Class LIBORVolatilityModelFromGivenMatrix

  • All Implemented Interfaces:
    Serializable

    public class LIBORVolatilityModelFromGivenMatrix
    extends LIBORVolatilityModel
    Implements a simple volatility model using given piece-wise constant values on a given discretization grid.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form
    • Constructor Detail

      • LIBORVolatilityModelFromGivenMatrix

        public LIBORVolatilityModelFromGivenMatrix​(RandomVariableFactory randomVariableFactory,
                                                   TimeDiscretization timeDiscretization,
                                                   TimeDiscretization liborPeriodDiscretization,
                                                   RandomVariable[][] volatility,
                                                   boolean isCalibrateable)
        Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
        Parameters:
        randomVariableFactory - The random variable factor used to construct random variables from the parameters.
        timeDiscretization - Discretization of simulation time.
        liborPeriodDiscretization - Discretization of tenor times.
        volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
        isCalibrateable - Set this to true, if the parameters are available for calibration.
      • LIBORVolatilityModelFromGivenMatrix

        public LIBORVolatilityModelFromGivenMatrix​(TimeDiscretization timeDiscretization,
                                                   TimeDiscretization liborPeriodDiscretization,
                                                   RandomVariable[][] volatility,
                                                   boolean isCalibrateable)
        Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
        Parameters:
        timeDiscretization - Discretization of simulation time.
        liborPeriodDiscretization - Discretization of tenor times.
        volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
        isCalibrateable - Set this to true, if the parameters are available for calibration.
      • LIBORVolatilityModelFromGivenMatrix

        public LIBORVolatilityModelFromGivenMatrix​(TimeDiscretization timeDiscretization,
                                                   TimeDiscretization liborPeriodDiscretization,
                                                   RandomVariable[][] volatility)
        Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
        Parameters:
        timeDiscretization - Discretization of simulation time.
        liborPeriodDiscretization - Discretization of tenor times.
        volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
      • LIBORVolatilityModelFromGivenMatrix

        public LIBORVolatilityModelFromGivenMatrix​(RandomVariableFactory randomVariableFactory,
                                                   TimeDiscretization timeDiscretization,
                                                   TimeDiscretization liborPeriodDiscretization,
                                                   double[][] volatility,
                                                   boolean isCalibrateable)
        Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
        Parameters:
        randomVariableFactory - The random variable factor used to construct random variables from the parameters.
        timeDiscretization - Discretization of simulation time.
        liborPeriodDiscretization - Discretization of tenor times.
        volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
        isCalibrateable - Set this to true, if the parameters are available for calibration.
      • LIBORVolatilityModelFromGivenMatrix

        public LIBORVolatilityModelFromGivenMatrix​(RandomVariableFactory randomVariableFactory,
                                                   TimeDiscretization timeDiscretization,
                                                   TimeDiscretization liborPeriodDiscretization,
                                                   double[][] volatility)
        Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
        Parameters:
        randomVariableFactory - The random variable factor used to construct random variables from the parameters.
        timeDiscretization - Discretization of simulation time.
        liborPeriodDiscretization - Discretization of tenor times.
        volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
      • LIBORVolatilityModelFromGivenMatrix

        public LIBORVolatilityModelFromGivenMatrix​(TimeDiscretization timeDiscretization,
                                                   TimeDiscretization liborPeriodDiscretization,
                                                   double[][] volatility)
        Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
        Parameters:
        timeDiscretization - Discretization of simulation time.
        liborPeriodDiscretization - Discretization of tenor times.
        volatility - Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
    • Method Detail

      • getVolatility

        public RandomVariable getVolatility​(int timeIndex,
                                            int component)
        Description copied from class: LIBORVolatilityModel
        Implement this method to complete the implementation.
        Specified by:
        getVolatility in class LIBORVolatilityModel
        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.
      • getCloneWithModifiedData

        public LIBORVolatilityModel getCloneWithModifiedData​(Map<String,​Object> dataModified)
        Description copied from class: LIBORVolatilityModel
        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.
        Specified by:
        getCloneWithModifiedData in class LIBORVolatilityModel
        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).