Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface TermStructureModel

All Superinterfaces:

ProcessModel

All Known Subinterfaces:

LIBORMarketModel, LIBORModel

All Known Implementing Classes:

HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard, LIBORMarketModelWithTenorRefinement

public interface TermStructureModel
extends ProcessModel

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
AnalyticModel	getAnalyticModel()	Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
TermStructureModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a new object implementing TermStructureModel, using the new data.
DiscountCurve	getDiscountCurve()	Return the discount curve associated the forwards.
default RandomVariable	getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)	Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \).
RandomVariable	getForwardRate(MonteCarloProcess process, double time, double periodStart, double periodEnd)	Returns the time \( t \) forward rate on the models forward curve.
ForwardCurve	getForwardRateCurve()	Return the initial forward rate curve.
default RandomVariable	getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)	Returns the time \( t \) forward rate on the models forward curve.

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

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

Method Details

getForwardRate

RandomVariable getForwardRate(MonteCarloProcess process,
 double time,
 double periodStart,
 double periodEnd)
                       throws CalculationException

Returns the time \( t \) forward rate on the models forward curve. Note: It is guaranteed that the random variable returned by this method is \( \mathcal{F}_{t} ) \)-measurable.

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.

time - The evaluation time.

periodStart - The period start of the forward rate.

periodEnd - The period end of the forward rate.

Returns:

The forward rate.

Throws:

CalculationException - Thrown if model fails to calculate the random variable.

getForwardDiscountBond

default RandomVariable getForwardDiscountBond(MonteCarloProcess process,
 double time,
 double maturity)
                                       throws CalculationException

Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \). Note: It is guaranteed that the random variabble returned by this method is \( \mathcal{F}_{t} ) \)-measurable.

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.

time - The evaluation time.

maturity - The maturity.

Returns:

The forward bond P(T;t).

Throws:

CalculationException - Thrown if model fails to calculate the random variable.

getAnalyticModel

AnalyticModel getAnalyticModel()

Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.

Returns:

The associated analytic model.

getDiscountCurve

DiscountCurve getDiscountCurve()

Return the discount curve associated the forwards.

Returns:

the discount curve associated the forwards.

getForwardRateCurve

ForwardCurve getForwardRateCurve()

Return the initial forward rate curve.

Returns:

the forward rate curve

getCloneWithModifiedData

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

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

Specified by:

getCloneWithModifiedData in interface ProcessModel

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 TermStructureModel, using the new data.

Throws:

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

getLIBOR

default RandomVariable getLIBOR(MonteCarloProcess process,
 double time,
 double periodStart,
 double periodEnd)
                         throws CalculationException

Returns the time \( t \) forward rate on the models forward curve. Note: It is guaranteed that the random variable returned by this method is \( \mathcal{F}_{t} ) \)-measurable.

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.

time - The evaluation time.

periodStart - The period start of the forward rate.

periodEnd - The period end of the forward rate.

Returns:

The forward rate.

Throws:

CalculationException - Thrown if model fails to calculate the random variable.