Interface CalibratableProcess

  • All Known Implementing Classes:
    CalibratableHestonModel, CalibratableMertonModel, CalibratableVarianceGammaModel

    public interface CalibratableProcess
    Every class implementing this interface communicates with the calibration routine by providing clones of the model with changed parameters. A model descriptor is stored to infer parameters which are not calibrated such as market observables. We are decorating every characteristic function with the getCloneForModifiedParameters withouth touching the existing classes providing the computation of the characteristic function. Suitable specifications of getCloneForModifiedParameters can be employed to introduce e.g. non-linear constraints. E.g. it is possible to force the Feller condition in the Heston model by providing a suitable implementation of this method.
    Alessandro Gnoatto
    • Method Detail

      • getCloneForModifiedParameters

        CalibratableProcess getCloneForModifiedParameters​(double[] parameters)
        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.
        parameters - The new parameters.
        a clone of the original model with modified parameters.
      • getModelDescriptor

        ModelDescriptor getModelDescriptor()
        Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.
        The descriptor for this model.
      • getCharacteristicFunctionModel

        CharacteristicFunctionModel getCharacteristicFunctionModel()
        Directly returns the characteristic function.
        the characteristic function
      • getParameterLowerBounds

        double[] getParameterLowerBounds()
        Extracts parameter lower bounds for the optimizer factory.
        parameter lower bounds for the optimizer factory.
      • getParameterUpperBounds

        double[] getParameterUpperBounds()
        Extracts parameter upper bounds for the optimizer factory.
        parameter upper bounds for the optimizer factory.