Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.models.covariance

Class AbstractShortRateVolatilityModelParametric

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel
net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
All Implemented Interfaces:
Serializable, ShortRateVolatilityModel, ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric
Direct Known Subclasses:
ShortRateVolatilityModelPiecewiseConstant
public abstract class AbstractShortRateVolatilityModelParametric extends AbstractShortRateVolatilityModel implements ShortRateVolatilityModelParametric, ShortRateVolatilityModelCalibrateable
Base class for parametric volatility models, see also AbstractShortRateVolatilityModel. Parametric models feature a parameter vector which can be inspected and modified for calibration purposes. The parameter vector may have zero length, which indicated that the model is not calibrateable. This class includes the implementation of a generic calibration algorithm. If you provide an arbitrary list of calibration products, the class can return a new instance where the parameters are chosen such that the (weighted) root-mean-square error of the difference of the value of the calibration products and given target values is minimized.
Version:
1.1
Author:
Ruben Duarte
See Also:
Serialized Form

  • Constructor Details

    • AbstractShortRateVolatilityModelParametric

      public AbstractShortRateVolatilityModelParametric​(TimeDiscretization timeDiscretization)
      Constructor consuming time discretization.
      Parameters:
      timeDiscretization - The vector of simulation time discretization points.

  • Method Details

    • getParameter

      public abstract RandomVariable[] getParameter()
      Get the parameters of determining this parametric volatility model. The parameters are usually free parameters which may be used in calibration.
      Specified by:
      getParameter in interface ShortRateVolatilityModelParametric
      Returns:
      Parameter vector.

    • clone

      public abstract Object clone()
      Overrides:
      clone in class Object

    • getParameterAsDouble

      public double[] getParameterAsDouble()
      Description copied from interface: ShortRateVolatilityModelParametric
      Get the parameters of determining this parametric volatility model. The parameters are usually free parameters which may be used in calibration.
      Specified by:
      getParameterAsDouble in interface ShortRateVolatilityModelParametric
      Returns:
      Parameter vector.

    • getCloneWithModifiedParameters

      public abstract AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters​(double[] parameters)
      Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.
      Specified by:
      getCloneWithModifiedParameters in interface ShortRateVolatilityModelParametric
      Parameters:
      parameters - The new set of parameters.
      Returns:
      An instance of AbstractShortRateVolatilityModel with modified parameters.

    • getCloneWithModifiedParameters

      public abstract AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters​(RandomVariable[] parameters)
      Return an instance of this model using a new set of parameters. Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.
      Specified by:
      getCloneWithModifiedParameters in interface ShortRateVolatilityModelParametric
      Parameters:
      parameters - The new set of parameters.
      Returns:
      An instance of AbstractShortRateVolatilityModel with modified parameters.

    • getCloneCalibrated

      public AbstractShortRateVolatilityModelParametric getCloneCalibrated​(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,​Object> calibrationParameters) throws CalculationException
      Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):
      • brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
      • maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
      • accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.
      Specified by:
      getCloneCalibrated in interface ShortRateVolatilityModelCalibrateable
      Parameters:
      calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).
      calibrationProducts - The array of calibration products.
      calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.
      Returns:
      A new parametric model of the same type than this one, but with calibrated parameters.
      Throws:
      CalculationException - Thrown if calibration has failed.

    • getCloneCalibratedLegazy

      public AbstractShortRateVolatilityModelParametric getCloneCalibratedLegazy​(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,​Object> calibrationParameters) throws CalculationException
      Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):
      • brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
      • maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
      • accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.
      Parameters:
      calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).
      calibrationProducts - The array of calibration products.
      calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.
      Returns:
      A new parametric model of the same type than this one, but with calibrated parameters.
      Throws:
      CalculationException - Thrown if calibration has failed.

    • toString

      public String toString()
      Overrides:
      toString in class Object