Class LIBORVolatilityModelTimeHomogenousPiecewiseConstant

  • All Implemented Interfaces:
    Serializable

    public class LIBORVolatilityModelTimeHomogenousPiecewiseConstant
    extends LIBORVolatilityModel
    Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form
    • Constructor Detail

      • LIBORVolatilityModelTimeHomogenousPiecewiseConstant

        public LIBORVolatilityModelTimeHomogenousPiecewiseConstant​(RandomVariableFactory randomVariableFactory,
                                                                   TimeDiscretization timeDiscretization,
                                                                   TimeDiscretization liborPeriodDiscretization,
                                                                   TimeDiscretization timeToMaturityDiscretization,
                                                                   RandomVariable[] volatility)
        Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
        Parameters:
        randomVariableFactory - The random variable factor used to construct random variables from the parameters.
        timeDiscretization - The simulation time discretization tj.
        liborPeriodDiscretization - The period time discretization Ti.
        timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.
        volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.
      • LIBORVolatilityModelTimeHomogenousPiecewiseConstant

        public LIBORVolatilityModelTimeHomogenousPiecewiseConstant​(TimeDiscretization timeDiscretization,
                                                                   TimeDiscretization liborPeriodDiscretization,
                                                                   TimeDiscretization timeToMaturityDiscretization,
                                                                   RandomVariable[] volatility)
        Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
        Parameters:
        timeDiscretization - The simulation time discretization tj.
        liborPeriodDiscretization - The period time discretization Ti.
        timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.
        volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.
      • LIBORVolatilityModelTimeHomogenousPiecewiseConstant

        public LIBORVolatilityModelTimeHomogenousPiecewiseConstant​(RandomVariableFactory randomVariableFactory,
                                                                   TimeDiscretization timeDiscretization,
                                                                   TimeDiscretization liborPeriodDiscretization,
                                                                   TimeDiscretization timeToMaturityDiscretization,
                                                                   double[] volatility)
        Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
        Parameters:
        randomVariableFactory - The random variable factor used to construct random variables from the parameters.
        timeDiscretization - The simulation time discretization tj.
        liborPeriodDiscretization - The period time discretization Ti.
        timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.
        volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.
      • LIBORVolatilityModelTimeHomogenousPiecewiseConstant

        public LIBORVolatilityModelTimeHomogenousPiecewiseConstant​(TimeDiscretization timeDiscretization,
                                                                   TimeDiscretization liborPeriodDiscretization,
                                                                   TimeDiscretization timeToMaturityDiscretization,
                                                                   double[] volatility)
        Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
        Parameters:
        timeDiscretization - The simulation time discretization tj.
        liborPeriodDiscretization - The period time discretization Ti.
        timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.
        volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.
    • Method Detail

      • getVolatility

        public RandomVariable getVolatility​(int timeIndex,
                                            int liborIndex)
        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)
        liborIndex - 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).