Class LIBORCovarianceModelExponentialForm7Param

    • Constructor Detail

      • LIBORCovarianceModelExponentialForm7Param

        public LIBORCovarianceModelExponentialForm7Param​(TimeDiscretization timeDiscretization,
                                                         TimeDiscretization liborPeriodDiscretization,
                                                         int numberOfFactors)
    • Method Detail

      • 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
        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).
        The factor loading fi(t).
      • 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
        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).
        CalculationException - Thrown when the model could not be created.