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

Class LIBORCovarianceModelBH

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
All Implemented Interfaces:
Serializable, LIBORCovarianceModel, LIBORCovarianceModelCalibrateable
public class LIBORCovarianceModelBH extends AbstractLIBORCovarianceModelParametric
A five parameter covariance model corresponding. The model is provided for analysis / illustration. It has some bad properties. Use in production in not recommended.
Since:
finmath-lib 3.6.0
Version:
1.0
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • LIBORCovarianceModelBH

      public LIBORCovarianceModelBH​(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double[] parameter)
      Create model.
      Parameters:
      timeDiscretization - The simulation time discretization.
      liborPeriodDiscretization - The fixed forward rate discretization.
      numberOfFactors - The number of factors.
      parameter - Vector of size 5.

    • LIBORCovarianceModelBH

      public LIBORCovarianceModelBH​(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)
      Create model with default parameter.
      Parameters:
      timeDiscretization - The simulation time discretization.
      liborPeriodDiscretization - The fixed forward rate discretization.
      numberOfFactors - The number of factors.

  • Method Details

    • clone

      public Object clone()
      Specified by:
      clone in class AbstractLIBORCovarianceModelParametric

    • getParameterAsDouble

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

    • getFactorLoading

      public RandomVariable[] getFactorLoading​(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
      Description copied from interface: LIBORCovarianceModel
      Return the factor loading for a given time index and component index. The factor loading is the vector fi such that the scalar product
      fjfk = fj,1fk,1 + ... + fj,mfk,m
      is the instantaneous covariance of the component j and k.
      Specified by:
      getFactorLoading in interface LIBORCovarianceModel
      Specified by:
      getFactorLoading in class AbstractLIBORCovarianceModel
      Parameters:
      timeIndex - The time index at which factor loading is requested.
      component - The index of the component i.
      realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
      Returns:
      The factor loading fi(t).

    • getFactorLoadingPseudoInverse

      public RandomVariableFromDoubleArray getFactorLoadingPseudoInverse​(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex)
      Description copied from interface: LIBORCovarianceModel
      Returns the pseudo inverse of the factor matrix.
      Specified by:
      getFactorLoadingPseudoInverse in interface LIBORCovarianceModel
      Specified by:
      getFactorLoadingPseudoInverse in class AbstractLIBORCovarianceModel
      Parameters:
      timeIndex - The time index at which factor loading inverse is requested.
      component - The index of the component i.
      factor - The index of the factor j.
      realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
      Returns:
      The entry of the pseudo-inverse of the factor loading matrix.

    • getCloneWithModifiedParameters

      public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters​(double[] parameters)
      Description copied from class: AbstractLIBORCovarianceModelParametric
      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 class AbstractLIBORCovarianceModelParametric
      Parameters:
      parameters - The new set of parameters.
      Returns:
      An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

    • getCloneWithModifiedData

      public AbstractLIBORCovarianceModelParametric getCloneWithModifiedData​(Map<String,​Object> dataModified) throws CalculationException
      Description copied from interface: LIBORCovarianceModel
      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 covariance 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.
      Specified by:
      getCloneWithModifiedData in interface LIBORCovarianceModel
      Specified by:
      getCloneWithModifiedData in class AbstractLIBORCovarianceModel
      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).
      Throws:
      CalculationException - Thrown when the model could not be created.