net.finmath.montecarlo.interestrate.modelplugins

Class LIBORVolatilityModelMaturityDependentFourParameterExponentialForm

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel

net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm

public class LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
extends LIBORVolatilityModel

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[] a, double[] b, double[] c, double[] d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, double c, double d)

Method Summary

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

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

LIBORVolatilityModelMaturityDependentFourParameterExponentialForm

public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface timeDiscretization,
                                                                         TimeDiscretizationInterface liborPeriodDiscretization,
                                                                         double a,
                                                                         double b,
                                                                         double c,
                                                                         double d)

Parameters:

timeDiscretization - The simulation time discretization t_j.

liborPeriodDiscretization - The period time discretization T_i.

a - The parameter a: an initial volatility level.

b - The parameter b: the slope at the short end (shortly before maturity).

c - The parameter c: exponential decay of the volatility in time-to-maturity.

d - The parameter d: if c > 0 this is the very long term volatility level.

LIBORVolatilityModelMaturityDependentFourParameterExponentialForm

public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface timeDiscretization,
                                                                         TimeDiscretizationInterface liborPeriodDiscretization,
                                                                         double[] a,
                                                                         double[] b,
                                                                         double[] c,
                                                                         double[] d)

Parameters:

timeDiscretization - The simulation time discretization t_j.

liborPeriodDiscretization - The period time discretization T_i.

a - The parameter a: an initial volatility level.

b - The parameter b: the slope at the short end (shortly before maturity).

c - The parameter c: exponential decay of the volatility in time-to-maturity.

d - The parameter d: if c > 0 this is the very long term volatility level.

Method Detail

getParameter

public double[] getParameter()

Specified by:

getParameter in class LIBORVolatilityModel

setParameter

public void setParameter(double[] parameter)

Specified by:

setParameter in class LIBORVolatilityModel

getVolatility

public RandomVariableInterface getVolatility(int timeIndex,
                                             int liborIndex)

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)

liborIndex - The libor index (for liborPeriodDiscretization)

Returns:

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

setParameters

public void setParameters(double[] a,
                          double[] b,
                          double[] c,
                          double[] d)

clone

public Object clone()

Specified by:

clone in class LIBORVolatilityModel