net.finmath.montecarlo.interestrate

Interface LIBORMarketModel

All Superinterfaces:

IndependentModelParameterProvider, LIBORModel, ProcessModel, TermStructureModel

All Known Implementing Classes:

LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard

public interface LIBORMarketModel
extends LIBORModel

Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
LIBORMarketModel	getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModel, using the new covariance model.
LIBORCovarianceModel	getCovarianceModel() Return the forward rate (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.LIBORModel

getCloneWithModifiedData, getLIBOR, getLiborPeriod, getLiborPeriodDiscretization, getLiborPeriodIndex, getNumberOfLibors

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

getAnalyticModel, getDiscountCurve, getForwardRateCurve, getLIBOR

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

applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getProcess, getRandomVariableForConstant, getReferenceDate, getTimeDiscretization, setProcess

Methods inherited from interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider

getModelParameters

Method Detail

getCovarianceModel

LIBORCovarianceModel getCovarianceModel()

Return the forward rate (LIBOR) covariance model.

Returns:

The covariance model.

getCloneWithModifiedCovarianceModel

LIBORMarketModel getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)

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

Parameters:

calibrationCovarianceModel - The new covariance model.

Returns:

A new object implementing LIBORMarketModel, 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.