Module net.finmath.lib

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

Class ShortRateVolatilityModelPiecewiseConstant

java.lang.Object

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

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

net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant

All Implemented Interfaces:

Serializable, ShortRateVolatilityModel, ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric

public class ShortRateVolatilityModelPiecewiseConstant
extends AbstractShortRateVolatilityModelParametric
implements ShortRateVolatilityModel

Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable, boolean isMeanReversionCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable, boolean isMeanReversionCalibrateable)

Method Summary

Modifier and Type	Method	Description
Object	clone()
AbstractShortRateVolatilityModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
AbstractShortRateVolatilityModelParametric	getCloneWithModifiedParameters(RandomVariable[] parameters)	Return an instance of this model using a new set of parameters.
RandomVariable	getMeanReversion(int timeIndex)	Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
RandomVariable[]	getParameter()	Get the parameters of determining this parametric volatility model.
RandomVariable	getVolatility(double time)
RandomVariable	getVolatility(int timeIndex)	Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
TimeDiscretization	getVolatilityTimeDiscretization()	Returns the time discretization used for the picewise constant volatility and mean reversion.

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

getCloneCalibrated, getCloneCalibratedLegazy, getParameterAsDouble, 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

getTimeDiscretization

Constructor Detail

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory,
                                                 TimeDiscretization timeDiscretization,
                                                 TimeDiscretization volatilityTimeDiscretization,
                                                 RandomVariable[] volatility,
                                                 RandomVariable[] meanReversion,
                                                 boolean isVolatilityCalibrateable,
                                                 boolean isMeanReversionCalibrateable)

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory,
                                                 TimeDiscretization timeDiscretization,
                                                 TimeDiscretization volatilityTimeDiscretization,
                                                 double[] volatility,
                                                 double[] meanReversion,
                                                 boolean isVolatilityCalibrateable,
                                                 boolean isMeanReversionCalibrateable)

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory,
                                                 TimeDiscretization timeDiscretization,
                                                 TimeDiscretization volatilityTimeDiscretization,
                                                 double[] volatility,
                                                 double[] meanReversion,
                                                 boolean isVolatilityCalibrateable)

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory abstractRandomVariableFactory,
                                                 TimeDiscretization timeDiscretization,
                                                 TimeDiscretization volatilityTimeDiscretization,
                                                 RandomVariable[] volatility,
                                                 RandomVariable[] meanReversion,
                                                 boolean isVolatilityCalibrateable)

Method Detail

getVolatility

public RandomVariable getVolatility(int timeIndex)

Description copied from interface: ShortRateVolatilityModel

Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getVolatility in interface ShortRateVolatilityModel

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \)

getVolatility

public RandomVariable getVolatility(double time)

getMeanReversion

public RandomVariable getMeanReversion(int timeIndex)

Description copied from interface: ShortRateVolatilityModel

Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getMeanReversion in interface ShortRateVolatilityModel

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \)

getParameter

public RandomVariable[] getParameter()

Description copied from class: AbstractShortRateVolatilityModelParametric

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

Specified by:

getParameter in class AbstractShortRateVolatilityModelParametric

Returns:

Parameter vector.

clone

public Object clone()

Specified by:

clone in class AbstractShortRateVolatilityModelParametric

getCloneWithModifiedParameters

public AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)

Description copied from class: AbstractShortRateVolatilityModelParametric

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

Specified by:

getCloneWithModifiedParameters in class AbstractShortRateVolatilityModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getCloneWithModifiedParameters

public AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters(double[] parameters)

Description copied from class: AbstractShortRateVolatilityModelParametric

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

Specified by:

getCloneWithModifiedParameters in class AbstractShortRateVolatilityModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getVolatilityTimeDiscretization

public TimeDiscretization getVolatilityTimeDiscretization()

Returns the time discretization used for the picewise constant volatility and mean reversion.

Returns:

The volatility discretization.