Class CalibratableMertonModel

All Implemented Interfaces:

public class CalibratableMertonModel extends Object implements CalibratableProcess
This class is creates new instances of MertonModel and communicates with the optimization algorithm. This class provides clones of herself: in such a way the information concerning constraints is not lost. The method getCharacteristicFunction is then passed to the FFT pricing routine.
Alessandro Gnoatto
  • Constructor Details

    • CalibratableMertonModel

      public CalibratableMertonModel(MertonModelDescriptor descriptor)
      Basic constructor where all parameters are to be calibrated. All parameters are unconstrained.
      descriptor - The model descriptor for the Merton model.
    • CalibratableMertonModel

      public CalibratableMertonModel(MertonModelDescriptor descriptor, ScalarParameterInformation volatilityInfo, ScalarParameterInformation jumpIntensityInfo, ScalarParameterInformation jumpSizeMeanInfo, ScalarParameterInformation jumpSizeStdDevInfo)
      This constructor allows for the specification of constraints. This is very liberal since we can impose different types of constraints. The choice on the parameters to be applied is left to the user. This implies that he user could create Merton models which are not meaningful.
      descriptor - The model descriptor for the Merton model.
      volatilityInfo - The volatility constraint.
      jumpIntensityInfo - The constraint for the jump intensity parameter.
      jumpSizeMeanInfo - The constraint for the jump size mean parameter.
      jumpSizeStdDevInfo - The constraint for the jump standard deviation parameter.
  • Method Details