Interface LIBORModel

All Superinterfaces:

IndependentModelParameterProvider, ProcessModel, TermStructureModel

All Known Subinterfaces:

LIBORMarketModel

All Known Implementing Classes:

HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard

public interface LIBORModel
extends TermStructureModel, IndependentModelParameterProvider

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
LIBORModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a new object implementing LIBORModel, using the new data.
RandomVariable	getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)	Return the forward rate at a given timeIndex and for a given liborIndex.
double	getLiborPeriod(int timeIndex)	The period start corresponding to a given forward rate discretization index.
TimeDiscretization	getLiborPeriodDiscretization()	The tenor time discretization of the forward rate curve.
int	getLiborPeriodIndex(double time)	Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
int	getNumberOfLibors()	Get the number of LIBORs in the LIBOR discretization.

Methods inherited from interface IndependentModelParameterProvider

getModelParameters

Methods inherited from interface ProcessModel

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

Methods inherited from interface TermStructureModel

getAnalyticModel, getDiscountCurve, getForwardDiscountBond, getForwardRate, getForwardRateCurve, getLIBOR

Method Details

getLIBOR

RandomVariable getLIBOR(MonteCarloProcess process,
 int timeIndex,
 int liborIndex)
                 throws CalculationException

Return the forward rate at a given timeIndex and for a given liborIndex.

Parameters:

process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.

timeIndex - The time index (associated with Process.getTimeDiscretization().

liborIndex - The forward rate index (associated with getLiborPeriodDiscretization().

Returns:

The forward rate.

Throws:

CalculationException - Thrown if calculation failed.

getLiborPeriodDiscretization

TimeDiscretization getLiborPeriodDiscretization()

The tenor time discretization of the forward rate curve.

Returns:

The tenor time discretization of the forward rate curve.

getNumberOfLibors

int getNumberOfLibors()

Get the number of LIBORs in the LIBOR discretization.

Returns:

The number of LIBORs in the LIBOR discretization

getLiborPeriod

double getLiborPeriod(int timeIndex)

The period start corresponding to a given forward rate discretization index.

Parameters:

timeIndex - The index corresponding to a given time (interpretation is start of period)

Returns:

The period start corresponding to a given forward rate discretization index.

getLiborPeriodIndex

int getLiborPeriodIndex(double time)

Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.

Parameters:

time - The period start.

Returns:

The index corresponding to a given time (interpretation is start of period)

getCloneWithModifiedData

LIBORModel getCloneWithModifiedData(Map<String,Object> dataModified)
                             throws CalculationException

Create a new object implementing LIBORModel, using the new data.

Specified by:

getCloneWithModifiedData in interface ProcessModel

Specified by:

getCloneWithModifiedData in interface TermStructureModel

Parameters:

dataModified - A map with values to be used in constructions (keys are identical to parameter names of the constructors).

Returns:

A new object implementing LIBORModel, using the new data.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.