Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate

Class ConvexityAdjustedModel

java.lang.Object

net.finmath.montecarlo.hybridassetinterestrate.ConvexityAdjustedModel

public class ConvexityAdjustedModel
extends Object

A general convexity adjustment for models.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
ConvexityAdjustedModel(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,Integer> factorLoadingMap)

Method Summary

Modifier and Type	Method	Description
RandomVariable[]	getDrift(RandomVariable[] driftUnadjusted, MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)

Methods inherited from class java.lang.Object

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

Constructor Details

ConvexityAdjustedModel

public ConvexityAdjustedModel(ProcessModel baseModel,
 MonteCarloProcess measureTransformModel,
 Map<Integer,Integer> factorLoadingMap)

Method Details

getDrift

public RandomVariable[] getDrift(RandomVariable[] driftUnadjusted,
 MonteCarloProcess process,
 int timeIndex,
 RandomVariable[] realizationAtTimeIndex,
 RandomVariable[] realizationPredictor)