Module net.finmath.lib

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

Class TermStructCovarianceModelFromLIBORCovarianceModelParametric

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric

net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric

All Implemented Interfaces:

TermStructureCovarianceModelInterface, TermStructureFactorLoadingsModelInterface, TermStructureFactorLoadingsModelParametricInterface, TermStructureTenorTimeScalingInterface

public class TermStructCovarianceModelFromLIBORCovarianceModelParametric
extends TermStructureCovarianceModelParametric

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScalingInterface tenorTimeScalingModel, AbstractLIBORCovarianceModelParametric covarianceModel)

Method Summary

Modifier and Type	Method	Description
TermStructureCovarianceModelParametric	clone()
TermStructureCovarianceModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
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()
double[]	getParameter()	Get the parameters of determining this parametric covariance model.
double	getScaledTenorTime(double periodStart, double periodEnd)

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

getCloneCalibrated

Methods inherited from class java.lang.Object

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

Constructor Detail

TermStructCovarianceModelFromLIBORCovarianceModelParametric

public TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScalingInterface tenorTimeScalingModel,
                                                                   AbstractLIBORCovarianceModelParametric covarianceModel)

Parameters:

tenorTimeScalingModel - The model used for the tenor time re-scaling (providing the scaling coefficients).

covarianceModel - The model implementing AbstractLIBORCovarianceModelParametric.

Method Detail

getScaledTenorTime

public double getScaledTenorTime(double periodStart,
                                 double periodEnd)

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 .

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()

Returns:

the numberOfFactors

getParameter

public double[] getParameter()

Description copied from class: TermStructureCovarianceModelParametric

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

Specified by:

getParameter in interface TermStructureFactorLoadingsModelParametricInterface

Specified by:

getParameter in interface TermStructureTenorTimeScalingInterface

Specified by:

getParameter in class TermStructureCovarianceModelParametric

Returns:

Parameter vector.

getCloneWithModifiedParameters

public TermStructureCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters)

Description copied from class: TermStructureCovarianceModelParametric

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 TermStructureFactorLoadingsModelParametricInterface

Specified by:

getCloneWithModifiedParameters in interface TermStructureTenorTimeScalingInterface

Specified by:

getCloneWithModifiedParameters in class TermStructureCovarianceModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

clone

public TermStructureCovarianceModelParametric clone()

Specified by:

clone in interface TermStructureTenorTimeScalingInterface

Specified by:

clone in class TermStructureCovarianceModelParametric

Returns:

A clone of this object.