Module net.finmath.lib

Package net.finmath.fouriermethod.models

Class VarianceGammaModel

java.lang.Object

net.finmath.fouriermethod.models.VarianceGammaModel

All Implemented Interfaces:

CharacteristicFunctionModel, Model

public class VarianceGammaModel
extends Object
implements CharacteristicFunctionModel

Implements the characteristic function of a Variance Gamma model. The Variange Gamma model is constructed from a subordinated Brownian motion, where the subordinator is given by a Gamma process.

Version:

1.0

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
VarianceGammaModel(double initialValue, double riskFreeRate, double discountRate, double sigma, double theta, double nu)	Construct a Variance Gamma model with constant rates for the forward price (i.e.
VarianceGammaModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)	Construct a Variance Gamma model with discount curves for the forward price (i.e.

Method Summary

Modifier and Type	Method	Description
CharacteristicFunction	apply(double time)	Returns the characteristic function of X(t), where X is this stochastic process.
DiscountCurve	getDiscountCurveForDiscountRate()
DiscountCurve	getDiscountCurveForForwardRate()
double	getDiscountRate()
double	getInitialValue()
double	getNu()
LocalDate	getReferenceDate()
double	getRiskFreeRate()
double	getSigma()
double	getTheta()
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

VarianceGammaModel

public VarianceGammaModel(LocalDate referenceDate,
                          double initialValue,
                          DiscountCurve discountCurveForForwardRate,
                          DiscountCurve discountCurveForDiscountRate,
                          double sigma,
                          double theta,
                          double nu)

Construct a Variance Gamma model with discount curves for the forward price (i.e. repo rate minus dividend yield) and for discounting.

Parameters:

referenceDate - The date representing the time t = 0. All other double times are following FloatingpointDate.

initialValue - \( S_{0} \) - spot - initial value of S

discountCurveForForwardRate - The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free rate

discountCurveForDiscountRate - The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount rate

sigma - The parameter \( \sigma \)

theta - The parameter \( \theta \)

nu - The parameter \( \nu \)

VarianceGammaModel

public VarianceGammaModel(double initialValue,
                          double riskFreeRate,
                          double discountRate,
                          double sigma,
                          double theta,
                          double nu)

Construct a Variance Gamma model with constant rates for the forward price (i.e. repo rate minus dividend yield) and for the discount curve.

Parameters:

initialValue - \( S_{0} \) - spot - initial value of S

riskFreeRate - The constant risk free rate for the drift (repo rate of the underlying).

sigma - The parameter \( \sigma \)

theta - The parameter \( \theta \)

nu - The parameter \( \nu \)

discountRate - The constant rate used for discounting.

Method Detail

apply

public CharacteristicFunction apply(double time)

Description copied from interface: CharacteristicFunctionModel

Returns the characteristic function of X(t), where X is this stochastic process.

Specified by:

apply in interface CharacteristicFunctionModel

Parameters:

time - The time at which the stochastic process is observed.

Returns:

The characteristic function of X(t).

getReferenceDate

public LocalDate getReferenceDate()

Returns:

the referenceDate: The date corresponding to t = 0 (when dealing with FloatingpointDates.

getInitialValue

public double getInitialValue()

Returns:

the initialValue

getDiscountCurveForForwardRate

public DiscountCurve getDiscountCurveForForwardRate()

Returns:

the discountCurveForForwardRate

getRiskFreeRate

public double getRiskFreeRate()

Returns:

the riskFreeRate

getDiscountCurveForDiscountRate

public DiscountCurve getDiscountCurveForDiscountRate()

Returns:

the discountCurveForDiscountRate

getDiscountRate

public double getDiscountRate()

Returns:

the discountRate

getSigma

public double getSigma()

Returns:

the sigma

getTheta

public double getTheta()

Returns:

the theta

getNu

public double getNu()

Returns:

the nu

toString

public String toString()

Overrides:

toString in class Object