net.finmath.montecarlo.interestrate.modelplugins

Class LIBORVolatilityModelFromGivenMatrix

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel

net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix

public class LIBORVolatilityModelFromGivenMatrix
extends LIBORVolatilityModel

Implements a simple volatility model using given piece-wise constant values on a given discretization grid.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORVolatilityModelFromGivenMatrix(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[][] volatility) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Method Summary

Modifier and Type	Method and Description
Object	clone()
double[]	getParameter()
RandomVariableInterface	getVolatility(int timeIndex, int component) Implement this method to complete the implementation.
void	setParameter(double[] parameter)

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

getLiborPeriodDiscretization, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(TimeDiscretizationInterface timeDiscretization,
                                           TimeDiscretizationInterface liborPeriodDiscretization,
                                           double[][] volatility)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretization and componentIndex from liborPeriodDiscretization

Method Detail

getVolatility

public RandomVariableInterface getVolatility(int timeIndex,
                                             int component)

Description copied from class: LIBORVolatilityModel

Implement this method to complete the implementation.

Specified by:

getVolatility in class LIBORVolatilityModel

Parameters:

timeIndex - The time index (for timeDiscretization)

component - The libor index (for liborPeriodDiscretization)

Returns:

A random variable (e.g. as a vector of doubles) representing the volatility for each path.

getParameter

public double[] getParameter()

Specified by:

getParameter in class LIBORVolatilityModel

setParameter

public void setParameter(double[] parameter)

Specified by:

setParameter in class LIBORVolatilityModel

clone

public Object clone()

Specified by:

clone in class LIBORVolatilityModel