Class MertonModelDescriptor

java.lang.Object
net.finmath.modelling.descriptor.MertonModelDescriptor
All Implemented Interfaces:
AssetModelDescriptor, ModelDescriptor

public class MertonModelDescriptor extends Object implements AssetModelDescriptor
Descriptor for the Merton Jump Diffusion Model. This provides communication between the Fourier transform framework for calibration and the Monte Carlo engine.
Author:
Alessandro Gnoatto
  • Constructor Details

  • Method Details

    • version

      public Integer version()
      Description copied from interface: ModelDescriptor
      Return the version of the model description.
      Specified by:
      version in interface ModelDescriptor
      Returns:
      Version number.
    • name

      public String name()
      Description copied from interface: ModelDescriptor
      Return the name of the model represented by this descriptor.
      Specified by:
      name in interface ModelDescriptor
      Returns:
      Name of the model.
    • getReferenceDate

      public LocalDate getReferenceDate()
      Returns:
      the referenceDate
    • getInitialValue

      public Double getInitialValue()
      Returns:
      the initialValue
    • getDiscountCurveForForwardRate

      public DiscountCurve getDiscountCurveForForwardRate()
      Returns:
      the discountCurveForForwardRate
    • getDiscountCurveForDiscountRate

      public DiscountCurve getDiscountCurveForDiscountRate()
      Returns:
      the discountCurveForDiscountRate
    • getVolatility

      public Double getVolatility()
      Returns:
      the volatility
    • getJumpIntensity

      public Double getJumpIntensity()
      Returns:
      the jumpIntensity
    • getJumpSizeMean

      public Double getJumpSizeMean()
      Returns:
      the jumpSizeMean
    • getJumpSizeStdDev

      public Double getJumpSizeStdDev()
      Returns:
      the jumpSizeStdDev