net.finmath.montecarlo.interestrate.modelplugins

Class LIBORCorrelationModel

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel

Direct Known Subclasses:

LIBORCorrelationModelExponentialDecay, LIBORCorrelationModelThreeParameterExponentialDecay

public abstract class LIBORCorrelationModel
extends Object

Abstract base class and interface description of a correlation model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation). Derive from this class and implement the getFactorLoading method. You have to call the constructor of this class to set the time discretizations.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORCorrelationModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization)

Method Summary

Modifier and Type	Method and Description
abstract Object	clone()
abstract double	getCorrelation(int timeIndex, int component1, int component2)
abstract double	getFactorLoading(int timeIndex, int factor, int component)
TimeDiscretizationInterface	getLiborPeriodDiscretization()
abstract int	getNumberOfFactors()
abstract double[]	getParameter()
TimeDiscretizationInterface	getTimeDiscretization()
abstract void	setParameter(double[] parameter)

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORCorrelationModel

public LIBORCorrelationModel(TimeDiscretizationInterface timeDiscretization,
                             TimeDiscretizationInterface liborPeriodDiscretization)

Method Detail

getParameter

public abstract double[] getParameter()

setParameter

public abstract void setParameter(double[] parameter)

getFactorLoading

public abstract double getFactorLoading(int timeIndex,
                                        int factor,
                                        int component)

getCorrelation

public abstract double getCorrelation(int timeIndex,
                                      int component1,
                                      int component2)

getNumberOfFactors

public abstract int getNumberOfFactors()

getLiborPeriodDiscretization

public TimeDiscretizationInterface getLiborPeriodDiscretization()

Returns:

Returns the liborPeriodDiscretization.

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

Returns:

Returns the timeDiscretization.

clone

public abstract Object clone()

Overrides:

clone in class Object