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

Interface LIBORCovarianceModel

All Known Subinterfaces:
LIBORCovarianceModelCalibrateable
All Known Implementing Classes:
AbstractLIBORCovarianceModel, AbstractLIBORCovarianceModelParametric, BlendedLocalVolatilityModel, DisplacedLocalVolatilityModel, ExponentialDecayLocalVolatilityModel, HullWhiteLocalVolatilityModel, LIBORCovarianceModelBH, LIBORCovarianceModelExponentialForm5Param, LIBORCovarianceModelExponentialForm7Param, LIBORCovarianceModelFromVolatilityAndCorrelation, LIBORCovarianceModelStochasticHestonVolatility, LIBORCovarianceModelStochasticVolatility
public interface LIBORCovarianceModel
Interface for covariance models providing a vector of (possibly stochastic) factor loadings. Classes implementing this interface can be used as "plug ins" for LIBORMarketModelFromCovarianceModel.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getFactorLoading

      RandomVariable[] getFactorLoading(double time, double component, RandomVariable[] realizationAtTimeIndex)
      Return the factor loading for a given time and a given component. The factor loading is the vector fi such that the scalar product
      fjfk = fj,1fk,1 + ... + fj,mfk,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 .
      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) Ti.
      realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
      Returns:
      The factor loading fi(t).

    • getFactorLoading

      RandomVariable[] getFactorLoading(double time, int component, RandomVariable[] realizationAtTimeIndex)
      Return the factor loading for a given time and component index. The factor loading is the vector fi such that the scalar product
      fjfk = fj,1fk,1 + ... + fj,mfk,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 .
      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 fi(t).

    • getFactorLoading

      RandomVariable[] getFactorLoading(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
      Return the factor loading for a given time index and component index. The factor loading is the vector fi such that the scalar product
      fjfk = fj,1fk,1 + ... + fj,mfk,m
      is the instantaneous covariance of the component j and k.
      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 fi(t).

    • getFactorLoadingPseudoInverse

      RandomVariable getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex)
      Returns the pseudo inverse of the factor matrix.
      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

      RandomVariable getCovariance(double time, int component1, int component2, RandomVariable[] realizationAtTimeIndex)
      Returns the instantaneous covariance calculated from factor loadings.
      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

      RandomVariable getCovariance(int timeIndex, int component1, int component2, RandomVariable[] realizationAtTimeIndex)
      Returns the instantaneous covariance calculated from factor loadings.
      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

      TimeDiscretization getTimeDiscretization()
      The simulation time discretization associated with this model.
      Returns:
      the timeDiscretizationFromArray

    • getLiborPeriodDiscretization

      TimeDiscretization getLiborPeriodDiscretization()
      The forward rate time discretization associated with this model (defines the components).
      Returns:
      the forward rate time discretization associated with this model.

    • getNumberOfFactors

      int getNumberOfFactors()
      Returns:
      the numberOfFactors

    • getCloneWithModifiedData

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