Module net.finmath.lib

Package net.finmath.fouriermethod.calibration.models

Class CalibratableMertonModel

java.lang.Object

net.finmath.fouriermethod.calibration.models.CalibratableMertonModel

All Implemented Interfaces:

CalibratableProcess

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.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
CalibratableMertonModel(MertonModelDescriptor descriptor)	Basic constructor where all parameters are to be calibrated.
CalibratableMertonModel(MertonModelDescriptor descriptor, ScalarParameterInformation volatilityInfo, ScalarParameterInformation jumpIntensityInfo, ScalarParameterInformation jumpSizeMeanInfo, ScalarParameterInformation jumpSizeStdDevInfo)	This constructor allows for the specification of constraints.

Method Summary

Modifier and Type	Method	Description
MertonModel	getCharacteristicFunctionModel()	Directly returns the characteristic function.
CalibratableProcess	getCloneForModifiedParameters(double[] parameters)	Calibration substitutes in the model the parameters of the process with calibrated ones.
ModelDescriptor	getModelDescriptor()	Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.
double[]	getParameterLowerBounds()	Extracts parameter lower bounds for the optimizer factory.
double[]	getParameterUpperBounds()	Extracts parameter upper bounds for the optimizer factory.
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Details

CalibratableMertonModel

public CalibratableMertonModel(MertonModelDescriptor descriptor)

Basic constructor where all parameters are to be calibrated. All parameters are unconstrained.

Parameters:

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.

Parameters:

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

getCloneForModifiedParameters

public CalibratableProcess getCloneForModifiedParameters(double[] parameters)

Description copied from interface: CalibratableProcess

Calibration substitutes in the model the parameters of the process with calibrated ones. Market observables such as the initial stock value should not be changed.

Specified by:

getCloneForModifiedParameters in interface CalibratableProcess

Parameters:

parameters - The new parameters.

Returns:

a clone of the original model with modified parameters.

getModelDescriptor

public ModelDescriptor getModelDescriptor()

Description copied from interface: CalibratableProcess

Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.

Specified by:

getModelDescriptor in interface CalibratableProcess

Returns:

The descriptor for this model.

getCharacteristicFunctionModel

public MertonModel getCharacteristicFunctionModel()

Description copied from interface: CalibratableProcess

Directly returns the characteristic function.

Specified by:

getCharacteristicFunctionModel in interface CalibratableProcess

Returns:

the characteristic function

getParameterLowerBounds

public double[] getParameterLowerBounds()

Description copied from interface: CalibratableProcess

Extracts parameter lower bounds for the optimizer factory.

Specified by:

getParameterLowerBounds in interface CalibratableProcess

Returns:

parameter lower bounds for the optimizer factory.

getParameterUpperBounds

public double[] getParameterUpperBounds()

Description copied from interface: CalibratableProcess

Extracts parameter upper bounds for the optimizer factory.

Specified by:

getParameterUpperBounds in interface CalibratableProcess

Returns:

parameter upper bounds for the optimizer factory.

toString

public String toString()

Overrides:

toString in class Object