Class LIBORVolatilityModel

    • Constructor Detail

      • LIBORVolatilityModel

        public LIBORVolatilityModel​(TimeDiscretization timeDiscretization,
                                    TimeDiscretization liborPeriodDiscretization)
        timeDiscretization - The vector of simulation time discretization points.
        liborPeriodDiscretization - The vector of tenor discretization points.
    • Method Detail

      • getVolatility

        public abstract RandomVariable getVolatility​(int timeIndex,
                                                     int component)
        Implement this method to complete the implementation.
        timeIndex - The time index (for timeDiscretizationFromArray)
        component - The libor index (for liborPeriodDiscretization)
        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 the liborPeriodDiscretization.
      • getTimeDiscretization

        public TimeDiscretization getTimeDiscretization()
        Returns the timeDiscretizationFromArray.
      • 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.
        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).