Module net.finmath.lib
Class TermStructCovarianceModelFromLIBORCovarianceModel
- java.lang.Object
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- net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel
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- All Implemented Interfaces:
TermStructureFactorLoadingsModelInterface
public class TermStructCovarianceModelFromLIBORCovarianceModel extends Object implements TermStructureFactorLoadingsModelInterface
- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel)
Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable[]
getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
Return the factor loading for a given time and a term structure period.int
getNumberOfFactors()
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Constructor Detail
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TermStructCovarianceModelFromLIBORCovarianceModel
public TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel)
Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.- Parameters:
covarianceModel
- The model implementing AbstractLIBORCovarianceModelParametric.
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Method Detail
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getFactorLoading
public RandomVariable[] getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
Description copied from interface:TermStructureFactorLoadingsModelInterface
Return the factor loading for a given time and a term structure period. The factor loading is the vector fi such that the scalar product
fjfk = fj,1fk,1 + ... + fj,mfk,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t_i such that t_i is the largest point ingetTimeDiscretization
such that t_i ≤ t . The component here, it given via a double T which may be associated with the LIBOR fixing date. With respect to component time T, this method uses a piece wise constant interpolation, i.e., it calculates T_j such that T_j is the largest point ingetTimeDiscretization
such that T_j ≤ T .- Specified by:
getFactorLoading
in interfaceTermStructureFactorLoadingsModelInterface
- Parameters:
time
- The time t at which factor loading is requested.periodStart
- Period start of the component.periodEnd
- Period end of the component.periodDiscretization
- The period discretization associated with the realizationAtTimeIndexrealizationAtTimeIndex
- The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).model
- The term structure model.- Returns:
- The factor loading fi(t).
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getNumberOfFactors
public int getNumberOfFactors()
- Specified by:
getNumberOfFactors
in interfaceTermStructureFactorLoadingsModelInterface
- Returns:
- the numberOfFactors
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