Module net.finmath.lib

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

Class TermStructCovarianceModelFromLIBORCovarianceModel

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel

All Implemented Interfaces:

TermStructureFactorLoadingsModelInterface

public class TermStructCovarianceModelFromLIBORCovarianceModel
extends Object
implements TermStructureFactorLoadingsModelInterface

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel)	Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.

Method Summary

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()

Methods inherited from class java.lang.Object

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

Constructor Detail

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.

Method Detail

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 f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,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 in getTimeDiscretization 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 in getTimeDiscretization such that T__j ≤ T .

Specified by:

getFactorLoading in interface TermStructureFactorLoadingsModelInterface

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 realizationAtTimeIndex

realizationAtTimeIndex - 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 f_i(t).

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in interface TermStructureFactorLoadingsModelInterface

Returns:

the numberOfFactors