Class LIBORCorrelationModel

    • Method Detail

      • getFactorLoading

        public abstract double getFactorLoading​(int timeIndex,
                                                int factor,
                                                int component)
      • getCorrelation

        public abstract double getCorrelation​(int timeIndex,
                                              int component1,
                                              int component2)
      • getNumberOfFactors

        public abstract int getNumberOfFactors()
      • getParameterAsDouble

        public double[] getParameterAsDouble()
      • getLiborPeriodDiscretization

        public TimeDiscretization getLiborPeriodDiscretization()
        Returns the liborPeriodDiscretization.
      • getTimeDiscretization

        public TimeDiscretization getTimeDiscretization()
        Returns the timeDiscretizationFromArray.
      • getCloneWithModifiedData

        public abstract LIBORCorrelationModel getCloneWithModifiedData​(Map<String,​Object> dataModified)
        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 correlation 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.
        dataModified - Key-value-map of parameters to modify.
        A clone of this model (or a new instance of this model if no parameter was modified).