Package net.finmath.montecarlo.interestrate.models.covariance
Contains covariance models and their calibration as plugins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
Covariance models provide they free parameters via an interface. The class AbstractLIBORCovarianceModelParametric provides a method that implements the generic calibration of the models.
 Author:
 Christian Fries

Interface Summary Interface Description LIBORCovarianceModel Interface for covariance models providing a vector of (possibly stochastic) factor loadings.LIBORCovarianceModelCalibrateable Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated
method.ShortRateVolatilityModel Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).ShortRateVolatilityModelCalibrateable Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated
method.ShortRateVolatilityModelParametric Interface for short rate volatility models which are determined by a vector of parameter.TermStructureCovarianceModelInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureFactorLoadingsModelInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureFactorLoadingsModelParametricInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureTenorTimeScalingInterface 
Class Summary Class Description AbstractLIBORCovarianceModel A base class and interface description for the instantaneous covariance of an forward rate interest rate model.AbstractLIBORCovarianceModelParametric Base class for parametric covariance models, see alsoAbstractLIBORCovarianceModel
.AbstractShortRateVolatilityModel A base class and interface description for the instantaneous volatility of an short rate model.AbstractShortRateVolatilityModelParametric Base class for parametric volatility models, see alsoAbstractShortRateVolatilityModel
.BlendedLocalVolatilityModel Blended model (or displaced diffusion model) build on top of a standard covariance model.DisplacedLocalVolatilityModel Displaced model build on top of a standard covariance model.ExponentialDecayLocalVolatilityModel Exponential decay model build on top of a given covariance model.HullWhiteLocalVolatilityModel Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the HullWhite local volatility.LIBORCorrelationModel Abstract base class and interface description of a correlation model (as it is used inLIBORCovarianceModelFromVolatilityAndCorrelation
).LIBORCorrelationModelExponentialDecay Simple correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.factorReduction(double[][], int)
) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest nonnegative 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 seeLIBORCorrelationModelThreeParameterExponentialDecay
.LIBORCorrelationModelThreeParameterExponentialDecay Simple correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.factorReduction(double[][], int)
) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest nonnegative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = b + (1b) * \exp(a T_{i}  T_{j}  c \max(T_{i},T_{j}))LIBORCovarianceModelBH A five parameter covariance model corresponding.LIBORCovarianceModelExponentialForm5Param The five parameter covariance model consisting of anLIBORVolatilityModelMaturityDependentFourParameterExponentialForm
and anLIBORCorrelationModelExponentialDecay
.LIBORCovarianceModelExponentialForm7Param LIBORCovarianceModelFromVolatilityAndCorrelation A covariance model build from a volatility model implementingLIBORVolatilityModel
and a correlation model implementingLIBORCorrelationModel
.LIBORCovarianceModelStochasticHestonVolatility As Heston like stochastic volatility model, using a process \( \lambda(t) = \sqrt(V(t)) \) \[ dV(t) = \kappa ( \theta  V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0, \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.LIBORCovarianceModelStochasticVolatility Simple stochastic volatility model, using a process \[ d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,} \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.LIBORVolatilityModel Abstract base class and interface description of a volatility model (as it is used inLIBORCovarianceModelFromVolatilityAndCorrelation
).LIBORVolatilityModelFourParameterExponentialForm Implements the volatility model \[ \sigma_{i}(t_{j}) = ( a + b (T_{i}t_{j}) ) exp(c (T_{i}t_{j})) + d \text{LIBORVolatilityModelFourParameterExponentialFormIntegrated Implements the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}t) ) exp(c (T_{i}t)) + d \right)^{2} \ \mathrm{d}t } \text{LIBORVolatilityModelFromGivenMatrix Implements a simple volatility model using given piecewise constant values on a given discretization grid.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm LIBORVolatilityModelPiecewiseConstant LIBORVolatilityModelTimeHomogenousPiecewiseConstant Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq Tt \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n1} \) is a given time discretization.LIBORVolatilityModelTwoParameterExponentialForm Implements the volatility model σ_{i}(t_{j}) = a * exp(b (T_{i}t_{j}))ShortRateVolatilityModelAsGiven A short rate volatility model from given volatility and mean reversion.ShortRateVolatilityModelHoLee ShortRateVolatilityModelPiecewiseConstant Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.TermStructCovarianceModelFromLIBORCovarianceModel TermStructCovarianceModelFromLIBORCovarianceModelParametric TermStructureCovarianceModelParametric A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureTenorTimeScalingPicewiseConstant