Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface LIBORModel

All Superinterfaces:

IndependentModelParameterProvider, ProcessModel, TermStructureModel

All Known Subinterfaces:

LIBORMarketModel

All Known Implementing Classes:

HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard

public interface LIBORModel
extends TermStructureModel, IndependentModelParameterProvider

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
LIBORModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a new object implementing LIBORModel, using the new data.
RandomVariable	getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)	Return the forward rate at a given timeIndex and for a given liborIndex.
double	getLiborPeriod(int timeIndex)	The period start corresponding to a given forward rate discretization index.
TimeDiscretization	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.automaticdifferentiation.IndependentModelParameterProvider

getModelParameters

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

applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getRandomVariableForConstant, getReferenceDate

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

getAnalyticModel, getDiscountCurve, getForwardDiscountBond, getForwardRateCurve, getLIBOR

Method Details

getLIBOR

RandomVariable getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex) throws CalculationException

Return the forward rate at a given timeIndex and for a given liborIndex.

Parameters:

process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.

timeIndex - The time index (associated with Process.getTimeDiscretization().

liborIndex - The forward rate index (associated with getLiborPeriodDiscretization().

Returns:

The forward rate.

Throws:

CalculationException - Thrown if calculation failed.

getLiborPeriodDiscretization

TimeDiscretization 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

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

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

Specified by:

getCloneWithModifiedData in interface ProcessModel

Specified by:

getCloneWithModifiedData in interface TermStructureModel

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 LIBORModel, using the new data.

Throws:

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