Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Class TermStructureMonteCarloSimulationFromTermStructureModel

java.lang.Object

net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationFromTermStructureModel

All Implemented Interfaces:

Model, IndependentModelParameterProvider, TermStructureMonteCarloSimulationModel, MonteCarloSimulationModel

public class TermStructureMonteCarloSimulationFromTermStructureModel
extends Object
implements TermStructureMonteCarloSimulationModel

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

Method Summary

Modifier and Type	Method	Description
TermStructureMonteCarloSimulationModel	getCloneWithModifiedData(String entityKey, Object dataModified)	Create a clone of this simulation modifying one of its properties (if any).
TermStructureMonteCarloSimulationModel	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	getForwardRate(double time, double periodStart, double periodEnd)	Return the forward rate for a given simulation time and a given period start and period end.
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	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

getBrownianMotion, getForwardRate, getLIBOR, getLIBOR, getNumeraire

Constructor Detail

TermStructureMonteCarloSimulationFromTermStructureModel

public TermStructureMonteCarloSimulationFromTermStructureModel(TermStructureModel model,
                                                               MonteCarloProcess process)

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

Parameters:

model - The LIBORMarketModelFromCovarianceModel.

process - The process.

TermStructureMonteCarloSimulationFromTermStructureModel

public TermStructureMonteCarloSimulationFromTermStructureModel(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 TermStructureMonteCarloSimulationModel

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.

getForwardRate

public RandomVariable getForwardRate(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:

getForwardRate 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.

getNumberOfComponents

public int getNumberOfComponents()

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: TermStructureMonteCarloSimulationModel

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 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: TermStructureMonteCarloSimulationModel

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

Specified by:

getCloneWithModifiedSeed in interface TermStructureMonteCarloSimulationModel

Parameters:

seed - The seed

Returns:

Clone of this object, but having a different seed.

getCloneWithModifiedData

public TermStructureMonteCarloSimulationModel 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.