Module net.finmath.lib

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

Interface LIBORCovarianceModelCalibrateable

All Superinterfaces:

LIBORCovarianceModel

All Known Implementing Classes:

AbstractLIBORCovarianceModelParametric, BlendedLocalVolatilityModel, DisplacedLocalVolatilityModel, ExponentialDecayLocalVolatilityModel, HullWhiteLocalVolatilityModel, LIBORCovarianceModelBH, LIBORCovarianceModelExponentialForm5Param, LIBORCovarianceModelExponentialForm7Param, LIBORCovarianceModelFromVolatilityAndCorrelation, LIBORCovarianceModelStochasticHestonVolatility, LIBORCovarianceModelStochasticVolatility

public interface LIBORCovarianceModelCalibrateable
extends LIBORCovarianceModel

Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated-method.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
LIBORCovarianceModelCalibrateable	getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel

getCloneWithModifiedData, getCovariance, getCovariance, getFactorLoading, getFactorLoading, getFactorLoading, getFactorLoadingPseudoInverse, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Method Details

getCloneCalibrated

LIBORCovarianceModelCalibrateable getCloneCalibrated(LIBORMarketModel calibrationModel,
 CalibrationProduct[] calibrationProducts,
 Map<String,Object> calibrationParameters)
                                              throws CalculationException

Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):

• brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
• maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
• accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.

Parameters:

calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).

calibrationProducts - The array of calibration products.

calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.

Returns:

A new parametric model of the same type than this one, but with calibrated parameters.

Throws:

CalculationException - Thrown if calibration has failed.

To dos:

Consider adding evaluationTime as a parameter.