Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models.covariance

Class AbstractShortRateVolatilityModelParametric

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel

net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric

All Implemented Interfaces:

Serializable, ShortRateVolatilityModel, ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric

Direct Known Subclasses:

ShortRateVolatilityModelPiecewiseConstant

public abstract class AbstractShortRateVolatilityModelParametric
extends AbstractShortRateVolatilityModel
implements ShortRateVolatilityModelParametric, ShortRateVolatilityModelCalibrateable

Base class for parametric volatility models, see also AbstractShortRateVolatilityModel. Parametric models feature a parameter vector which can be inspected and modified for calibration purposes. The parameter vector may have zero length, which indicated that the model is not calibrateable. This class includes the implementation of a generic calibration algorithm. If you provide an arbitrary list of calibration products, the class can return a new instance where the parameters are chosen such that the (weighted) root-mean-square error of the difference of the value of the calibration products and given target values is minimized.

Version:

1.1

Author:

Ruben Duarte

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
AbstractShortRateVolatilityModelParametric(TimeDiscretization timeDiscretization)	Constructor consuming time discretization.

Method Summary

Modifier and Type	Method	Description
abstract Object	clone()
AbstractShortRateVolatilityModelParametric	getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractShortRateVolatilityModelParametric	getCloneCalibratedLegazy(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
abstract AbstractShortRateVolatilityModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
abstract AbstractShortRateVolatilityModelParametric	getCloneWithModifiedParameters(RandomVariable[] parameters)	Return an instance of this model using a new set of parameters.
abstract RandomVariable[]	getParameter()	Get the parameters of determining this parametric volatility model.
double[]	getParameterAsDouble()	Get the parameters of determining this parametric volatility model.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel

getTimeDiscretization

Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel

getMeanReversion, getTimeDiscretization, getVolatility

Constructor Detail

AbstractShortRateVolatilityModelParametric

public AbstractShortRateVolatilityModelParametric(TimeDiscretization timeDiscretization)

Constructor consuming time discretization.

Parameters:

timeDiscretization - The vector of simulation time discretization points.

Method Detail

getParameter

public abstract RandomVariable[] getParameter()

Get the parameters of determining this parametric volatility model. The parameters are usually free parameters which may be used in calibration.

Specified by:

getParameter in interface ShortRateVolatilityModelParametric

Returns:

Parameter vector.

clone

public abstract Object clone()

Overrides:

clone in class Object

getParameterAsDouble

public double[] getParameterAsDouble()

Description copied from interface: ShortRateVolatilityModelParametric

Get the parameters of determining this parametric volatility model. The parameters are usually free parameters which may be used in calibration.

Specified by:

getParameterAsDouble in interface ShortRateVolatilityModelParametric

Returns:

Parameter vector.

getCloneWithModifiedParameters

public abstract AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters(double[] parameters)

Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.

Specified by:

getCloneWithModifiedParameters in interface ShortRateVolatilityModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getCloneWithModifiedParameters

public abstract AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)

Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.

Specified by:

getCloneWithModifiedParameters in interface ShortRateVolatilityModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getCloneCalibrated

public AbstractShortRateVolatilityModelParametric getCloneCalibrated(ShortRateModel calibrationModel,
                                                                     CalibrationProduct[] calibrationProducts,
                                                                     Map<String,Object> calibrationParameters)
                                                              throws CalculationException

Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):

• brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
• maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
• accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.

Specified by:

getCloneCalibrated in interface ShortRateVolatilityModelCalibrateable

Parameters:

calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).

calibrationProducts - The array of calibration products.

calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.

Returns:

A new parametric model of the same type than this one, but with calibrated parameters.

Throws:

CalculationException - Thrown if calibration has failed.

getCloneCalibratedLegazy

public AbstractShortRateVolatilityModelParametric getCloneCalibratedLegazy(ShortRateModel calibrationModel,
                                                                           CalibrationProduct[] calibrationProducts,
                                                                           Map<String,Object> calibrationParameters)
                                                                    throws CalculationException

Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):

• brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
• maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
• accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.

Parameters:

calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).

calibrationProducts - The array of calibration products.

calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.

Returns:

A new parametric model of the same type than this one, but with calibrated parameters.

Throws:

CalculationException - Thrown if calibration has failed.

toString

public String toString()

Overrides:

toString in class Object