- java.lang.Object
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- net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
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- All Implemented Interfaces:
AssetModelDescriptor
,ModelDescriptor
public class VarianceGammaModelDescriptor extends Object implements AssetModelDescriptor
- Version:
- 1.0
- Author:
- Alessandro Gnoatto
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Constructor Summary
Constructors Constructor Description VarianceGammaModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description DiscountCurve
getDiscountCurveForDiscountRate()
DiscountCurve
getDiscountCurveForForwardRate()
Double
getInitialValue()
double
getNu()
LocalDate
getReferenceDate()
double
getSigma()
double
getTheta()
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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VarianceGammaModelDescriptor
public VarianceGammaModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)
- Parameters:
referenceDate
- The date corresponding to the floating point date t=0.initialValue
- \( S_{0} \) - spot - initial value of SdiscountCurveForForwardRate
- The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free ratediscountCurveForDiscountRate
- The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount ratesigma
- The parameter \( \sigma \).theta
- The parameter \( \theta \).nu
- The parameter \( \nu \).
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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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getSigma
public double getSigma()
- Returns:
- the sigma
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getTheta
public double getTheta()
- Returns:
- the theta
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getNu
public double getNu()
- Returns:
- the nu
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