net.finmath.montecarlo.interestrate

Interface LIBORMarketModelInterface

All Superinterfaces:

AbstractModelInterface

All Known Implementing Classes:

LIBORMarketModel, LIBORMarketModelStandard

public interface LIBORMarketModelInterface
extends AbstractModelInterface

Method Summary

Modifier and Type	Method and Description
AnalyticModelInterface	getAnalyticModel() Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
LIBORMarketModelInterface	getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModelInterface, using the new covariance model.
LIBORMarketModelInterface	getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing LIBORMarketModelInterface, using the new data.
AbstractLIBORCovarianceModel	getCovarianceModel() Return the covariance model.
DiscountCurveInterface	getDiscountCurve() Return the discount curve associated the forwards.
ForwardCurveInterface	getForwardRateCurve() Return the initial forward rate curve.
double[][][]	getIntegratedLIBORCovariance() Returns the integrated instantaneous log-forward rate covariance, i.e., \int_0^t_i d log(L_j) d log(L_k) dt.
RandomVariableInterface	getLIBOR(int timeIndex, int liborIndex)
double	getLiborPeriod(int timeIndex) The period start corresponding to a given forward rate discretization index.
TimeDiscretizationInterface	getLiborPeriodDiscretization() The tenor time discretization of the forward rate curve.
int	getLiborPeriodIndex(double time) Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
int	getNumberOfLibors() Get the number of LIBORs in the LIBOR discretization.

Methods inherited from interface net.finmath.montecarlo.model.AbstractModelInterface

applyStateSpaceTransform, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getProcess, getTimeDiscretization, setProcess

Method Detail

getLIBOR

RandomVariableInterface getLIBOR(int timeIndex,
                                 int liborIndex)
                          throws CalculationException

Throws:

CalculationException

getLiborPeriodDiscretization

TimeDiscretizationInterface getLiborPeriodDiscretization()

The tenor time discretization of the forward rate curve.

Returns:

The tenor time discretization of the forward rate curve.

getNumberOfLibors

int getNumberOfLibors()

Get the number of LIBORs in the LIBOR discretization.

Returns:

The number of LIBORs in the LIBOR discretization

getLiborPeriod

double getLiborPeriod(int timeIndex)

The period start corresponding to a given forward rate discretization index.

Parameters:

timeIndex - The index corresponding to a given time (interpretation is start of period)

Returns:

The period start corresponding to a given forward rate discretization index.

getLiborPeriodIndex

int getLiborPeriodIndex(double time)

Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.

Parameters:

time - The period start.

Returns:

The index corresponding to a given time (interpretation is start of period)

getAnalyticModel

AnalyticModelInterface getAnalyticModel()

Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.

Returns:

The associated analytic model.

getDiscountCurve

DiscountCurveInterface getDiscountCurve()

Return the discount curve associated the forwards.

Returns:

the discount curve associated the forwards.

getForwardRateCurve

ForwardCurveInterface getForwardRateCurve()

Return the initial forward rate curve.

Returns:

the forward rate curve

getCovarianceModel

AbstractLIBORCovarianceModel getCovarianceModel()

Return the covariance model.

Returns:

The covariance model.

getCloneWithModifiedCovarianceModel

LIBORMarketModelInterface getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel calibrationCovarianceModel)

Create a new object implementing LIBORMarketModelInterface, using the new covariance model.

Parameters:

calibrationCovarianceModel - The new covariance model.

Returns:

A new object implementing LIBORMarketModelInterface, using the new covariance model.

getCloneWithModifiedData

LIBORMarketModelInterface getCloneWithModifiedData(Map<String,Object> dataModified)
                                            throws CalculationException

Create a new object implementing LIBORMarketModelInterface, using the new data.

Parameters:

dataModified - A map with values to be used in constructions (keys are identical to parameter names of the constructors).

Returns:

A new object implementing LIBORMarketModelInterface, using the new data.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getIntegratedLIBORCovariance

double[][][] getIntegratedLIBORCovariance()

Returns the integrated instantaneous log-forward rate covariance, i.e., \int_0^t_i d log(L_j) d log(L_k) dt. The array returned has the parametrization [i][j][k], i.e., integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2].

Returns:

The integrated instantaneous log-LIBOR covariance.