Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate

Class ConvexityAdjustedModel

java.lang.Object

net.finmath.montecarlo.hybridassetinterestrate.ConvexityAdjustedModel

public class ConvexityAdjustedModel
extends Object

A general convexity adjustment for models.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
ConvexityAdjustedModel(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,Integer> factorLoadingMap)

Method Summary

Modifier and Type	Method	Description
RandomVariable[]	getDrift(RandomVariable[] driftUnadjusted, MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)

Methods inherited from class java.lang.Object

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

Constructor Detail

ConvexityAdjustedModel

public ConvexityAdjustedModel(ProcessModel baseModel,
                              MonteCarloProcess measureTransformModel,
                              Map<Integer,Integer> factorLoadingMap)

Method Detail

getDrift

public RandomVariable[] getDrift(RandomVariable[] driftUnadjusted,
                                 MonteCarloProcess process,
                                 int timeIndex,
                                 RandomVariable[] realizationAtTimeIndex,
                                 RandomVariable[] realizationPredictor)