net.finmath.montecarlo.interestrate.modelplugins

Class LIBORCorrelationModelThreeParameterExponentialDecay

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel

net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay

public class LIBORCorrelationModelThreeParameterExponentialDecay
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} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))

Author:

Christian Fries

See Also:

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

Constructor Summary

Constructors

Constructor and Description
LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double a, double b, double c, boolean isCalibrateable)

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

LIBORCorrelationModelThreeParameterExponentialDecay

public LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretizationInterface timeDiscretization,
                                                           TimeDiscretizationInterface liborPeriodDiscretization,
                                                           int numberOfFactors,
                                                           double a,
                                                           double b,
                                                           double c,
                                                           boolean isCalibrateable)

Method Detail

getParameter

public double[] getParameter()

Specified by:

getParameter in class LIBORCorrelationModel

setParameter

public void setParameter(double[] parameter)

Specified by:

setParameter 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

clone

public Object clone()

Specified by:

clone in class LIBORCorrelationModel