Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface LIBORMarketModel

All Superinterfaces:

IndependentModelParameterProvider, LIBORModel, ProcessModel, TermStructureModel

All Known Implementing Classes:

LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard

public interface LIBORMarketModel
extends LIBORModel

Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
LIBORMarketModel	getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)	Create a new object implementing LIBORMarketModel, using the new covariance model.
LIBORCovarianceModel	getCovarianceModel()	Return the forward rate (LIBOR) covariance model.
double[][][]	getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)	Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).

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

getModelParameters

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

getCloneWithModifiedData, getLIBOR, getLiborPeriod, getLiborPeriodDiscretization, getLiborPeriodIndex, getNumberOfLibors

Methods inherited from interface net.finmath.montecarlo.model.ProcessModel

applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getRandomVariableForConstant, getReferenceDate

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

getAnalyticModel, getDiscountCurve, getForwardDiscountBond, getForwardRate, getForwardRateCurve, getLIBOR

Method Details

getCovarianceModel

LIBORCovarianceModel getCovarianceModel()

Return the forward rate (LIBOR) covariance model.

Returns:

The covariance model.

getCloneWithModifiedCovarianceModel

LIBORMarketModel getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)

Create a new object implementing LIBORMarketModel, using the new covariance model.

Parameters:

calibrationCovarianceModel - The new covariance model.

Returns:

A new object implementing LIBORMarketModel, using the new covariance model.

getIntegratedLIBORCovariance

double[][][] getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)

Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \). The array returned has the parametrization [i][j][k], i.e., integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2].

Parameters:

timeDiscretization - The timeDiscretization used for the integration.

Returns:

The integrated instantaneous log-LIBOR covariance.