Class ExponentialDecayLocalVolatilityModel

  • All Implemented Interfaces:
    Serializable, LIBORCovarianceModel, LIBORCovarianceModelCalibrateable

    public class ExponentialDecayLocalVolatilityModel
    extends AbstractLIBORCovarianceModelParametric
    Exponential decay model build on top of a given covariance model. The model constructed for the i-th factor loading is (Li(t) + d) Fi(t) where d is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading from the given covariance model. The parameter of this model is a joint parameter vector, consisting of the parameter vector of the given base covariance model and appending the displacement parameter at the end. If this model is not calibrateable, its parameter vector is that of the covariance model, i.e., only the displacement parameter will be not part of the calibration.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form
    • Constructor Detail

      • ExponentialDecayLocalVolatilityModel

        public ExponentialDecayLocalVolatilityModel​(RandomVariableFactory randomVariableFactory,
                                                    AbstractLIBORCovarianceModelParametric covarianceModel,
                                                    RandomVariable decay,
                                                    boolean isCalibrateable)
        Exponential decay model build on top of a standard covariance model. The model constructed for the i-th factor loading is exp(- a t) Fi(t) where a is the decay parameter and Fi is the factor loading from the given covariance model. The parameter of this model is a joint parameter vector, consisting of the parameter vector of the given base covariance model and appending the decay parameter at the end. If this model is not calibrateable, its parameter vector is that of the underlying covariance model, i.e., only the decay parameter will be not part of the calibration.
        Parameters:
        randomVariableFactory - A random variable factory (used when cloning with modifed parameters).
        covarianceModel - The given covariance model specifying the factor loadings F.
        decay - The decay a.
        isCalibrateable - If true, the parameter a is a free parameter. Note that the covariance model may have its own parameter calibration settings.
      • ExponentialDecayLocalVolatilityModel

        public ExponentialDecayLocalVolatilityModel​(RandomVariableFactory randomVariableFactory,
                                                    AbstractLIBORCovarianceModelParametric covarianceModel,
                                                    double decay,
                                                    boolean isCalibrateable)
        Exponential decay model build on top of a standard covariance model. The model constructed for the i-th factor loading is exp(- a t) Fi(t) where a is the decay parameter and Fi is the factor loading from the given covariance model. The parameter of this model is a joint parameter vector, consisting of the parameter vector of the given base covariance model and appending the decay parameter at the end. If this model is not calibrateable, its parameter vector is that of the underlying covariance model, i.e., only the decay parameter will be not part of the calibration.
        Parameters:
        randomVariableFactory - A random variable factory (used for the given parameter and when cloning with modifed parameters).
        covarianceModel - The given covariance model specifying the factor loadings F.
        decay - The displacement a.
        isCalibrateable - If true, the parameter a is a free parameter. Note that the covariance model may have its own parameter calibration settings.
      • ExponentialDecayLocalVolatilityModel

        public ExponentialDecayLocalVolatilityModel​(AbstractLIBORCovarianceModelParametric covarianceModel,
                                                    double decay,
                                                    boolean isCalibrateable)
        Exponential decay model build on top of a standard covariance model. The model constructed for the i-th factor loading is exp(- a t) Fi(t) where a is the decay parameter and Fi is the factor loading from the given covariance model. The parameter of this model is a joint parameter vector, consisting of the parameter vector of the given base covariance model and appending the decay parameter at the end. If this model is not calibrateable, its parameter vector is that of the underlying covariance model, i.e., only the decay parameter will be not part of the calibration.
        Parameters:
        covarianceModel - The given covariance model specifying the factor loadings F.
        decay - The displacement a.
        isCalibrateable - If true, the parameter a is a free parameter. Note that the covariance model may have its own parameter calibration settings.