double T which may be associated with the LIBOR fixing date. With respect to component time T, this method uses a piece wise constant interpolation, i.e., it calculates T__j such that T__j is the largest point in getTimeDiscretization such that T__j ≤ T .

Parameters:

time - The time t at which factor loading is requested.

component - The component time (as a double associated with the fixing of the forward rate) T_i.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoading

public RandomVariableInterface[] getFactorLoading(double time,
                                                  int component,
                                                  RandomVariableInterface[] realizationAtTimeIndex)

Return the factor loading for a given time and component index. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t__i such that t__i is the largest point in getTimeDiscretization such that t__i ≤ t .

Parameters:

time - The time t at which factor loading is requested.

component - The index of the component i. Note that this class may have its own LIBOR time discretization and that this index refers to this discretization.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoading

public abstract RandomVariableInterface[] getFactorLoading(int timeIndex,
                                                           int component,
                                                           RandomVariableInterface[] realizationAtTimeIndex)

Return the factor loading for a given time index and component index. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m
is the instantaneous covariance of the component j and k.

Parameters:

timeIndex - The time index at which factor loading is requested.

component - The index of the component i.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoadingPseudoInverse

public abstract RandomVariableInterface getFactorLoadingPseudoInverse(int timeIndex,
                                                                      int component,
                                                                      int factor,
                                                                      RandomVariableInterface[] realizationAtTimeIndex)

Returns the pseudo inverse of the factor matrix.

Parameters:

timeIndex - The time index at which factor loading inverse is requested.

factor - The index of the factor j.

component - The index of the component i.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The entry of the pseudo-inverse of the factor loading matrix.

getCovariance

public RandomVariableInterface getCovariance(double time,
                                             int component1,
                                             int component2,
                                             RandomVariableInterface[] realizationAtTimeIndex)

Returns the instantaneous covariance calculated from factor loadings.

Parameters:

time - The time t at which covariance is requested.

component1 - Index of component i.

component2 - Index of component j.

realizationAtTimeIndex - The realization of the stochastic process.

Returns:

The instantaneous covariance between component i and j.

getCovariance

public RandomVariableInterface getCovariance(int timeIndex,
                                             int component1,
                                             int component2,
                                             RandomVariableInterface[] realizationAtTimeIndex)

Returns the instantaneous covariance calculated from factor loadings.

Parameters:

timeIndex - The time index at which covariance is requested.

component1 - Index of component i.

component2 - Index of component j.

realizationAtTimeIndex - The realization of the stochastic process.

Returns:

The instantaneous covariance between component i and j.

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

The simulation time discretization associated with this model.

Returns:

the timeDiscretization

getLiborPeriodDiscretization

public TimeDiscretizationInterface getLiborPeriodDiscretization()

The forward rate time discretization associated with this model (defines the components).

Returns:

the forward rate time discretization associated with this model.

getNumberOfFactors

public int getNumberOfFactors()

Returns:

the numberOfFactors