Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models.covariance

Class LIBORVolatilityModelFromGivenMatrix

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel

net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix

All Implemented Interfaces:

Serializable

public class LIBORVolatilityModelFromGivenMatrix
extends LIBORVolatilityModel

Implements a simple volatility model using given piece-wise constant values on a given discretization grid.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility, boolean isCalibrateable)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Method Summary

Modifier and Type	Method	Description
Object	clone()
LIBORVolatilityModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
LIBORVolatilityModelFromGivenMatrix	getCloneWithModifiedParameter(RandomVariable[] parameter)
RandomVariable[]	getParameter()
RandomVariable	getVolatility(int timeIndex, int component)	Implement this method to complete the implementation.

Methods inherited from class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel

getLiborPeriodDiscretization, getParameterAsDouble, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Details

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

abstractRandomVariableFactory - The random variable factor used to construct random variables from the parameters.

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization

isCalibrateable - Set this to true, if the parameters are available for calibration.

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization

isCalibrateable - Set this to true, if the parameters are available for calibration.

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility, boolean isCalibrateable)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

abstractRandomVariableFactory - The random variable factor used to construct random variables from the parameters.

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization

isCalibrateable - Set this to true, if the parameters are available for calibration.

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

abstractRandomVariableFactory - The random variable factor used to construct random variables from the parameters.

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization

LIBORVolatilityModelFromGivenMatrix

public LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility)

Creates a simple volatility model using given piece-wise constant values on a given discretization grid.

Parameters:

timeDiscretization - Discretization of simulation time.

liborPeriodDiscretization - Discretization of tenor times.

volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization

Method Details

getVolatility

public RandomVariable getVolatility(int timeIndex, int component)

Description copied from class: LIBORVolatilityModel

Implement this method to complete the implementation.

Specified by:

getVolatility in class LIBORVolatilityModel

Parameters:

timeIndex - The time index (for timeDiscretizationFromArray)

component - The libor index (for liborPeriodDiscretization)

Returns:

A random variable (e.g. as a vector of doubles) representing the volatility for each path.

getParameter

public RandomVariable[] getParameter()

Specified by:

getParameter in class LIBORVolatilityModel

getCloneWithModifiedParameter

public LIBORVolatilityModelFromGivenMatrix getCloneWithModifiedParameter(RandomVariable[] parameter)

Specified by:

getCloneWithModifiedParameter in class LIBORVolatilityModel

clone

public Object clone()

Specified by:

clone in class LIBORVolatilityModel

getCloneWithModifiedData

public LIBORVolatilityModel getCloneWithModifiedData(Map<String,Object> dataModified)

Description copied from class: LIBORVolatilityModel

Returns a clone of this model where the specified properties have been modified. Note that there is no guarantee that a model reacts on a specification of a properties in the parameter map dataModified. If data is provided which is ignored by the model no exception may be thrown. Furthermore the structure of the correlation model has to match changed data. A change of the time discretizations may requires a change in the parameters but this function will just insert the new time discretization without changing the parameters. An exception may not be thrown.

Specified by:

getCloneWithModifiedData in class LIBORVolatilityModel

Parameters:

dataModified - Key-value-map of parameters to modify.

Returns:

A clone of this model (or a new instance of this model if no parameter was modified).