Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface LIBORModelMonteCarloSimulationModel

All Superinterfaces:

IndependentModelParameterProvider, Model, MonteCarloSimulationModel, TermStructureMonteCarloSimulationModel

All Known Subinterfaces:

HybridAssetLIBORModelMonteCarloSimulation

All Known Implementing Classes:

HybridAssetLIBORModelMonteCarloSimulationFromModels, LIBORMonteCarloSimulationFromLIBORModel, LIBORMonteCarloSimulationFromTermStructureModel

public interface LIBORModelMonteCarloSimulationModel
extends TermStructureMonteCarloSimulationModel

Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
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.
int	getNumberOfLibors()

Methods inherited from interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider

getModelParameters

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

getCloneWithModifiedData, getMonteCarloWeights, getMonteCarloWeights, getNumberOfPaths, getRandomVariableForConstant, getReferenceDate, getTime, getTimeDiscretization, getTimeIndex

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

getBrownianMotion, getCloneWithModifiedSeed, getForwardRate, getForwardRate, getLIBOR, getLIBOR, getModel, getNumberOfFactors, getNumeraire, getNumeraire, getProcess

Method Detail

getLiborPeriodDiscretization

TimeDiscretization getLiborPeriodDiscretization()

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

Returns:

Returns the libor period discretization

getNumberOfLibors

int getNumberOfLibors()

Returns:

The number of LIBORs in the LIBOR discretization

getLiborPeriod

double getLiborPeriod(int timeIndex)

Returns the period start of the specified forward rate period.

Parameters:

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

Returns:

The period start of the specified forward rate period.

getLiborPeriodIndex

int getLiborPeriodIndex(double time)

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.

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)

getLIBOR

RandomVariable getLIBOR(int timeIndex,
                        int liborIndex)
                 throws CalculationException

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

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

RandomVariable[] getLIBORs(int timeIndex)
                    throws CalculationException

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

Parameters:

timeIndex - Simulation time index.

Returns:

The forward rate curve for a given simulation time index.

Throws:

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