Class LIBORCorrelationModel

All Implemented Interfaces:
Direct Known Subclasses:
LIBORCorrelationModelExponentialDecay, LIBORCorrelationModelThreeParameterExponentialDecay

public abstract class LIBORCorrelationModel extends Object implements Serializable
Abstract base class and interface description of a correlation model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation). Derive from this class and implement the getFactorLoading method. You have to call the constructor of this class to set the time discretizations.
Christian Fries
See Also:
  • Constructor Details

  • Method Details

    • getParameter

      public abstract RandomVariable[] getParameter()
    • getCloneWithModifiedParameter

      public abstract LIBORCorrelationModel getCloneWithModifiedParameter(RandomVariable[] parameter)
    • 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.
    • clone

      public abstract Object clone()
      clone in class Object
    • 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).