- All Superinterfaces:
IndependentModelParameterProvider
,LIBORModel
,ProcessModel
,TermStructureModel
- All Known Implementing Classes:
LIBORMarketModelFromCovarianceModel
,LIBORMarketModelStandard
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 TypeMethodDescriptiongetCloneWithModifiedCovarianceModel
(LIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModel, using the new covariance model.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
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Method Details
-
getCovarianceModel
LIBORCovarianceModel getCovarianceModel()Return the forward rate (LIBOR) covariance model.- Returns:
- The covariance model.
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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
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.
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