Module net.finmath.lib
Interface LIBORModelMonteCarloSimulationModel
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- All Superinterfaces:
IndependentModelParameterProvider
,Model
,MonteCarloSimulationModel
,TermStructureMonteCarloSimulationModel
- All Known Subinterfaces:
HybridAssetLIBORModelMonteCarloSimulation
- All Known Implementing Classes:
HybridAssetLIBORModelMonteCarloSimulationFromModels
,LIBORMonteCarloSimulationFromLIBORModel
,LIBORMonteCarloSimulationFromTermStructureModel
public interface LIBORModelMonteCarloSimulationModel extends TermStructureMonteCarloSimulationModel, IndependentModelParameterProvider
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Deprecated Methods Modifier and Type Method Description BrownianMotion
getBrownianMotion()
Returns the Brownian motion used to simulate the curve.Object
getCloneWithModifiedSeed(int seed)
Deprecated.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.TermStructureModel
getModel()
Returns the underlying model.int
getNumberOfFactors()
int
getNumberOfLibors()
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Methods inherited from interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider
getModelParameters
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Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel
getCloneWithModifiedData, getMonteCarloWeights, getMonteCarloWeights, getNumberOfPaths, getRandomVariableForConstant, getReferenceDate, getTime, getTimeDiscretization, getTimeIndex
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Methods inherited from interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
getLIBOR, getLIBOR, getNumeraire, getNumeraire, getProcess
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Method Detail
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getNumberOfFactors
int getNumberOfFactors()
- Returns:
- Returns the numberOfFactors.
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getLiborPeriodDiscretization
TimeDiscretization getLiborPeriodDiscretization()
Returns the libor period discretization as time discretization representing start and end dates of periods.- Returns:
- Returns the libor period discretization
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getNumberOfLibors
int getNumberOfLibors()
- Returns:
- The number of LIBORs in the LIBOR discretization
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getLiborPeriod
double getLiborPeriod(int timeIndex)
Returns the period start of the specified forward rate period.- Parameters:
timeIndex
- The index corresponding to a given time (interpretation is start of period)- Returns:
- The period start of the specified forward rate period.
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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 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)
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getLIBOR
RandomVariable getLIBOR(int timeIndex, int liborIndex) throws CalculationException
Return the forward rate for a given simulation time index and a given forward rate index.- 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 thecause()
method.
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getLIBORs
RandomVariable[] getLIBORs(int timeIndex) throws CalculationException
Return the forward rate curve for a given simulation time index.- 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 thecause()
method.
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getBrownianMotion
BrownianMotion getBrownianMotion()
Returns the Brownian motion used to simulate the curve.- Returns:
- The Brownian motion used to simulate the curve.
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getModel
TermStructureModel getModel()
Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.- Specified by:
getModel
in interfaceTermStructureMonteCarloSimulationModel
- Returns:
- The underlying model
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getCloneWithModifiedSeed
@Deprecated Object getCloneWithModifiedSeed(int seed)
Deprecated.Return a clone of this model with a modified Brownian motion using a different seed.- Parameters:
seed
- The seed- Returns:
- Clone of this object, but having a different seed.
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