Module net.finmath.lib
Class TermStructureCovarianceModelParametric
- java.lang.Object
-
- net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
-
- All Implemented Interfaces:
TermStructureCovarianceModelInterface
,TermStructureFactorLoadingsModelInterface
,TermStructureFactorLoadingsModelParametricInterface
,TermStructureTenorTimeScalingInterface
- Direct Known Subclasses:
TermStructCovarianceModelFromLIBORCovarianceModelParametric
public abstract class TermStructureCovarianceModelParametric extends Object implements TermStructureCovarianceModelInterface, TermStructureTenorTimeScalingInterface, TermStructureFactorLoadingsModelParametricInterface
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.- Version:
- 1.0
- Author:
- Christian Fries
-
-
Constructor Summary
Constructors Constructor Description TermStructureCovarianceModelParametric()
-
Method Summary
All Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description abstract TermStructureCovarianceModelParametric
clone()
TermStructureCovarianceModelParametric
getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)
Return a calibrated clone of the covariance model.abstract TermStructureCovarianceModelParametric
getCloneWithModifiedParameters(double[] parameters)
Return an instance of this model using a new set of parameters.abstract double[]
getParameter()
Get the parameters of determining this parametric covariance model.-
Methods inherited from class java.lang.Object
equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
-
Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelInterface
getFactorLoading, getNumberOfFactors
-
Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
getScaledTenorTime
-
-
-
-
Method Detail
-
getParameter
public abstract double[] getParameter()
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 interfaceTermStructureFactorLoadingsModelParametricInterface
- Specified by:
getParameter
in interfaceTermStructureTenorTimeScalingInterface
- Returns:
- Parameter vector.
-
clone
public abstract TermStructureCovarianceModelParametric clone()
- Specified by:
clone
in interfaceTermStructureTenorTimeScalingInterface
- Overrides:
clone
in classObject
- Returns:
- A clone of this object.
-
getCloneWithModifiedParameters
public abstract TermStructureCovarianceModelParametric 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 interfaceTermStructureFactorLoadingsModelParametricInterface
- Specified by:
getCloneWithModifiedParameters
in interfaceTermStructureTenorTimeScalingInterface
- Parameters:
parameters
- The new set of parameters.- Returns:
- An instance of AbstractLIBORCovarianceModelParametric with modified parameters.
-
getCloneCalibrated
public TermStructureCovarianceModelParametric getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) throws CalculationException
Return a calibrated clone of the covariance model.- Parameters:
calibrationModel
- Model to be used for the calibration.calibrationProducts
- Vector of calibration products.calibrationParameters
- Property map of calibration parameters.- Returns:
- A clone of this model, using the calibrated parameters.
- Throws:
CalculationException
- Exception indicating failure in calibration.
-
-