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

Class LIBORVolatilityModel

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
All Implemented Interfaces:
Serializable
Direct Known Subclasses:
LIBORVolatilityModelFourParameterExponentialForm, LIBORVolatilityModelFourParameterExponentialFormIntegrated, LIBORVolatilityModelFromGivenMatrix, LIBORVolatilityModelMaturityDependentFourParameterExponentialForm, LIBORVolatilityModelPiecewiseConstant, LIBORVolatilityModelTimeHomogenousPiecewiseConstant, LIBORVolatilityModelTwoParameterExponentialForm
public abstract class LIBORVolatilityModel extends Object implements Serializable
Abstract base class and interface description of a volatility model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation). Derive from this class and implement the getVolatlity 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 Details

    • LIBORVolatilityModel

      public LIBORVolatilityModel​(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization)
      Parameters:
      timeDiscretization - The vector of simulation time discretization points.
      liborPeriodDiscretization - The vector of tenor discretization points.

  • Method Details

    • getParameter

      public abstract RandomVariable[] getParameter()

    • getCloneWithModifiedParameter

      public abstract LIBORVolatilityModel getCloneWithModifiedParameter​(RandomVariable[] parameter)

    • getVolatility

      public abstract RandomVariable getVolatility​(int timeIndex, int component)
      Implement this method to complete the implementation.
      Parameters:
      timeIndex - The time index (for timeDiscretizationFromArray)
      component - The libor index (for liborPeriodDiscretization)
      Returns:
      A random variable (e.g. as a vector of doubles) representing the volatility for each path.

    • 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 LIBORVolatilityModel 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).