Package net.finmath.montecarlo.interestrate.simple

Class SimpleLIBORMarketModelWithWMC

java.lang.Object

net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

net.finmath.montecarlo.interestrate.simple.AbstractLIBORMarketModel

net.finmath.montecarlo.interestrate.simple.SimpleLIBORMarketModel

net.finmath.montecarlo.interestrate.simple.SimpleLIBORMarketModelWithWMC

All Implemented Interfaces:

Model, IndependentModelParameterProvider, LIBORModelMonteCarloSimulationModel, TermStructureMonteCarloSimulationModel, MonteCarloSimulationModel

public class SimpleLIBORMarketModelWithWMC
extends SimpleLIBORMarketModel

Implements a proxy scheme WMC extension of a libor market model. This implementation uses zero drift in the proxy scheme (for demonstration).

Since:

finmath-lib 4.1.0

Version:

1.0

Author:

Christian Fries

Date:

25.05.2006

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.montecarlo.interestrate.simple.SimpleLIBORMarketModel

SimpleLIBORMarketModel.Driftapproximation, SimpleLIBORMarketModel.Measure

Nested classes/interfaces inherited from class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

LogNormalProcess.Scheme

Constructor Summary

Constructors

Constructor	Description
SimpleLIBORMarketModelWithWMC(TimeDiscretizationFromArray timeDiscretizationFromArray, TimeDiscretizationFromArray liborPeriodDiscretization, int numberOfPaths, double[] liborInitialValues, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel, SimpleLIBORMarketModel targetScheme)

Method Summary

Modifier and Type	Method	Description
RandomVariable	getDrift(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)	This scheme has zero drift!
RandomVariable	getMonteCarloWeights(int timeIndex)	This method returns the weights of a weighted Monte Carlo method (the probability density).

Methods inherited from class net.finmath.montecarlo.interestrate.simple.SimpleLIBORMarketModel

getCloneWithModifiedData, getCloneWithModifiedSeed, getCovarianceModel, getDrift, getDriftAproximationMethod, getFactorLoading, getInitialValue, getInitialValue, getLMMTerminasureDriftEuler, getMeasure, getModel, getModelParameters, getNumeraire, getProcess, getRandomVariableForConstant, setCovarianceModel, setDriftAproximationMethod, setMeasure

Methods inherited from class net.finmath.montecarlo.interestrate.simple.AbstractLIBORMarketModel

getForwardRate, getLIBOR, getLiborPeriod, getLiborPeriodDiscretization, getLiborPeriodIndex, getLIBORs, getMonteCarloWeights, getNumberOfLibors, getNumeraire, getReferenceDate

Methods inherited from class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

getBrownianMotion, getNumberOfComponents, getNumberOfFactors, getNumberOfPaths, getProcessValue, getProcessValue, getScheme, getTime, getTimeDiscretization, getTimeIndex, setBrownianMotion, setScheme

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.MonteCarloSimulationModel

getNumberOfPaths, getTime, getTimeDiscretization, getTimeIndex

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

getBrownianMotion, getForwardRate, getLIBOR, getLIBOR, getNumberOfFactors, getNumeraire

Constructor Details

SimpleLIBORMarketModelWithWMC

public SimpleLIBORMarketModelWithWMC(TimeDiscretizationFromArray timeDiscretizationFromArray,
 TimeDiscretizationFromArray liborPeriodDiscretization,
 int numberOfPaths,
 double[] liborInitialValues,
 LIBORVolatilityModel volatilityModel,
 LIBORCorrelationModel correlationModel,
 SimpleLIBORMarketModel targetScheme)

Parameters:

timeDiscretizationFromArray - The time discretization of the process (simulation time).

liborPeriodDiscretization - The discretization of the interest rate curve into forward rates (tenor structure).

numberOfPaths - The number of paths.

liborInitialValues - The initial values for the forward rates.

volatilityModel - The volatility model to use.

correlationModel - The correlation model to use.

targetScheme - The model towards which the Monte-Carlo probabilites should be correted

Method Details

getDrift

public RandomVariable getDrift(int timeIndex,
 int component,
 RandomVariable[] realizationAtTimeIndex,
 RandomVariable[] realizationPredictor)

This scheme has zero drift!

Overrides:

getDrift in class SimpleLIBORMarketModel

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(int timeIndex)

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

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationModel

Overrides:

getMonteCarloWeights in class LogNormalProcess

Parameters:

timeIndex - Time index at which the process should be observed

Returns:

A vector of positive weights which sums up to one