net.finmath.montecarlo.interestrate.modelplugins

Class LIBORCorrelationModelExponentialDecay

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel

net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay

public class LIBORCorrelationModelExponentialDecay
extends LIBORCorrelationModel

Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.

Author:

Christian Fries

See Also:

LinearAlgebra.factorReduction(double[][], int), LIBORCorrelationModelThreeParameterExponentialDecay

Constructor Summary

Constructors

Constructor and Description
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double a)
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double a, boolean isCalibrateable) Create a correlation model with an exponentially decaying correlation structure and the given number of factors.

Method Summary

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

Methods inherited from class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel

getLiborPeriodDiscretization, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORCorrelationModelExponentialDecay

public LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface timeDiscretization,
                                             TimeDiscretizationInterface liborPeriodDiscretization,
                                             int numberOfFactors,
                                             double a,
                                             boolean isCalibrateable)

Create a correlation model with an exponentially decaying correlation structure and the given number of factors.

Parameters:

timeDiscretization - Simulation time dicretization. Not used.

liborPeriodDiscretization - Tenor time discretization, i.e., the \( T_{i} \)'s.

numberOfFactors - Number \( n \) of factors to be used.

a - Decay parameter. Should be positive. Negative values will be floored to 0.

isCalibrateable - If true, the parameter will become a free parameter in a calibration.

LIBORCorrelationModelExponentialDecay

public LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface timeDiscretization,
                                             TimeDiscretizationInterface liborPeriodDiscretization,
                                             int numberOfFactors,
                                             double a)

Method Detail

setParameter

public void setParameter(double[] parameter)

Specified by:

setParameter in class LIBORCorrelationModel

clone

public Object clone()

Specified by:

clone in class LIBORCorrelationModel

getFactorLoading

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

Specified by:

getFactorLoading in class LIBORCorrelationModel

getCorrelation

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

Specified by:

getCorrelation in class LIBORCorrelationModel

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in class LIBORCorrelationModel

getParameter

public double[] getParameter()

Specified by:

getParameter in class LIBORCorrelationModel