Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate

Class CrossCurrencyLIBORMarketModelFromModels

java.lang.Object

net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels

All Implemented Interfaces:

Model, HybridAssetMonteCarloSimulation, MonteCarloSimulationModel

public class CrossCurrencyLIBORMarketModelFromModels
extends Object
implements HybridAssetMonteCarloSimulation

Cross Currency LIBOR Market Model with Black-Scholes FX Model.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
CrossCurrencyLIBORMarketModelFromModels(String baseModel, Map<String,LIBORModelMonteCarloSimulationModel> interestRatesModels, Map<String,MonteCarloProcessFromProcessModel> fxModels)	Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model.

Method Summary

Modifier and Type	Method	Description
LIBORModelMonteCarloSimulationModel	getBaseModel()
MonteCarloSimulationModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a clone of this simulation modifying some of its properties (if any).
RandomVariable	getMonteCarloWeights(double time)	This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariable	getMonteCarloWeights(int timeIndex)	This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfPaths()	Returns the numberOfPaths.
RandomVariable	getNumeraire(double time)	Return the (default) numeraire at a given time.
RandomVariable	getNumeraire(String account, double time)	Return the numeraire associated with a given (collateral or funding) account at a given time.
RandomVariable	getRandomVariableForConstant(double value)	Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
double	getTime(int timeIndex)	Returns the time for a given time index.
TimeDiscretization	getTimeDiscretization()	Returns the timeDiscretizationFromArray.
int	getTimeIndex(double time)	Returns the time index for a given time.
RandomVariable	getValue(RiskFactorID riskFactorIdentifyer, double time)	Return the random variable of a risk factor with a given name at a given observation time index.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

getReferenceDate

Constructor Details

CrossCurrencyLIBORMarketModelFromModels

public CrossCurrencyLIBORMarketModelFromModels(String baseModel,
 Map<String,LIBORModelMonteCarloSimulationModel> interestRatesModels,
 Map<String,MonteCarloProcessFromProcessModel> fxModels)

Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model.

Parameters:

baseModel - The name of the interest rate model used for the numeraire.

interestRatesModels - A collection of single currency interest rate models.

fxModels - A collection of (corresponding) fx models.

Method Details

getBaseModel

public LIBORModelMonteCarloSimulationModel getBaseModel()

getRandomVariableForConstant

public RandomVariable getRandomVariableForConstant(double value)

Description copied from interface: MonteCarloSimulationModel

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.

Specified by:

getRandomVariableForConstant in interface MonteCarloSimulationModel

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

getNumberOfPaths

public int getNumberOfPaths()

Description copied from interface: MonteCarloSimulationModel

Returns the numberOfPaths.

Specified by:

getNumberOfPaths in interface MonteCarloSimulationModel

Returns:

Returns the numberOfPaths.

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Description copied from interface: MonteCarloSimulationModel

Returns the timeDiscretizationFromArray.

Specified by:

getTimeDiscretization in interface MonteCarloSimulationModel

Returns:

Returns the timeDiscretizationFromArray.

getTime

public double getTime(int timeIndex)

Description copied from interface: MonteCarloSimulationModel

Returns the time for a given time index.

Specified by:

getTime in interface MonteCarloSimulationModel

Parameters:

timeIndex - Time index

Returns:

Returns the time for a given time index.

getTimeIndex

public int getTimeIndex(double time)

Description copied from interface: MonteCarloSimulationModel

Returns the time index for a given time.

Specified by:

getTimeIndex in interface MonteCarloSimulationModel

Parameters:

time - The time.

Returns:

Returns the time index for a given time.

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(int timeIndex)
                                    throws CalculationException

Description copied from interface: MonteCarloSimulationModel

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationModel

Parameters:

timeIndex - Time index at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(double time)
                                    throws CalculationException

Description copied from interface: MonteCarloSimulationModel

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationModel

Parameters:

time - Time at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCloneWithModifiedData

public MonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
                                                   throws CalculationException

Description copied from interface: MonteCarloSimulationModel

Create a clone of this simulation modifying some of its properties (if any). The properties that should be modified correspond to arguments of constructors. A constructor is then called with where all arguments that are not found in the key value map are being set to this objects values.

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationModel

Parameters:

dataModified - The data which should be changed in the new model. This is a key value may, where the key corresponds to the name of a property in one of the objects constructors.

Returns:

Returns a clone of this object, with some data modified (then it is no longer a clone :-)

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getNumeraire

public RandomVariable getNumeraire(double time)
                            throws CalculationException

Description copied from interface: HybridAssetMonteCarloSimulation

Return the (default) numeraire at a given time.

Specified by:

getNumeraire in interface HybridAssetMonteCarloSimulation

Parameters:

time - The time for which the numeraire is returned.

Returns:

The numeraire at a given time.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getNumeraire

public RandomVariable getNumeraire(String account,
 double time)
                            throws CalculationException

Description copied from interface: HybridAssetMonteCarloSimulation

Return the numeraire associated with a given (collateral or funding) account at a given time.

Specified by:

getNumeraire in interface HybridAssetMonteCarloSimulation

Parameters:

account - The account associated with this numeraire.

time - The time for which the numeraire is returned.

Returns:

The numeraire at a given time.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValue

public RandomVariable getValue(RiskFactorID riskFactorIdentifyer,
 double time)
                        throws CalculationException

Description copied from interface: HybridAssetMonteCarloSimulation

Return the random variable of a risk factor with a given name at a given observation time index.

Specified by:

getValue in interface HybridAssetMonteCarloSimulation

Parameters:

riskFactorIdentifyer - The identifier of the risk factor.

time - The time at which the risk factor is observed.

Returns:

Random variable representing the corresponding risk factor.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.