Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Class LIBORMonteCarloSimulationFromTermStructureModel

java.lang.Object

net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel

All Implemented Interfaces:

Model, IndependentModelParameterProvider, LIBORModelMonteCarloSimulationModel, TermStructureMonteCarloSimulationModel, MonteCarloSimulationModel

public class LIBORMonteCarloSimulationFromTermStructureModel
extends Object
implements LIBORModelMonteCarloSimulationModel

Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.

Version:

0.9

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model, MonteCarloProcess process)	Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.
LIBORMonteCarloSimulationFromTermStructureModel(MonteCarloProcess process)	Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.

Method Summary

Modifier and Type	Method	Description
BrownianMotion	getBrownianMotion()	Returns the Brownian motion used to simulate the curve.
TermStructureMonteCarloSimulationModel	getCloneWithModifiedData(String entityKey, Object dataModified)	Create a clone of this simulation modifying one of its properties (if any).
LIBORModelMonteCarloSimulationModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a clone of this simulation modifying some of its properties (if any).
Object	getCloneWithModifiedSeed(int seed)	Return a clone of this model with a modified Brownian motion using a different seed.
RandomVariable	getLIBOR(double time, double periodStart, double periodEnd)	Return the forward rate for a given simulation time and a given period start and period end.
RandomVariable	getLIBOR(int timeIndex, int liborIndex)	Return the forward rate for a given simulation time index and a given forward rate index.
double	getLiborPeriod(int timeIndex)	Returns the period start of the specified forward rate period.
TimeDiscretization	getLiborPeriodDiscretization()	Returns the libor period discretization as time discretization representing start and end dates of periods.
int	getLiborPeriodIndex(double time)	Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
RandomVariable[]	getLIBORs(int timeIndex)	Return the forward rate curve for a given simulation time index.
TermStructureModel	getModel()	Returns the underlying model.
Map<String,RandomVariable>	getModelParameters()	Returns a map of independent model parameters of this model.
RandomVariable	getMonteCarloWeights(double time)	This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariable	getMonteCarloWeights(int timeIndex)	This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfComponents()
int	getNumberOfFactors()
int	getNumberOfLibors()
int	getNumberOfPaths()	Returns the numberOfPaths.
RandomVariable	getNumeraire(double time)	Return the numeraire at a given time.
MonteCarloProcess	getProcess()
RandomVariable	getRandomVariableForConstant(double value)	Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
LocalDateTime	getReferenceDate()	Returns the model's date corresponding to the time discretization's \( t = 0 \).
double	getTime(int timeIndex)	Returns the time for a given time index.
TimeDiscretization	getTimeDiscretization()	Returns the timeDiscretizationFromArray.
int	getTimeIndex(double time)	Returns the time index for a given time.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel

getLIBOR, getNumeraire

Constructor Detail

LIBORMonteCarloSimulationFromTermStructureModel

public LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model,
                                                       MonteCarloProcess process)

Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.

Parameters:

model - The LIBORMarketModelFromCovarianceModel.

process - The process.

LIBORMonteCarloSimulationFromTermStructureModel

public LIBORMonteCarloSimulationFromTermStructureModel(MonteCarloProcess process)

Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.

Parameters:

process - The process creating the model.

Method Detail

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(int timeIndex)
                                    throws CalculationException

Description copied from interface: MonteCarloSimulationModel

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationModel

Parameters:

timeIndex - Time index at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(double time)
                                    throws CalculationException

Description copied from interface: MonteCarloSimulationModel

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationModel

Parameters:

time - Time at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in interface LIBORModelMonteCarloSimulationModel

Returns:

Returns the numberOfFactors.

getNumberOfPaths

public int getNumberOfPaths()

Description copied from interface: MonteCarloSimulationModel

Returns the numberOfPaths.

Specified by:

getNumberOfPaths in interface MonteCarloSimulationModel

Returns:

Returns the numberOfPaths.

getReferenceDate

public LocalDateTime getReferenceDate()

Description copied from interface: MonteCarloSimulationModel

Returns the model's date corresponding to the time discretization's \( t = 0 \).

Specified by:

getReferenceDate in interface MonteCarloSimulationModel

Returns:

The model's date corresponding to the time discretization's \( t = 0 \).

getTime

public double getTime(int timeIndex)

Description copied from interface: MonteCarloSimulationModel

Returns the time for a given time index.

Specified by:

getTime in interface MonteCarloSimulationModel

Parameters:

timeIndex - Time index

Returns:

Returns the time for a given time index.

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Description copied from interface: MonteCarloSimulationModel

Returns the timeDiscretizationFromArray.

Specified by:

getTimeDiscretization in interface MonteCarloSimulationModel

Returns:

Returns the timeDiscretizationFromArray.

getTimeIndex

public int getTimeIndex(double time)

Description copied from interface: MonteCarloSimulationModel

Returns the time index for a given time.

Specified by:

getTimeIndex in interface MonteCarloSimulationModel

Parameters:

time - The time.

Returns:

Returns the time index for a given time.

getRandomVariableForConstant

public RandomVariable getRandomVariableForConstant(double value)

Description copied from interface: MonteCarloSimulationModel

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.

Specified by:

getRandomVariableForConstant in interface MonteCarloSimulationModel

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

getBrownianMotion

public BrownianMotion getBrownianMotion()

Description copied from interface: LIBORModelMonteCarloSimulationModel

Returns the Brownian motion used to simulate the curve.

Specified by:

getBrownianMotion in interface LIBORModelMonteCarloSimulationModel

Returns:

The Brownian motion used to simulate the curve.

getLIBOR

public RandomVariable getLIBOR(int timeIndex,
                               int liborIndex)
                        throws CalculationException

Description copied from interface: LIBORModelMonteCarloSimulationModel

Return the forward rate for a given simulation time index and a given forward rate index.

Specified by:

getLIBOR in interface LIBORModelMonteCarloSimulationModel

Parameters:

timeIndex - Simulation time index.

liborIndex - TenorFromArray time index (index corresponding to the fixing of the forward rate).

Returns:

The forward rate as a random variable.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getLIBORs

public RandomVariable[] getLIBORs(int timeIndex)

Description copied from interface: LIBORModelMonteCarloSimulationModel

Return the forward rate curve for a given simulation time index.

Specified by:

getLIBORs in interface LIBORModelMonteCarloSimulationModel

Parameters:

timeIndex - Simulation time index.

Returns:

The forward rate curve for a given simulation time index.

getLIBOR

public RandomVariable getLIBOR(double time,
                               double periodStart,
                               double periodEnd)
                        throws CalculationException

Description copied from interface: TermStructureMonteCarloSimulationModel

Return the forward rate for a given simulation time and a given period start and period end.

Specified by:

getLIBOR in interface TermStructureMonteCarloSimulationModel

Parameters:

time - Simulation time

periodStart - Start time of period

periodEnd - End time of period

Returns:

The forward rate as a random variable as seen on simulation time for the specified period.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getLiborPeriod

public double getLiborPeriod(int timeIndex)

Description copied from interface: LIBORModelMonteCarloSimulationModel

Returns the period start of the specified forward rate period.

Specified by:

getLiborPeriod in interface LIBORModelMonteCarloSimulationModel

Parameters:

timeIndex - The index corresponding to a given time (interpretation is start of period)

Returns:

The period start of the specified forward rate period.

getLiborPeriodDiscretization

public TimeDiscretization getLiborPeriodDiscretization()

Description copied from interface: LIBORModelMonteCarloSimulationModel

Returns the libor period discretization as time discretization representing start and end dates of periods.

Specified by:

getLiborPeriodDiscretization in interface LIBORModelMonteCarloSimulationModel

Returns:

Returns the libor period discretization

getLiborPeriodIndex

public int getLiborPeriodIndex(double time)

Description copied from interface: LIBORModelMonteCarloSimulationModel

Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.

Specified by:

getLiborPeriodIndex in interface LIBORModelMonteCarloSimulationModel

Parameters:

time - The tenor time (fixing of the forward rate) for which the index is requested.

Returns:

The index corresponding to a given time (interpretation is start of period)

getNumberOfComponents

public int getNumberOfComponents()

getNumberOfLibors

public int getNumberOfLibors()

Specified by:

getNumberOfLibors in interface LIBORModelMonteCarloSimulationModel

Returns:

The number of LIBORs in the LIBOR discretization

getNumeraire

public RandomVariable getNumeraire(double time)
                            throws CalculationException

Description copied from interface: TermStructureMonteCarloSimulationModel

Return the numeraire at a given time.

Specified by:

getNumeraire in interface TermStructureMonteCarloSimulationModel

Parameters:

time - Time at which the process should be observed

Returns:

The numeraire at the specified time as RandomVariableFromDoubleArray

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getModel

public TermStructureModel getModel()

Description copied from interface: LIBORModelMonteCarloSimulationModel

Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.

Specified by:

getModel in interface LIBORModelMonteCarloSimulationModel

Specified by:

getModel in interface TermStructureMonteCarloSimulationModel

Returns:

The underlying model

getProcess

public MonteCarloProcess getProcess()

Specified by:

getProcess in interface TermStructureMonteCarloSimulationModel

Returns:

The implementation of the process

getCloneWithModifiedSeed

public Object getCloneWithModifiedSeed(int seed)

Description copied from interface: LIBORModelMonteCarloSimulationModel

Return a clone of this model with a modified Brownian motion using a different seed.

Specified by:

getCloneWithModifiedSeed in interface LIBORModelMonteCarloSimulationModel

Parameters:

seed - The seed

Returns:

Clone of this object, but having a different seed.

getCloneWithModifiedData

public LIBORModelMonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
                                                             throws CalculationException

Description copied from interface: MonteCarloSimulationModel

Create a clone of this simulation modifying some of its properties (if any). The properties that should be modified correspond to arguments of constructors. A constructor is then called with where all arguments that are not found in the key value map are being set to this objects values.

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationModel

Parameters:

dataModified - The data which should be changed in the new model. This is a key value may, where the key corresponds to the name of a property in one of the objects constructors.

Returns:

Returns a clone of this object, with some data modified (then it is no longer a clone :-)

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCloneWithModifiedData

public TermStructureMonteCarloSimulationModel getCloneWithModifiedData(String entityKey,
                                                                       Object dataModified)
                                                                throws CalculationException

Create a clone of this simulation modifying one of its properties (if any).

Parameters:

entityKey - The entity to modify.

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, where the specified part of the data is modified data (then it is no longer a clone :-)

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getModelParameters

public Map<String,RandomVariable> getModelParameters()

Description copied from interface: IndependentModelParameterProvider

Returns a map of independent model parameters of this model.

Specified by:

getModelParameters in interface IndependentModelParameterProvider

Returns:

Map of independent model parameters of this model.