- java.lang.Object
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- net.finmath.modelling.descriptor.MertonModelDescriptor
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- All Implemented Interfaces:
AssetModelDescriptor
,ModelDescriptor
public class MertonModelDescriptor extends Object implements AssetModelDescriptor
Descriptor for the Merton Jump Diffusion Model. This provides communication between the Fourier transform framework for calibration and the Monte Carlo engine.- Author:
- Alessandro Gnoatto
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Constructor Summary
Constructors Constructor Description MertonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double jumpIntensity, Double jumpSizeMean, Double jumpSizeStdDev)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description DiscountCurve
getDiscountCurveForDiscountRate()
DiscountCurve
getDiscountCurveForForwardRate()
Double
getInitialValue()
Double
getJumpIntensity()
Double
getJumpSizeMean()
Double
getJumpSizeStdDev()
LocalDate
getReferenceDate()
Double
getVolatility()
String
name()
Return the name of the model represented by this descriptor.Integer
version()
Return the version of the model description.
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Constructor Detail
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MertonModelDescriptor
public MertonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double jumpIntensity, Double jumpSizeMean, Double jumpSizeStdDev)
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Method Detail
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version
public Integer version()
Description copied from interface:ModelDescriptor
Return the version of the model description.- Specified by:
version
in interfaceModelDescriptor
- Returns:
- Version number.
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name
public String name()
Description copied from interface:ModelDescriptor
Return the name of the model represented by this descriptor.- Specified by:
name
in interfaceModelDescriptor
- Returns:
- Name of the model.
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getReferenceDate
public LocalDate getReferenceDate()
- Returns:
- the referenceDate
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getInitialValue
public Double getInitialValue()
- Returns:
- the initialValue
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getDiscountCurveForForwardRate
public DiscountCurve getDiscountCurveForForwardRate()
- Returns:
- the discountCurveForForwardRate
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getDiscountCurveForDiscountRate
public DiscountCurve getDiscountCurveForDiscountRate()
- Returns:
- the discountCurveForDiscountRate
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getVolatility
public Double getVolatility()
- Returns:
- the volatility
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getJumpIntensity
public Double getJumpIntensity()
- Returns:
- the jumpIntensity
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getJumpSizeMean
public Double getJumpSizeMean()
- Returns:
- the jumpSizeMean
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getJumpSizeStdDev
public Double getJumpSizeStdDev()
- Returns:
- the jumpSizeStdDev
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