Module net.finmath.lib

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

Class LIBORCorrelationModel

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel

All Implemented Interfaces:

Serializable

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.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
LIBORCorrelationModel(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization)

Method Summary

Modifier and Type	Method	Description
abstract Object	clone()
abstract LIBORCorrelationModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
abstract LIBORCorrelationModel	getCloneWithModifiedParameter(RandomVariable[] parameter)
abstract double	getCorrelation(int timeIndex, int component1, int component2)
abstract double	getFactorLoading(int timeIndex, int factor, int component)
TimeDiscretization	getLiborPeriodDiscretization()
abstract int	getNumberOfFactors()
abstract RandomVariable[]	getParameter()
double[]	getParameterAsDouble()
TimeDiscretization	getTimeDiscretization()

Methods inherited from class java.lang.Object

equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

LIBORCorrelationModel

public LIBORCorrelationModel(TimeDiscretization timeDiscretization,
 TimeDiscretization liborPeriodDiscretization)

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:

Returns the liborPeriodDiscretization.

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Returns:

Returns the timeDiscretizationFromArray.

clone

public abstract Object clone()

Overrides:

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.

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).