Class ShortRateVolatilityModelPiecewiseConstant

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel

net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric

net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant

All Implemented Interfaces:

Serializable, ShortRateVolatilityModel, ShortRateVolatilityModelCalibrateable, ShortRateVolatilityModelParametric

public class ShortRateVolatilityModelPiecewiseConstant
extends AbstractShortRateVolatilityModelParametric
implements ShortRateVolatilityModel

Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.

Version:

1.0

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable, boolean isMeanReversionCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable, boolean isMeanReversionCalibrateable)

Method Summary

Modifier and Type	Method	Description
Object	clone()
AbstractShortRateVolatilityModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
AbstractShortRateVolatilityModelParametric	getCloneWithModifiedParameters(RandomVariable[] parameters)	Return an instance of this model using a new set of parameters.
RandomVariable	getMeanReversion(int timeIndex)	Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
RandomVariable[]	getParameter()	Get the parameters of determining this parametric volatility model.
RandomVariable	getVolatility(double time)
RandomVariable	getVolatility(int timeIndex)	Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
TimeDiscretization	getVolatilityTimeDiscretization()	Returns the time discretization used for the picewise constant volatility and mean reversion.

Methods inherited from class AbstractShortRateVolatilityModelParametric

getCloneCalibrated, getCloneCalibratedLegazy, getParameterAsDouble, toString

Methods inherited from class AbstractShortRateVolatilityModel

getTimeDiscretization

Methods inherited from class Object

equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface ShortRateVolatilityModel

getTimeDiscretization

Constructor Details

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory,
 TimeDiscretization timeDiscretization,
 TimeDiscretization volatilityTimeDiscretization,
 RandomVariable[] volatility,
 RandomVariable[] meanReversion,
 boolean isVolatilityCalibrateable,
 boolean isMeanReversionCalibrateable)

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory,
 TimeDiscretization timeDiscretization,
 TimeDiscretization volatilityTimeDiscretization,
 double[] volatility,
 double[] meanReversion,
 boolean isVolatilityCalibrateable,
 boolean isMeanReversionCalibrateable)

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory,
 TimeDiscretization timeDiscretization,
 TimeDiscretization volatilityTimeDiscretization,
 double[] volatility,
 double[] meanReversion,
 boolean isVolatilityCalibrateable)

ShortRateVolatilityModelPiecewiseConstant

public ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory,
 TimeDiscretization timeDiscretization,
 TimeDiscretization volatilityTimeDiscretization,
 RandomVariable[] volatility,
 RandomVariable[] meanReversion,
 boolean isVolatilityCalibrateable)

Method Details

getVolatility

public RandomVariable getVolatility(int timeIndex)

Description copied from interface: ShortRateVolatilityModel

Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getVolatility in interface ShortRateVolatilityModel

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \)

getVolatility

public RandomVariable getVolatility(double time)

getMeanReversion

public RandomVariable getMeanReversion(int timeIndex)

Description copied from interface: ShortRateVolatilityModel

Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).

Specified by:

getMeanReversion in interface ShortRateVolatilityModel

Parameters:

timeIndex - The index \( i \).

Returns:

the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \)

getParameter

public RandomVariable[] getParameter()

Description copied from class: AbstractShortRateVolatilityModelParametric

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

Specified by:

getParameter in interface ShortRateVolatilityModelParametric

Specified by:

getParameter in class AbstractShortRateVolatilityModelParametric

Returns:

Parameter vector.

clone

public Object clone()

Specified by:

clone in class AbstractShortRateVolatilityModelParametric

getCloneWithModifiedParameters

public AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)

Description copied from class: AbstractShortRateVolatilityModelParametric

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.

Specified by:

getCloneWithModifiedParameters in interface ShortRateVolatilityModelParametric

Specified by:

getCloneWithModifiedParameters in class AbstractShortRateVolatilityModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getCloneWithModifiedParameters

public AbstractShortRateVolatilityModelParametric getCloneWithModifiedParameters(double[] parameters)

Description copied from class: AbstractShortRateVolatilityModelParametric

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.

Specified by:

getCloneWithModifiedParameters in interface ShortRateVolatilityModelParametric

Specified by:

getCloneWithModifiedParameters in class AbstractShortRateVolatilityModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractShortRateVolatilityModel with modified parameters.

getVolatilityTimeDiscretization

public TimeDiscretization getVolatilityTimeDiscretization()

Returns the time discretization used for the picewise constant volatility and mean reversion.

Returns:

The volatility discretization.