Module net.finmath.lib
Interface CalibratableProcess
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- All Known Implementing Classes:
CalibratableHestonModel
,CalibratableMertonModel
,CalibratableVarianceGammaModel
public interface CalibratableProcess
Every class implementing this interface communicates with the calibration routine by providing clones of the model with changed parameters. A model descriptor is stored to infer parameters which are not calibrated such as market observables. We are decorating every characteristic function with the getCloneForModifiedParameters withouth touching the existing classes providing the computation of the characteristic function. Suitable specifications of getCloneForModifiedParameters can be employed to introduce e.g. non-linear constraints. E.g. it is possible to force the Feller condition in the Heston model by providing a suitable implementation of this method.- Author:
- Alessandro Gnoatto
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description CharacteristicFunctionModel
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.
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Method Detail
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getCloneForModifiedParameters
CalibratableProcess getCloneForModifiedParameters(double[] parameters)
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.- Parameters:
parameters
- The new parameters.- Returns:
- a clone of the original model with modified parameters.
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getModelDescriptor
ModelDescriptor getModelDescriptor()
Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.- Returns:
- The descriptor for this model.
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getCharacteristicFunctionModel
CharacteristicFunctionModel getCharacteristicFunctionModel()
Directly returns the characteristic function.- Returns:
- the characteristic function
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getParameterLowerBounds
double[] getParameterLowerBounds()
Extracts parameter lower bounds for the optimizer factory.- Returns:
- parameter lower bounds for the optimizer factory.
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getParameterUpperBounds
double[] getParameterUpperBounds()
Extracts parameter upper bounds for the optimizer factory.- Returns:
- parameter upper bounds for the optimizer factory.
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