Interface LIBORCovarianceModelParametric

All Superinterfaces:

LIBORCovarianceModel

All Known Subinterfaces:

LIBORCovarianceModelCalibrateable

All Known Implementing Classes:

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

public interface LIBORCovarianceModelParametric
extends LIBORCovarianceModel

Method Summary

Modifier and Type	Method	Description
LIBORCovarianceModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
LIBORCovarianceModelParametric	getCloneWithModifiedParameters(RandomVariable[] parameters)	Return an instance of this model using a new set of parameters.
RandomVariable[]	getParameter()	Get the parameters of determining this parametric covariance model.
double[]	getParameterAsDouble()	Get the parameters of determining this parametric covariance model.

Methods inherited from interface LIBORCovarianceModel

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

Method Details

getParameter

RandomVariable[] getParameter()

Get the parameters of determining this parametric covariance model. The parameters are usually free parameters which may be used in calibration.

Returns:

Parameter vector.

getParameterAsDouble

double[] getParameterAsDouble()

Get the parameters of determining this parametric covariance model. The parameters are usually free parameters which may be used in calibration.

Returns:

Parameter vector.

getCloneWithModifiedParameters

LIBORCovarianceModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)

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.

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

getCloneWithModifiedParameters

LIBORCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters)

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.

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.