Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models.covariance

Class AbstractLIBORCovarianceModel

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel

All Implemented Interfaces:

Serializable, LIBORCovarianceModel

Direct Known Subclasses:

AbstractLIBORCovarianceModelParametric

public abstract class AbstractLIBORCovarianceModel
extends Object
implements Serializable, LIBORCovarianceModel

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
AbstractLIBORCovarianceModel(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)	Constructor consuming time discretizations, which are handled by the super class.

Method Summary

Modifier and Type	Method	Description
abstract AbstractLIBORCovarianceModelParametric	getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
RandomVariable	getCovariance(double time, int component1, int component2, RandomVariable[] realizationAtTimeIndex)	Returns the instantaneous covariance calculated from factor loadings.
RandomVariable	getCovariance(int timeIndex, int component1, int component2, RandomVariable[] realizationAtTimeIndex)	Returns the instantaneous covariance calculated from factor loadings.
RandomVariable[]	getFactorLoading(double time, double component, RandomVariable[] realizationAtTimeIndex)	Return the factor loading for a given time and a given component.
RandomVariable[]	getFactorLoading(double time, int component, RandomVariable[] realizationAtTimeIndex)	Return the factor loading for a given time and component index.
abstract RandomVariable[]	getFactorLoading(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)	Return the factor loading for a given time index and component index.
abstract RandomVariable	getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex)	Returns the pseudo inverse of the factor matrix.
TimeDiscretization	getLiborPeriodDiscretization()	The forward rate time discretization associated with this model (defines the components).
int	getNumberOfFactors()
TimeDiscretization	getTimeDiscretization()	The simulation time discretization associated with this model.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

AbstractLIBORCovarianceModel

public AbstractLIBORCovarianceModel(TimeDiscretization timeDiscretization,
 TimeDiscretization liborPeriodDiscretization,
 int numberOfFactors)

Constructor consuming time discretizations, which are handled by the super class.

Parameters:

timeDiscretization - The vector of simulation time discretization points.

liborPeriodDiscretization - The vector of tenor discretization points.

numberOfFactors - The number of factors to use (a factor reduction is performed)

Method Details

getFactorLoading

public RandomVariable[] getFactorLoading(double time,
 double component,
 RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Return the factor loading for a given time and a given component. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t__i such that t__i is the largest point in getTimeDiscretization such that t__i ≤ t . The component here, it given via a double T which may be associated with the LIBOR fixing date. With respect to component time T, this method uses a piece wise constant interpolation, i.e., it calculates T__j such that T__j is the largest point in getTimeDiscretization such that T__j ≤ T .

Specified by:

getFactorLoading in interface LIBORCovarianceModel

Parameters:

time - The time t at which factor loading is requested.

component - The component time (as a double associated with the fixing of the forward rate) T_i.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoading

public RandomVariable[] getFactorLoading(double time,
 int component,
 RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Return the factor loading for a given time and component index. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t__i such that t__i is the largest point in getTimeDiscretization such that t__i ≤ t .

Specified by:

getFactorLoading in interface LIBORCovarianceModel

Parameters:

time - The time t at which factor loading is requested.

component - The index of the component i. Note that this class may have its own LIBOR time discretization and that this index refers to this discretization.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoading

public abstract RandomVariable[] getFactorLoading(int timeIndex,
 int component,
 RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Return the factor loading for a given time index and component index. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m
is the instantaneous covariance of the component j and k.

Specified by:

getFactorLoading in interface LIBORCovarianceModel

Parameters:

timeIndex - The time index at which factor loading is requested.

component - The index of the component i.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoadingPseudoInverse

public abstract RandomVariable getFactorLoadingPseudoInverse(int timeIndex,
 int component,
 int factor,
 RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Returns the pseudo inverse of the factor matrix.

Specified by:

getFactorLoadingPseudoInverse in interface LIBORCovarianceModel

Parameters:

timeIndex - The time index at which factor loading inverse is requested.

component - The index of the component i.

factor - The index of the factor j.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The entry of the pseudo-inverse of the factor loading matrix.

getCovariance

public RandomVariable getCovariance(double time,
 int component1,
 int component2,
 RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Returns the instantaneous covariance calculated from factor loadings.

Specified by:

getCovariance in interface LIBORCovarianceModel

Parameters:

time - The time t at which covariance is requested.

component1 - Index of component i.

component2 - Index of component j.

realizationAtTimeIndex - The realization of the stochastic process.

Returns:

The instantaneous covariance between component i and j.

getCovariance

public RandomVariable getCovariance(int timeIndex,
 int component1,
 int component2,
 RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Returns the instantaneous covariance calculated from factor loadings.

Specified by:

getCovariance in interface LIBORCovarianceModel

Parameters:

timeIndex - The time index at which covariance is requested.

component1 - Index of component i.

component2 - Index of component j.

realizationAtTimeIndex - The realization of the stochastic process.

Returns:

The instantaneous covariance between component i and j.

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Description copied from interface: LIBORCovarianceModel

The simulation time discretization associated with this model.

Specified by:

getTimeDiscretization in interface LIBORCovarianceModel

Returns:

the timeDiscretizationFromArray

getLiborPeriodDiscretization

public TimeDiscretization getLiborPeriodDiscretization()

Description copied from interface: LIBORCovarianceModel

The forward rate time discretization associated with this model (defines the components).

Specified by:

getLiborPeriodDiscretization in interface LIBORCovarianceModel

Returns:

the forward rate time discretization associated with this model.

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in interface LIBORCovarianceModel

Returns:

the numberOfFactors

getCloneWithModifiedData

public abstract AbstractLIBORCovarianceModelParametric getCloneWithModifiedData(Map<String,Object> dataModified)
                                                                         throws CalculationException

Description copied from interface: LIBORCovarianceModel

Returns a clone of this model where the specified properties have been modified. Note that there is no guarantee that a model reacts on a specification of a properties in the parameter map dataModified. If data is provided which is ignored by the model no exception may be thrown. Furthermore the structure of the covariance model has to match changed data. A change of the time discretizations may requires a change in the parameters but this function will just insert the new time discretization without changing the parameters. An exception may not be thrown.

Specified by:

getCloneWithModifiedData in interface LIBORCovarianceModel

Parameters:

dataModified - Key-value-map of parameters to modify.

Returns:

A clone of this model (or a new instance of this model if no parameter was modified).

Throws:

CalculationException - Thrown when the model could not be created.