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

Class AbstractLIBORCovarianceModelParametric

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
All Implemented Interfaces:
Serializable, LIBORCovarianceModel, LIBORCovarianceModelCalibrateable
Direct Known Subclasses:
BlendedLocalVolatilityModel, DisplacedLocalVolatilityModel, ExponentialDecayLocalVolatilityModel, HullWhiteLocalVolatilityModel, LIBORCovarianceModelBH, LIBORCovarianceModelExponentialForm5Param, LIBORCovarianceModelExponentialForm7Param, LIBORCovarianceModelFromVolatilityAndCorrelation, LIBORCovarianceModelStochasticHestonVolatility, LIBORCovarianceModelStochasticVolatility
public abstract class AbstractLIBORCovarianceModelParametric extends AbstractLIBORCovarianceModel implements LIBORCovarianceModelCalibrateable
Base class for parametric covariance models, see also AbstractLIBORCovarianceModel. Parametric models feature a parameter vector which can be inspected and modified for calibration purposes. The parameter vector may have zero length, which indicated that the model is not calibrateable. This class includes the implementation of a generic calibration algorithm. If you provide an arbitrary list of calibration products, the class can return a new instance where the parameters are chosen such that the (weighted) root-mean-square error of the difference of the value of the calibration products and given target values is minimized.
Version:
1.1
Author:
Christian Fries
See Also:
Date:
20.05.2006, 23.02.2014

  • Constructor Details

    • AbstractLIBORCovarianceModelParametric

      public AbstractLIBORCovarianceModelParametric(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

    • getParameter

      public RandomVariable[] getParameter()
      Get the parameters of determining this parametric covariance model. The parameters are usually free parameters which may be used in calibration.
      Returns:
      Parameter vector.

    • getParameterAsDouble

      public abstract double[] getParameterAsDouble()
      Get the parameters of determining this parametric covariance model. The parameters are usually free parameters which may be used in calibration.
      Returns:
      Parameter vector.

    • clone

      public abstract Object clone()
      Overrides:
      clone in class Object

    • getCloneWithModifiedParameters

      public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)
      Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.
      Parameters:
      parameters - The new set of parameters.
      Returns:
      An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

    • getCloneWithModifiedParameters

      public abstract AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters)
      Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.
      Parameters:
      parameters - The new set of parameters.
      Returns:
      An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

    • getCloneCalibrated

      public AbstractLIBORCovarianceModelParametric getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts) throws CalculationException
      Throws:
      CalculationException

    • getCloneCalibrated

      public AbstractLIBORCovarianceModelParametric getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) throws CalculationException
      Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):
      • brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
      • maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
      • accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.
      Specified by:
      getCloneCalibrated in interface LIBORCovarianceModelCalibrateable
      Parameters:
      calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).
      calibrationProducts - The array of calibration products.
      calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.
      Returns:
      A new parametric model of the same type than this one, but with calibrated parameters.
      Throws:
      CalculationException - Thrown if calibration has failed.

    • getCloneCalibratedLegazy

      public AbstractLIBORCovarianceModelParametric getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) throws CalculationException
      Throws:
      CalculationException

    • toString

      public String toString()
      Overrides:
      toString in class Object