Module net.finmath.lib

Package net.finmath.fouriermethod.calibration.models

Class CalibratableVarianceGammaModel

java.lang.Object

net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel

All Implemented Interfaces:

CalibratableProcess

public class CalibratableVarianceGammaModel
extends Object
implements CalibratableProcess

This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm. This class provides clones of herself: in such a way the information concerning constraints is not lost. The method getCharacteristicFunction is then passed to the FFT pricing routine.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
CalibratableVarianceGammaModel(VarianceGammaModelDescriptor descriptor)	Basic constructor where all parameters are to be calibrated.
CalibratableVarianceGammaModel(VarianceGammaModelDescriptor descriptor, ScalarParameterInformation sigmaInfo, ScalarParameterInformation thetaInfo, ScalarParameterInformation nuInfo)

Method Summary

Modifier and Type	Method	Description
CharacteristicFunctionModel	getCharacteristicFunctionModel()	Directly returns the characteristic function.
CalibratableProcess	getCloneForModifiedParameters(double[] parameters)	Calibration substitutes in the model the parameters of the process with calibrated ones.
ModelDescriptor	getModelDescriptor()	Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.
double[]	getParameterLowerBounds()	Extracts parameter lower bounds for the optimizer factory.
double[]	getParameterUpperBounds()	Extracts parameter upper bounds for the optimizer factory.

Methods inherited from class java.lang.Object

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

Constructor Detail

CalibratableVarianceGammaModel

public CalibratableVarianceGammaModel(VarianceGammaModelDescriptor descriptor)

Basic constructor where all parameters are to be calibrated. All parameters are unconstrained.

Parameters:

descriptor - The model descriptor for the Variance Gamma model.

CalibratableVarianceGammaModel

public CalibratableVarianceGammaModel(VarianceGammaModelDescriptor descriptor,
                                      ScalarParameterInformation sigmaInfo,
                                      ScalarParameterInformation thetaInfo,
                                      ScalarParameterInformation nuInfo)

Parameters:

descriptor - The model descriptor for the Variance Gamma model.

sigmaInfo - A constraint for the parameter sigma.

thetaInfo - A constraint for the parameter theta.

nuInfo - A constraint for the parameter nu.

Method Detail

getCloneForModifiedParameters

public CalibratableProcess getCloneForModifiedParameters(double[] parameters)

Description copied from interface: CalibratableProcess

Calibration substitutes in the model the parameters of the process with calibrated ones. Market observables such as the initial stock value should not be changed.

Specified by:

getCloneForModifiedParameters in interface CalibratableProcess

Parameters:

parameters - The new parameters.

Returns:

a clone of the original model with modified parameters.

getModelDescriptor

public ModelDescriptor getModelDescriptor()

Description copied from interface: CalibratableProcess

Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.

Specified by:

getModelDescriptor in interface CalibratableProcess

Returns:

The descriptor for this model.

getCharacteristicFunctionModel

public CharacteristicFunctionModel getCharacteristicFunctionModel()

Description copied from interface: CalibratableProcess

Directly returns the characteristic function.

Specified by:

getCharacteristicFunctionModel in interface CalibratableProcess

Returns:

the characteristic function

getParameterLowerBounds

public double[] getParameterLowerBounds()

Description copied from interface: CalibratableProcess

Extracts parameter lower bounds for the optimizer factory.

Specified by:

getParameterLowerBounds in interface CalibratableProcess

Returns:

parameter lower bounds for the optimizer factory.

getParameterUpperBounds

public double[] getParameterUpperBounds()

Description copied from interface: CalibratableProcess

Extracts parameter upper bounds for the optimizer factory.

Specified by:

getParameterUpperBounds in interface CalibratableProcess

Returns:

parameter upper bounds for the optimizer factory.