Module net.finmath.lib
Class CalibratableMertonModel
- java.lang.Object
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- net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
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- All Implemented Interfaces:
CalibratableProcess
public class CalibratableMertonModel extends Object implements CalibratableProcess
This class is creates new instances of MertonModel and communicates with the optimization algorithm. This class provides clones of herself: in such a way the information concerning constraints is not lost. The method getCharacteristicFunction is then passed to the FFT pricing routine.- Author:
- Alessandro Gnoatto
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Constructor Summary
Constructors Constructor Description CalibratableMertonModel(MertonModelDescriptor descriptor)
Basic constructor where all parameters are to be calibrated.CalibratableMertonModel(MertonModelDescriptor descriptor, ScalarParameterInformation volatilityInfo, ScalarParameterInformation jumpIntensityInfo, ScalarParameterInformation jumpSizeMeanInfo, ScalarParameterInformation jumpSizeStdDevInfo)
This constructor allows for the specification of constraints.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description MertonModel
getCharacteristicFunctionModel()
Directly returns the characteristic function.CalibratableProcess
getCloneForModifiedParameters(double[] parameters)
Calibration substitutes in the model the parameters of the process with calibrated ones.ModelDescriptor
getModelDescriptor()
Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.double[]
getParameterLowerBounds()
Extracts parameter lower bounds for the optimizer factory.double[]
getParameterUpperBounds()
Extracts parameter upper bounds for the optimizer factory.String
toString()
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Constructor Detail
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CalibratableMertonModel
public CalibratableMertonModel(MertonModelDescriptor descriptor)
Basic constructor where all parameters are to be calibrated. All parameters are unconstrained.- Parameters:
descriptor
- The model descriptor for the Merton model.
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CalibratableMertonModel
public CalibratableMertonModel(MertonModelDescriptor descriptor, ScalarParameterInformation volatilityInfo, ScalarParameterInformation jumpIntensityInfo, ScalarParameterInformation jumpSizeMeanInfo, ScalarParameterInformation jumpSizeStdDevInfo)
This constructor allows for the specification of constraints. This is very liberal since we can impose different types of constraints. The choice on the parameters to be applied is left to the user. This implies that he user could create Merton models which are not meaningful.- Parameters:
descriptor
- The model descriptor for the Merton model.volatilityInfo
- The volatility constraint.jumpIntensityInfo
- The constraint for the jump intensity parameter.jumpSizeMeanInfo
- The constraint for the jump size mean parameter.jumpSizeStdDevInfo
- The constraint for the jump standard deviation parameter.
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Method Detail
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getCloneForModifiedParameters
public CalibratableProcess getCloneForModifiedParameters(double[] parameters)
Description copied from interface:CalibratableProcess
Calibration substitutes in the model the parameters of the process with calibrated ones. Market observables such as the initial stock value should not be changed.- Specified by:
getCloneForModifiedParameters
in interfaceCalibratableProcess
- Parameters:
parameters
- The new parameters.- Returns:
- a clone of the original model with modified parameters.
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getModelDescriptor
public ModelDescriptor getModelDescriptor()
Description copied from interface:CalibratableProcess
Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.- Specified by:
getModelDescriptor
in interfaceCalibratableProcess
- Returns:
- The descriptor for this model.
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getCharacteristicFunctionModel
public MertonModel getCharacteristicFunctionModel()
Description copied from interface:CalibratableProcess
Directly returns the characteristic function.- Specified by:
getCharacteristicFunctionModel
in interfaceCalibratableProcess
- Returns:
- the characteristic function
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getParameterLowerBounds
public double[] getParameterLowerBounds()
Description copied from interface:CalibratableProcess
Extracts parameter lower bounds for the optimizer factory.- Specified by:
getParameterLowerBounds
in interfaceCalibratableProcess
- Returns:
- parameter lower bounds for the optimizer factory.
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getParameterUpperBounds
public double[] getParameterUpperBounds()
Description copied from interface:CalibratableProcess
Extracts parameter upper bounds for the optimizer factory.- Specified by:
getParameterUpperBounds
in interfaceCalibratableProcess
- Returns:
- parameter upper bounds for the optimizer factory.
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