Interface TermStructureModel

    • Method Detail

      • getForwardRate

        RandomVariable getForwardRate​(MonteCarloProcess process,
                                      double time,
                                      double periodStart,
                                      double periodEnd)
                               throws CalculationException
        Returns the time \( t \) forward rate on the models forward curve. Note: It is guaranteed that the random variable returned by this method is \( \mathcal{F}_{t} ) \)-measurable.
        Parameters:
        process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
        time - The evaluation time.
        periodStart - The period start of the forward rate.
        periodEnd - The period end of the forward rate.
        Returns:
        The forward rate.
        Throws:
        CalculationException - Thrown if model fails to calculate the random variable.
      • getForwardDiscountBond

        default RandomVariable getForwardDiscountBond​(MonteCarloProcess process,
                                                      double time,
                                                      double maturity)
                                               throws CalculationException
        Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \). Note: It is guaranteed that the random variabble returned by this method is \( \mathcal{F}_{t} ) \)-measurable.
        Parameters:
        process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
        time - The evaluation time.
        maturity - The maturity.
        Returns:
        The forward bond P(T;t).
        Throws:
        CalculationException - Thrown if model fails to calculate the random variable.
      • getAnalyticModel

        AnalyticModel getAnalyticModel()
        Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
        Returns:
        The associated analytic model.
      • getDiscountCurve

        DiscountCurve getDiscountCurve()
        Return the discount curve associated the forwards.
        Returns:
        the discount curve associated the forwards.
      • getForwardRateCurve

        ForwardCurve getForwardRateCurve()
        Return the initial forward rate curve.
        Returns:
        the forward rate curve
      • getCloneWithModifiedData

        TermStructureModel getCloneWithModifiedData​(Map<String,​Object> dataModified)
                                             throws CalculationException
        Create a new object implementing TermStructureModel, using the new data.
        Specified by:
        getCloneWithModifiedData in interface ProcessModel
        Parameters:
        dataModified - A map with values to be used in constructions (keys are identical to parameter names of the constructors).
        Returns:
        A new object implementing TermStructureModel, using the new data.
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
      • getLIBOR

        default RandomVariable getLIBOR​(MonteCarloProcess process,
                                        double time,
                                        double periodStart,
                                        double periodEnd)
                                 throws CalculationException
        Returns the time \( t \) forward rate on the models forward curve. Note: It is guaranteed that the random variable returned by this method is \( \mathcal{F}_{t} ) \)-measurable.
        Parameters:
        process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
        time - The evaluation time.
        periodStart - The period start of the forward rate.
        periodEnd - The period end of the forward rate.
        Returns:
        The forward rate.
        Throws:
        CalculationException - Thrown if model fails to calculate the random variable.