net.finmath.montecarlo.interestrate.modelplugins

Class LIBORVolatilityModelTwoParameterExponentialForm

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel

net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm

All Implemented Interfaces:

Serializable

public class LIBORVolatilityModelTwoParameterExponentialForm
extends LIBORVolatilityModel

Implements the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b) Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, boolean isCalibrateable) Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))

Method Summary

Modifier and Type	Method and Description
Object	clone()
double[]	getParameter()
RandomVariable	getVolatility(int timeIndex, int liborIndex) 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

LIBORVolatilityModelTwoParameterExponentialForm

public LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface timeDiscretization,
                                                       TimeDiscretizationInterface liborPeriodDiscretization,
                                                       double a,
                                                       double b)

Creates the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))

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: exponential decay of the volatility.

LIBORVolatilityModelTwoParameterExponentialForm

public LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface timeDiscretization,
                                                       TimeDiscretizationInterface liborPeriodDiscretization,
                                                       double a,
                                                       double b,
                                                       boolean isCalibrateable)

Creates the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))

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: exponential decay of the volatility.

isCalibrateable - Set this to true, if the parameters are available for calibration.

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 RandomVariable 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.

clone

public Object clone()

Specified by:

clone in class LIBORVolatilityModel