net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel

All Implemented Interfaces:: Model, IndependentModelParameterProvider, LIBORModelMonteCarloSimulationModel, TermStructureMonteCarloSimulationModel, MonteCarloSimulationModel

public class LIBORMonteCarloSimulationFromLIBORModel
extends Object
implements LIBORModelMonteCarloSimulationModel

Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g. implemented by LIBORMarketModelFromCovarianceModel) and MonteCarloProcess process (e.g. implemented by EulerSchemeFromProcessModel

Version:: 1.0
Author:: Christian Fries

Constructor Summary

Constructors
Constructor	Description
`LIBORMonteCarloSimulationFromLIBORModel(LIBORModel model, MonteCarloProcess process)`	Deprecated.
`LIBORMonteCarloSimulationFromLIBORModel(MonteCarloProcess process)`

Method Summary

Modifier and Type	Method	Description
`BrownianMotion`	`getBrownianMotion()`	Returns the Brownian motion used to simulate the curve.
`LIBORModelMonteCarloSimulationModel`	`getCloneWithModifiedData(String entityKey, Object dataModified)`	Create a clone of this simulation modifying one of its properties (if any).
`LIBORModelMonteCarloSimulationModel`	`getCloneWithModifiedData(Map<String,Object> dataModified)`	Create a clone of this simulation modifying some of its properties (if any).
`Object`	`getCloneWithModifiedSeed(int seed)`	Return a clone of this model with a modified Brownian motion using a different seed.
`RandomVariable`	`getLIBOR(double time, double periodStart, double periodEnd)`	Return the forward rate for a given simulation time and a given period start and period end.
`RandomVariable`	`getLIBOR(int timeIndex, int liborIndex)`	Return the forward rate for a given simulation time index and a given forward rate index.
`double`	`getLiborPeriod(int timeIndex)`	Returns the period start of the specified forward rate period.
`TimeDiscretization`	`getLiborPeriodDiscretization()`	Returns the libor period discretization as time discretization representing start and end dates of periods.
`int`	`getLiborPeriodIndex(double time)`	Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
`RandomVariable[]`	`getLIBORs(int timeIndex)`	Return the forward rate curve for a given simulation time index.
`LIBORModel`	`getModel()`	Returns the underlying model.
`Map<String,RandomVariable>`	`getModelParameters()`	Returns a map of independent model parameters of this model.
`RandomVariable`	`getMonteCarloWeights(double time)`	This method returns the weights of a weighted Monte Carlo method (the probability density).
`RandomVariable`	`getMonteCarloWeights(int timeIndex)`	This method returns the weights of a weighted Monte Carlo method (the probability density).
`int`	`getNumberOfComponents()`
`int`	`getNumberOfFactors()`
`int`	`getNumberOfLibors()`
`int`	`getNumberOfPaths()`	Returns the numberOfPaths.
`RandomVariable`	`getNumeraire(double time)`	Return the numeraire at a given time.
`MonteCarloProcess`	`getProcess()`
`RandomVariable`	`getRandomVariableForConstant(double value)`	Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this `MonteCarloSimulationModel`.
`LocalDateTime`	`getReferenceDate()`	Returns the model's date corresponding to the time discretization's \( t = 0 \).
`double`	`getTime(int timeIndex)`	Returns the time for a given time index.
`TimeDiscretization`	`getTimeDiscretization()`	Returns the timeDiscretizationFromArray.
`int`	`getTimeIndex(double time)`	Returns the time index for a given time.

Methods inherited from class java.lang.Object

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

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

getLIBOR, getNumeraire

Constructor Details
- LIBORMonteCarloSimulationFromLIBORModel
  
  public LIBORMonteCarloSimulationFromLIBORModel(MonteCarloProcess process)
- LIBORMonteCarloSimulationFromLIBORModel
  
  @Deprecated public LIBORMonteCarloSimulationFromLIBORModel(LIBORModel model, MonteCarloProcess process)
  
  Deprecated.
  
  Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcess.
  
  Parameters:
  
  model - The LIBORMarketModelFromCovarianceModel.
  
  process - The process.
Method Details
- getMonteCarloWeights
  
  public RandomVariable getMonteCarloWeights(int timeIndex) throws CalculationException
  
  Description copied from interface: MonteCarloSimulationModel
  
  This method returns the weights of a weighted Monte Carlo method (the probability density).
  
  Specified by:
  
  getMonteCarloWeights in interface MonteCarloSimulationModel
  
  Parameters:
  
  timeIndex - Time index at which the process should be observed
  
  Returns:
  
  A vector of positive weights which sums up to one
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getMonteCarloWeights
  
  public RandomVariable getMonteCarloWeights(double time) throws CalculationException
  
  Description copied from interface: MonteCarloSimulationModel
  
  This method returns the weights of a weighted Monte Carlo method (the probability density).
  
  Specified by:
  
  getMonteCarloWeights in interface MonteCarloSimulationModel
  
  Parameters:
  
  time - Time at which the process should be observed
  
  Returns:
  
  A vector of positive weights which sums up to one
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getNumberOfFactors
  
  public int getNumberOfFactors()
  
  Specified by:
  
  getNumberOfFactors in interface LIBORModelMonteCarloSimulationModel
  
  Returns:
  
  Returns the numberOfFactors.
- getNumberOfPaths
  
  public int getNumberOfPaths()
  
  Description copied from interface: MonteCarloSimulationModel
  
  Returns the numberOfPaths.
  
  Specified by:
  
  getNumberOfPaths in interface MonteCarloSimulationModel
  
  Returns:
  
  Returns the numberOfPaths.
- getReferenceDate
  
  public LocalDateTime getReferenceDate()
  
  Description copied from interface: MonteCarloSimulationModel
  
  Returns the model's date corresponding to the time discretization's \( t = 0 \).
  
  Specified by:
  
  getReferenceDate in interface MonteCarloSimulationModel
  
  Returns:
  
  The model's date corresponding to the time discretization's \( t = 0 \).
- getTime
  
  public double getTime(int timeIndex)
  
  Description copied from interface: MonteCarloSimulationModel
  
  Returns the time for a given time index.
  
  Specified by:
  
  getTime in interface MonteCarloSimulationModel
  
  Parameters:
  
  timeIndex - Time index
  
  Returns:
  
  Returns the time for a given time index.
- getTimeDiscretization
  
  public TimeDiscretization getTimeDiscretization()
  
  Description copied from interface: MonteCarloSimulationModel
  
  Returns the timeDiscretizationFromArray.
  
  Specified by:
  
  getTimeDiscretization in interface MonteCarloSimulationModel
  
  Returns:
  
  Returns the timeDiscretizationFromArray.
- getTimeIndex
  
  public int getTimeIndex(double time)
  
  Description copied from interface: MonteCarloSimulationModel
  
  Returns the time index for a given time.
  
  Specified by:
  
  getTimeIndex in interface MonteCarloSimulationModel
  
  Parameters:
  
  time - The time.
  
  Returns:
  
  Returns the time index for a given time.
- getRandomVariableForConstant
  
  public RandomVariable getRandomVariableForConstant(double value)
  
  Description copied from interface: MonteCarloSimulationModel
  
  Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
  
  Specified by:
  
  getRandomVariableForConstant in interface MonteCarloSimulationModel
  
  Parameters:
  
  value - The constant value to be used for initialized the random variable.
  
  Returns:
  
  A new random variable.
- getBrownianMotion
  
  public BrownianMotion getBrownianMotion()
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Returns the Brownian motion used to simulate the curve.
  
  Specified by:
  
  getBrownianMotion in interface LIBORModelMonteCarloSimulationModel
  
  Returns:
  
  The Brownian motion used to simulate the curve.
- getLIBOR
  
  public RandomVariable getLIBOR(int timeIndex, int liborIndex) throws CalculationException
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Return the forward rate for a given simulation time index and a given forward rate index.
  
  Specified by:
  
  getLIBOR in interface LIBORModelMonteCarloSimulationModel
  
  Parameters:
  
  timeIndex - Simulation time index.
  
  liborIndex - TenorFromArray time index (index corresponding to the fixing of the forward rate).
  
  Returns:
  
  The forward rate as a random variable.
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getLIBORs
  
  public RandomVariable[] getLIBORs(int timeIndex) throws CalculationException
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Return the forward rate curve for a given simulation time index.
  
  Specified by:
  
  getLIBORs in interface LIBORModelMonteCarloSimulationModel
  
  Parameters:
  
  timeIndex - Simulation time index.
  
  Returns:
  
  The forward rate curve for a given simulation time index.
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getLIBOR
  
  public RandomVariable getLIBOR(double time, double periodStart, double periodEnd) throws CalculationException
  
  Description copied from interface: TermStructureMonteCarloSimulationModel
  
  Return the forward rate for a given simulation time and a given period start and period end.
  
  Specified by:
  
  getLIBOR in interface TermStructureMonteCarloSimulationModel
  
  Parameters:
  
  time - Simulation time
  
  periodStart - Start time of period
  
  periodEnd - End time of period
  
  Returns:
  
  The forward rate as a random variable as seen on simulation time for the specified period.
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getLiborPeriod
  
  public double getLiborPeriod(int timeIndex)
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Returns the period start of the specified forward rate period.
  
  Specified by:
  
  getLiborPeriod in interface LIBORModelMonteCarloSimulationModel
  
  Parameters:
  
  timeIndex - The index corresponding to a given time (interpretation is start of period)
  
  Returns:
  
  The period start of the specified forward rate period.
- getLiborPeriodDiscretization
  
  public TimeDiscretization getLiborPeriodDiscretization()
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Returns the libor period discretization as time discretization representing start and end dates of periods.
  
  Specified by:
  
  getLiborPeriodDiscretization in interface LIBORModelMonteCarloSimulationModel
  
  Returns:
  
  Returns the libor period discretization
- getLiborPeriodIndex
  
  public int getLiborPeriodIndex(double time)
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  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.
  
  Specified by:
  
  getLiborPeriodIndex in interface LIBORModelMonteCarloSimulationModel
  
  Parameters:
  
  time - The tenor time (fixing of the forward rate) for which the index is requested.
  
  Returns:
  
  The index corresponding to a given time (interpretation is start of period)
- getNumberOfComponents
  
  public int getNumberOfComponents()
- getNumberOfLibors
  
  public int getNumberOfLibors()
  
  Specified by:
  
  getNumberOfLibors in interface LIBORModelMonteCarloSimulationModel
  
  Returns:
  
  The number of LIBORs in the LIBOR discretization
- getNumeraire
  
  public RandomVariable getNumeraire(double time) throws CalculationException
  
  Description copied from interface: TermStructureMonteCarloSimulationModel
  
  Return the numeraire at a given time.
  
  Specified by:
  
  getNumeraire in interface TermStructureMonteCarloSimulationModel
  
  Parameters:
  
  time - Time at which the process should be observed
  
  Returns:
  
  The numeraire at the specified time as RandomVariableFromDoubleArray
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getModel
  
  public LIBORModel getModel()
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.
  
  Specified by:
  
  getModel in interface LIBORModelMonteCarloSimulationModel
  
  Specified by:
  
  getModel in interface TermStructureMonteCarloSimulationModel
  
  Returns:
  
  The underlying model
- getProcess
  
  public MonteCarloProcess getProcess()
  
  Specified by:
  
  getProcess in interface TermStructureMonteCarloSimulationModel
  
  Returns:
  
  The implementation of the process
- getCloneWithModifiedSeed
  
  public Object getCloneWithModifiedSeed(int seed)
  
  Description copied from interface: LIBORModelMonteCarloSimulationModel
  
  Return a clone of this model with a modified Brownian motion using a different seed.
  
  Specified by:
  
  getCloneWithModifiedSeed in interface LIBORModelMonteCarloSimulationModel
  
  Parameters:
  
  seed - The seed
  
  Returns:
  
  Clone of this object, but having a different seed.
- getCloneWithModifiedData
  
  public LIBORModelMonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified) throws CalculationException
  
  Description copied from interface: MonteCarloSimulationModel
  
  Create a clone of this simulation modifying some of its properties (if any). The properties that should be modified correspond to arguments of constructors. A constructor is then called with where all arguments that are not found in the key value map are being set to this objects values.
  
  Specified by:
  
  getCloneWithModifiedData in interface MonteCarloSimulationModel
  
  Parameters:
  
  dataModified - The data which should be changed in the new model. This is a key value may, where the key corresponds to the name of a property in one of the objects constructors.
  
  Returns:
  
  Returns a clone of this object, with some data modified (then it is no longer a clone :-)
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getCloneWithModifiedData
  
  public LIBORModelMonteCarloSimulationModel getCloneWithModifiedData(String entityKey, Object dataModified) throws CalculationException
  
  Create a clone of this simulation modifying one of its properties (if any).
  
  Parameters:
  
  entityKey - The entity to modify.
  
  dataModified - The data which should be changed in the new model
  
  Returns:
  
  Returns a clone of this model, where the specified part of the data is modified data (then it is no longer a clone :-)
  
  Throws:
  
  CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
- getModelParameters
  
  public Map<String,RandomVariable> getModelParameters()
  
  Description copied from interface: IndependentModelParameterProvider
  
  Returns a map of independent model parameters of this model.
  
  Specified by:
  
  getModelParameters in interface IndependentModelParameterProvider
  
  Returns:
  
  Map of independent model parameters of this model.

Class LIBORMonteCarloSimulationFromLIBORModel

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

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

Constructor Details

Method Details