Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models.covariance

Class TermStructureCovarianceModelParametric

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric

All Implemented Interfaces:

TermStructureCovarianceModel, TermStructureFactorLoadingsModel, TermStructureFactorLoadingsModelParametric, TermStructureTenorTimeScaling

Direct Known Subclasses:

TermStructCovarianceModelFromLIBORCovarianceModelParametric

public abstract class TermStructureCovarianceModelParametric
extends Object
implements TermStructureCovarianceModel, TermStructureTenorTimeScaling, TermStructureFactorLoadingsModelParametric

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
TermStructureCovarianceModelParametric()

Method Summary

Modifier and Type	Method	Description
abstract TermStructureCovarianceModelParametric	clone()
TermStructureCovarianceModelParametric	getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Return a calibrated clone of the covariance model.
abstract TermStructureCovarianceModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
abstract double[]	getParameter()	Get the parameters of determining this parametric covariance model.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModel

getFactorLoading, getNumberOfFactors

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScaling

getScaledTenorTime

Constructor Detail

TermStructureCovarianceModelParametric

public TermStructureCovarianceModelParametric()

Method Detail

getParameter

public abstract double[] getParameter()

Get the parameters of determining this parametric covariance model. The parameters are usually free parameters which may be used in calibration.

Specified by:

getParameter in interface TermStructureFactorLoadingsModelParametric

Specified by:

getParameter in interface TermStructureTenorTimeScaling

Returns:

Parameter vector.

clone

public abstract TermStructureCovarianceModelParametric clone()

Specified by:

clone in interface TermStructureTenorTimeScaling

Overrides:

clone in class Object

Returns:

A clone of this object.

getCloneWithModifiedParameters

public abstract TermStructureCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters)

Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.

Specified by:

getCloneWithModifiedParameters in interface TermStructureFactorLoadingsModelParametric

Specified by:

getCloneWithModifiedParameters in interface TermStructureTenorTimeScaling

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

getCloneCalibrated

public TermStructureCovarianceModelParametric getCloneCalibrated(TermStructureModel calibrationModel,
                                                                 CalibrationProduct[] calibrationProducts,
                                                                 Map<String,Object> calibrationParameters)
                                                          throws CalculationException

Return a calibrated clone of the covariance model.

Parameters:

calibrationModel - Model to be used for the calibration.

calibrationProducts - Vector of calibration products.

calibrationParameters - Property map of calibration parameters.

Returns:

A clone of this model, using the calibrated parameters.

Throws:

CalculationException - Exception indicating failure in calibration.