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- All Superinterfaces:
IndependentModelParameterProvider
,LIBORModel
,ProcessModel
,TermStructureModel
- All Known Implementing Classes:
LIBORMarketModelFromCovarianceModel
,LIBORMarketModelStandard
public interface LIBORMarketModel extends LIBORModel
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description LIBORMarketModel
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)
Create a new object implementing LIBORMarketModel, using the new covariance model.LIBORCovarianceModel
getCovarianceModel()
Return the forward rate (LIBOR) covariance model.double[][][]
getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)
Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).-
Methods inherited from interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider
getModelParameters
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Methods inherited from interface net.finmath.montecarlo.interestrate.LIBORModel
getCloneWithModifiedData, getLIBOR, getLiborPeriod, getLiborPeriodDiscretization, getLiborPeriodIndex, getNumberOfLibors
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Methods inherited from interface net.finmath.montecarlo.model.ProcessModel
applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getRandomVariableForConstant, getReferenceDate
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Methods inherited from interface net.finmath.montecarlo.interestrate.TermStructureModel
getAnalyticModel, getDiscountCurve, getForwardDiscountBond, getForwardRateCurve, getLIBOR
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Method Detail
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getCovarianceModel
LIBORCovarianceModel getCovarianceModel()
Return the forward rate (LIBOR) covariance model.- Returns:
- The covariance model.
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getCloneWithModifiedCovarianceModel
LIBORMarketModel getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)
Create a new object implementing LIBORMarketModel, using the new covariance model.- Parameters:
calibrationCovarianceModel
- The new covariance model.- Returns:
- A new object implementing LIBORMarketModel, using the new covariance model.
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getIntegratedLIBORCovariance
double[][][] getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)
Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \). The array returned has the parametrization [i][j][k], i.e.,integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2]
.- Parameters:
timeDiscretization
- The timeDiscretization used for the integration.- Returns:
- The integrated instantaneous log-LIBOR covariance.
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