Module net.finmath.lib

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

Class LIBORCorrelationModelExponentialDecay

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel

net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay

All Implemented Interfaces:

Serializable

public class LIBORCorrelationModelExponentialDecay
extends LIBORCorrelationModel

Simple 1-parametric correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.

Version:

1.0

Author:

Christian Fries

See Also:

• LinearAlgebra.factorReduction(double[][], int)
• LIBORCorrelationModelThreeParameterExponentialDecay
• Serialized Form

Constructor Summary

Constructors

Constructor	Description
LIBORCorrelationModelExponentialDecay(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double a)	Create a correlation model with an exponentially decaying correlation structure and the given number of factors.
LIBORCorrelationModelExponentialDecay(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double a, boolean isCalibrateable)	Create a correlation model with an exponentially decaying correlation structure and the given number of factors.

Method Summary

Modifier and Type	Method	Description
Object	clone()
LIBORCorrelationModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
LIBORCorrelationModelExponentialDecay	getCloneWithModifiedParameter(RandomVariable[] parameter)
double	getCorrelation(int timeIndex, int component1, int component2)
double	getFactorLoading(int timeIndex, int factor, int component)
int	getNumberOfFactors()
RandomVariable[]	getParameter()

Methods inherited from class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel

getLiborPeriodDiscretization, getParameterAsDouble, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Details

LIBORCorrelationModelExponentialDecay

public LIBORCorrelationModelExponentialDecay(TimeDiscretization timeDiscretization,
 TimeDiscretization liborPeriodDiscretization,
 int numberOfFactors,
 double a,
 boolean isCalibrateable)

Create a correlation model with an exponentially decaying correlation structure and the given number of factors.

Parameters:

timeDiscretization - Simulation time discretization. Not used in this model.

liborPeriodDiscretization - Tenor time discretization, i.e., the \( T_{i} \)'s.

numberOfFactors - Number \( m \) of factors to be used.

a - Decay parameter. Should be positive. Negative values will be floored to 0.

isCalibrateable - If true, the parameter will become a free parameter in a calibration (i.e., the parameter is available via getParameter().

LIBORCorrelationModelExponentialDecay

public LIBORCorrelationModelExponentialDecay(TimeDiscretization timeDiscretization,
 TimeDiscretization liborPeriodDiscretization,
 int numberOfFactors,
 double a)

Create a correlation model with an exponentially decaying correlation structure and the given number of factors. The parameter is fixed (not calibrateable).

Parameters:

timeDiscretization - Simulation time discretization. Not used in this model.

liborPeriodDiscretization - Tenor time discretization, i.e., the \( T_{i} \)'s.

numberOfFactors - Number \( m \) of factors to be used.

a - Decay parameter. Should be positive. Negative values will be floored to 0.

Method Details

getCloneWithModifiedParameter

public LIBORCorrelationModelExponentialDecay getCloneWithModifiedParameter(RandomVariable[] parameter)

Specified by:

getCloneWithModifiedParameter in class LIBORCorrelationModel

clone

public Object clone()

Specified by:

clone in class LIBORCorrelationModel

getFactorLoading

public double getFactorLoading(int timeIndex,
 int factor,
 int component)

Specified by:

getFactorLoading in class LIBORCorrelationModel

getCorrelation

public double getCorrelation(int timeIndex,
 int component1,
 int component2)

Specified by:

getCorrelation in class LIBORCorrelationModel

getNumberOfFactors

public int getNumberOfFactors()

Specified by:

getNumberOfFactors in class LIBORCorrelationModel

getParameter

public RandomVariable[] getParameter()

Specified by:

getParameter in class LIBORCorrelationModel

getCloneWithModifiedData

public LIBORCorrelationModel getCloneWithModifiedData(Map<String,Object> dataModified)

Description copied from class: LIBORCorrelationModel

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 correlation 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 class LIBORCorrelationModel

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).