net.finmath.montecarlo.interestrate

Interface LIBORModelInterface

All Superinterfaces:

AbstractModelInterface, TermStructureModelInterface

All Known Subinterfaces:

LIBORMarketModelInterface

All Known Implementing Classes:

HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, LIBORMarketModel, LIBORMarketModelStandard

public interface LIBORModelInterface
extends TermStructureModelInterface

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
LIBORModelInterface	getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing LIBORModelInterface, using the new data.
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.interestrate.TermStructureModelInterface

getAnalyticModel, getDiscountCurve, getForwardRateCurve, getLIBOR

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

applyStateSpaceTransform, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getProcess, getRandomVariableForConstant, 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)

getCloneWithModifiedData

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

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

Specified by:

getCloneWithModifiedData in interface AbstractModelInterface

Specified by:

getCloneWithModifiedData in interface TermStructureModelInterface

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 LIBORModelInterface, using the new data.

Throws:

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