Module net.finmath.lib
Package net.finmath.modelling.descriptor

Class VarianceGammaModelDescriptor

java.lang.Object
net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
All Implemented Interfaces:
AssetModelDescriptor, ModelDescriptor
public class VarianceGammaModelDescriptor extends Object implements AssetModelDescriptor
Version:
1.0
Author:
Alessandro Gnoatto

  • Constructor Details

    • VarianceGammaModelDescriptor

      public VarianceGammaModelDescriptor​(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double sigma, double theta, double nu)
      Parameters:
      referenceDate - The date corresponding to the floating point date t=0.
      initialValue - \( S_{0} \) - spot - initial value of S
      discountCurveForForwardRate - The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free rate
      discountCurveForDiscountRate - The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount rate
      sigma - The parameter \( \sigma \).
      theta - The parameter \( \theta \).
      nu - The parameter \( \nu \).

  • Method Details

    • version

      public Integer version()
      Description copied from interface: ModelDescriptor
      Return the version of the model description.
      Specified by:
      version in interface ModelDescriptor
      Returns:
      Version number.

    • name

      public String name()
      Description copied from interface: ModelDescriptor
      Return the name of the model represented by this descriptor.
      Specified by:
      name in interface ModelDescriptor
      Returns:
      Name of the model.

    • getReferenceDate

      public LocalDate getReferenceDate()
      Returns:
      the referenceDate

    • getInitialValue

      public Double getInitialValue()
      Returns:
      the initialValue

    • getDiscountCurveForForwardRate

      public DiscountCurve getDiscountCurveForForwardRate()
      Returns:
      the discountCurveForForwardRate

    • getDiscountCurveForDiscountRate

      public DiscountCurve getDiscountCurveForDiscountRate()
      Returns:
      the discountCurveForDiscountRate

    • getSigma

      public double getSigma()
      Returns:
      the sigma

    • getTheta

      public double getTheta()
      Returns:
      the theta

    • getNu

      public double getNu()
      Returns:
      the nu