net.finmath.modelling.descriptor

Class MertonModelDescriptor

java.lang.Object

net.finmath.modelling.descriptor.MertonModelDescriptor

All Implemented Interfaces:

AssetModelDescriptor, ModelDescriptor

public class MertonModelDescriptor
extends Object
implements AssetModelDescriptor

Descriptor for the Merton Jump Diffusion Model. This provides communication between the Fourier transform framework for calibration and the Monte Carlo engine.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor and Description
MertonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double jumpIntensity, Double jumpSizeMean, Double jumpSizeStdDev)

Method Summary

Modifier and Type	Method and Description
DiscountCurve	getDiscountCurveForDiscountRate()
DiscountCurve	getDiscountCurveForForwardRate()
Double	getInitialValue()
Double	getJumpIntensity()
Double	getJumpSizeMean()
Double	getJumpSizeStdDev()
LocalDate	getReferenceDate()
Double	getVolatility()
String	name() Return the name of the model represented by this descriptor.
Integer	version() Return the version of the model description.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MertonModelDescriptor

public MertonModelDescriptor(LocalDate referenceDate,
                             Double initialValue,
                             DiscountCurve discountCurveForForwardRate,
                             DiscountCurve discountCurveForDiscountRate,
                             Double volatility,
                             Double jumpIntensity,
                             Double jumpSizeMean,
                             Double jumpSizeStdDev)

Method Detail

version

public Integer version()

Description copied from interface: ModelDescriptor

Return the version of the model description.

Specified by:

version in interface ModelDescriptor

Returns:

Version number.

name

public String name()

Description copied from interface: ModelDescriptor

Return the name of the model represented by this descriptor.

Specified by:

name in interface ModelDescriptor

Returns:

Name of the model.

getReferenceDate

public LocalDate getReferenceDate()

Returns:

the referenceDate

getInitialValue

public Double getInitialValue()

Returns:

the initialValue

getDiscountCurveForForwardRate

public DiscountCurve getDiscountCurveForForwardRate()

Returns:

the discountCurveForForwardRate

getDiscountCurveForDiscountRate

public DiscountCurve getDiscountCurveForDiscountRate()

Returns:

the discountCurveForDiscountRate

getVolatility

public Double getVolatility()

Returns:

the volatility

getJumpIntensity

public Double getJumpIntensity()

Returns:

the jumpIntensity

getJumpSizeMean

public Double getJumpSizeMean()

Returns:

the jumpSizeMean

getJumpSizeStdDev

public Double getJumpSizeStdDev()

Returns:

the jumpSizeStdDev