net.finmath.montecarlo.interestrate.modelplugins

Class LIBORCovarianceModelExponentialForm7Param

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric

net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param

public class LIBORCovarianceModelExponentialForm7Param
extends AbstractLIBORCovarianceModelParametric

Constructor Summary

Constructors

Constructor and Description
LIBORCovarianceModelExponentialForm7Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors)

Method Summary

Modifier and Type	Method and Description
Object	clone()
RandomVariableInterface[]	getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
RandomVariable	getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex) Returns the pseudo inverse of the factor matrix.
double[]	getParameter() Get the parameters of determining this parametric covariance model.
void	setParameter(double[] parameter)

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

getCloneCalibrated, getCloneCalibrated, getCloneWithModifiedParameters, toString

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

getCovariance, getCovariance, getFactorLoading, getFactorLoading, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORCovarianceModelExponentialForm7Param

public LIBORCovarianceModelExponentialForm7Param(TimeDiscretizationInterface timeDiscretization,
                                                 TimeDiscretizationInterface liborPeriodDiscretization,
                                                 int numberOfFactors)

Method Detail

clone

public Object clone()

Specified by:

clone in class AbstractLIBORCovarianceModelParametric

getParameter

public double[] getParameter()

Description copied from class: AbstractLIBORCovarianceModelParametric

Get the parameters of determining this parametric covariance model. The parameters are usually free parameters which may be used in calibration.

Specified by:

getParameter in class AbstractLIBORCovarianceModelParametric

Returns:

Parameter vector.

setParameter

public void setParameter(double[] parameter)

Specified by:

setParameter in class AbstractLIBORCovarianceModelParametric

getFactorLoading

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

Description copied from class: AbstractLIBORCovarianceModel

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.

Specified by:

getFactorLoading in class AbstractLIBORCovarianceModel

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

Description copied from class: AbstractLIBORCovarianceModel

Returns the pseudo inverse of the factor matrix.

Specified by:

getFactorLoadingPseudoInverse in class AbstractLIBORCovarianceModel

Parameters:

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

component - The index of the component i.

factor - The index of the factor j.

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.