Module net.finmath.lib

Package net.finmath.modelling.descriptor

Class VarianceGammaModelDescriptor

java.lang.Object

net.finmath.modelling.descriptor.VarianceGammaModelDescriptor

All Implemented Interfaces:

AssetModelDescriptor, ModelDescriptor

public class VarianceGammaModelDescriptor
extends Object
implements AssetModelDescriptor

Version:

1.0

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
VarianceGammaModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)

Method Summary

Modifier and Type	Method	Description
DiscountCurve	getDiscountCurveForDiscountRate()
DiscountCurve	getDiscountCurveForForwardRate()
Double	getInitialValue()
double	getNu()
LocalDate	getReferenceDate()
double	getSigma()
double	getTheta()
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 Details

VarianceGammaModelDescriptor

public VarianceGammaModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)

Parameters:

referenceDate - The date corresponding to the floating point date t=0.

initialValue - \( S_{0} \) - spot - initial value of S

discountCurveForForwardRate - The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free rate

discountCurveForDiscountRate - The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount rate

sigma - The parameter \( \sigma \).

theta - The parameter \( \theta \).

nu - The parameter \( \nu \).

Method Details

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

getSigma

public double getSigma()

Returns:

the sigma

getTheta

public double getTheta()

Returns:

the theta

getNu

public double getNu()

Returns:

the nu