# Class AbstractLIBORCovarianceModel

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
All Implemented Interfaces:
Serializable, LIBORCovarianceModel
Direct Known Subclasses:
AbstractLIBORCovarianceModelParametric

public abstract class AbstractLIBORCovarianceModel extends Object implements Serializable, LIBORCovarianceModel
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
Version:
1.0
Author:
Christian Fries
Serialized Form
• ## Constructor Summary

Constructors
Constructor
Description
AbstractLIBORCovarianceModel​(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)
Constructor consuming time discretizations, which are handled by the super class.
• ## Method Summary

Modifier and Type
Method
Description
abstract AbstractLIBORCovarianceModelParametric
getCloneWithModifiedData​(Map<String,​Object> dataModified)
Returns a clone of this model where the specified properties have been modified.
RandomVariable
getCovariance​(double time, int component1, int component2, RandomVariable[] realizationAtTimeIndex)
RandomVariable
getCovariance​(int timeIndex, int component1, int component2, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
getFactorLoading​(double time, double component, RandomVariable[] realizationAtTimeIndex)
Return the factor loading for a given time and a given component.
RandomVariable[]
getFactorLoading​(double time, int component, RandomVariable[] realizationAtTimeIndex)
abstract RandomVariable[]
getFactorLoading​(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
Return the factor loading for a given time index and component index.
abstract RandomVariable
getFactorLoadingPseudoInverse​(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex)
Returns the pseudo inverse of the factor matrix.
TimeDiscretization
getLiborPeriodDiscretization()
The forward rate time discretization associated with this model (defines the components).
int
getNumberOfFactors()

TimeDiscretization
getTimeDiscretization()
The simulation time discretization associated with this model.

### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ## Constructor Details

• ### AbstractLIBORCovarianceModel

public AbstractLIBORCovarianceModel(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)
Constructor consuming time discretizations, which are handled by the super class.
Parameters:
timeDiscretization - The vector of simulation time discretization points.
liborPeriodDiscretization - The vector of tenor discretization points.
numberOfFactors - The number of factors to use (a factor reduction is performed)
• ## Method Details

Description copied from interface: LIBORCovarianceModel
Return the factor loading for a given time and a given component. The factor loading is the vector fi such that the scalar product
fjfk = fj,1fk,1 + ... + fj,mfk,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t_i such that t_i is the largest point in getTimeDiscretization such that t_i ≤ t . The component here, it given via a double T which may be associated with the LIBOR fixing date. With respect to component time T, this method uses a piece wise constant interpolation, i.e., it calculates T_j such that T_j is the largest point in getTimeDiscretization such that T_j ≤ T .
Specified by:
getFactorLoading in interface LIBORCovarianceModel
Parameters:
time - The time t at which factor loading is requested.
component - The component time (as a double associated with the fixing of the forward rate) Ti.
realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
Returns:

Description copied from interface: LIBORCovarianceModel
Return the factor loading for a given time and component index. The factor loading is the vector fi such that the scalar product
fjfk = fj,1fk,1 + ... + fj,mfk,m
is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t_i such that t_i is the largest point in getTimeDiscretization such that t_i ≤ t .
Specified by:
getFactorLoading in interface LIBORCovarianceModel
Parameters:
time - The time t at which factor loading is requested.
component - The index of the component i. Note that this class may have its own LIBOR time discretization and that this index refers to this discretization.
realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
Returns:

Description copied from interface: LIBORCovarianceModel
Return the factor loading for a given time index and component index. The factor loading is the vector fi such that the scalar product
fjfk = fj,1fk,1 + ... + fj,mfk,m
is the instantaneous covariance of the component j and k.
Specified by:
getFactorLoading in interface LIBORCovarianceModel
Parameters:
timeIndex - The time index at which factor loading is requested.
component - The index of the component i.
realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
Returns:

Description copied from interface: LIBORCovarianceModel
Returns the pseudo inverse of the factor matrix.
Specified by:
getFactorLoadingPseudoInverse in interface LIBORCovarianceModel
Parameters:
timeIndex - The time index at which factor loading inverse is requested.
component - The index of the component i.
factor - The index of the factor j.
realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
Returns:
• ### getCovariance

public RandomVariable getCovariance(double time, int component1, int component2, RandomVariable[] realizationAtTimeIndex)
Description copied from interface: LIBORCovarianceModel
Specified by:
getCovariance in interface LIBORCovarianceModel
Parameters:
time - The time t at which covariance is requested.
component1 - Index of component i.
component2 - Index of component j.
realizationAtTimeIndex - The realization of the stochastic process.
Returns:
The instantaneous covariance between component i and j.
• ### getCovariance

public RandomVariable getCovariance(int timeIndex, int component1, int component2, RandomVariable[] realizationAtTimeIndex)
Description copied from interface: LIBORCovarianceModel
Specified by:
getCovariance in interface LIBORCovarianceModel
Parameters:
timeIndex - The time index at which covariance is requested.
component1 - Index of component i.
component2 - Index of component j.
realizationAtTimeIndex - The realization of the stochastic process.
Returns:
The instantaneous covariance between component i and j.
• ### getTimeDiscretization

public TimeDiscretization getTimeDiscretization()
Description copied from interface: LIBORCovarianceModel
The simulation time discretization associated with this model.
Specified by:
getTimeDiscretization in interface LIBORCovarianceModel
Returns:
the timeDiscretizationFromArray
• ### getLiborPeriodDiscretization

public TimeDiscretization getLiborPeriodDiscretization()
Description copied from interface: LIBORCovarianceModel
The forward rate time discretization associated with this model (defines the components).
Specified by:
getLiborPeriodDiscretization in interface LIBORCovarianceModel
Returns:
the forward rate time discretization associated with this model.
• ### getNumberOfFactors

public int getNumberOfFactors()
Specified by:
getNumberOfFactors in interface LIBORCovarianceModel
Returns:
the numberOfFactors
• ### getCloneWithModifiedData

public abstract AbstractLIBORCovarianceModelParametric getCloneWithModifiedData(Map<String,​Object> dataModified) throws CalculationException
Description copied from interface: LIBORCovarianceModel
Returns a clone of this model where the specified properties have been modified. Note that there is no guarantee that a model reacts on a specification of a properties in the parameter map dataModified. If data is provided which is ignored by the model no exception may be thrown. Furthermore the structure of the covariance model has to match changed data. A change of the time discretizations may requires a change in the parameters but this function will just insert the new time discretization without changing the parameters. An exception may not be thrown.
Specified by:
getCloneWithModifiedData in interface LIBORCovarianceModel
Parameters:
dataModified - Key-value-map of parameters to modify.
Returns:
A clone of this model (or a new instance of this model if no parameter was modified).
Throws:
CalculationException - Thrown when the model could not be created.