Module net.finmath.lib
Package net.finmath.montecarlo.interestrate

Interface LIBORModelMonteCarloSimulationModel

All Superinterfaces:
IndependentModelParameterProvider, Model, MonteCarloSimulationModel, TermStructureMonteCarloSimulationModel
All Known Subinterfaces:
HybridAssetLIBORModelMonteCarloSimulation
All Known Implementing Classes:
HybridAssetLIBORModelMonteCarloSimulationFromModels, LIBORMonteCarloSimulationFromLIBORModel, LIBORMonteCarloSimulationFromTermStructureModel
public interface LIBORModelMonteCarloSimulationModel extends TermStructureMonteCarloSimulationModel
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getLiborPeriodDiscretization

      TimeDiscretization getLiborPeriodDiscretization()
      Returns the libor period discretization as time discretization representing start and end dates of periods.
      Returns:
      Returns the libor period discretization

    • getNumberOfLibors

      int getNumberOfLibors()
      Returns:
      The number of LIBORs in the LIBOR discretization

    • getLiborPeriod

      double getLiborPeriod(int timeIndex)
      Returns the period start of the specified forward rate period.
      Parameters:
      timeIndex - The index corresponding to a given time (interpretation is start of period)
      Returns:
      The period start of the specified forward rate period.

    • 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 tenor time (fixing of the forward rate) for which the index is requested.
      Returns:
      The index corresponding to a given time (interpretation is start of period)

    • getLIBOR

      RandomVariable getLIBOR(int timeIndex, int liborIndex) throws CalculationException
      Return the forward rate for a given simulation time index and a given forward rate index.
      Parameters:
      timeIndex - Simulation time index.
      liborIndex - TenorFromArray time index (index corresponding to the fixing of the forward rate).
      Returns:
      The forward rate as a random variable.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getLIBORs

      RandomVariable[] getLIBORs(int timeIndex) throws CalculationException
      Return the forward rate curve for a given simulation time index.
      Parameters:
      timeIndex - Simulation time index.
      Returns:
      The forward rate curve for a given simulation time index.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.