net.finmath.montecarlo.interestrate

Interface LIBORMarketModelInterface

All Superinterfaces:

AbstractModelInterface, LIBORModelInterface

All Known Implementing Classes:

LIBORMarketModel, LIBORMarketModelStandard

public interface LIBORMarketModelInterface
extends LIBORModelInterface

Method Summary

Modifier and Type	Method and Description
LIBORMarketModelInterface	getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModelInterface, using the new covariance model.
AbstractLIBORCovarianceModel	getCovarianceModel() Return the libor covariance model.
double[][][]	getIntegratedLIBORCovariance() Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).

Methods inherited from interface net.finmath.montecarlo.interestrate.LIBORModelInterface

getAnalyticModel, getCloneWithModifiedData, getDiscountCurve, getForwardRateCurve, getLIBOR, getLiborPeriod, getLiborPeriodDiscretization, getLiborPeriodIndex, getNumberOfLibors

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

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

Method Detail

getCovarianceModel

AbstractLIBORCovarianceModel getCovarianceModel()

Return the libor 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.

getIntegratedLIBORCovariance

double[][][] getIntegratedLIBORCovariance()

Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \). The array returned has the parametrization [i][j][k], i.e., integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2].

Returns:

The integrated instantaneous log-LIBOR covariance.