net.finmath.montecarlo.interestrate.modelplugins

Class LIBORCovarianceModelFromVolatilityAndCorrelation

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric

net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation

public class LIBORCovarianceModelFromVolatilityAndCorrelation
extends AbstractLIBORCovarianceModelParametric

A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.

The model parameters are given by the concatenation of the parameters of the LIBORVolatilityModel and the parameters of the LIBORCorrelationModel, in this ordering

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)

Method Summary

Modifier and Type	Method and Description
Object	clone()
LIBORCorrelationModel	getCorrelationModel()
RandomVariableInterface	getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface[]	getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
RandomVariableInterface	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.
LIBORVolatilityModel	getVolatilityModel()
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, getFactorLoading, getFactorLoading, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORCovarianceModelFromVolatilityAndCorrelation

public LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization,
                                                        TimeDiscretizationInterface liborPeriodDiscretization,
                                                        LIBORVolatilityModel volatilityModel,
                                                        LIBORCorrelationModel correlationModel)

Method Detail

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 RandomVariableInterface 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.

getCovariance

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

Description copied from class: AbstractLIBORCovarianceModel

Returns the instantaneous covariance calculated from factor loadings.

Overrides:

getCovariance in class AbstractLIBORCovarianceModel

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.

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

clone

public Object clone()

Specified by:

clone in class AbstractLIBORCovarianceModelParametric

getVolatilityModel

public LIBORVolatilityModel getVolatilityModel()

getCorrelationModel

public LIBORCorrelationModel getCorrelationModel()