Class TermStructCovarianceModelFromLIBORCovarianceModel

All Implemented Interfaces:

public class TermStructCovarianceModelFromLIBORCovarianceModel extends Object implements TermStructureFactorLoadingsModel
Christian Fries
  • Constructor Details

    • TermStructCovarianceModelFromLIBORCovarianceModel

      public TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel)
      Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.
      covarianceModel - The model implementing AbstractLIBORCovarianceModelParametric.
  • Method Details

    • getFactorLoading

      public RandomVariable[] getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
      Description copied from interface: TermStructureFactorLoadingsModel
      Return the factor loading for a given time and a term structure period. The factor loading is the vector fi such that the scalar product
      fjfk = fj,1fk,1 + ... + fj,mfk,m
      is the instantaneous covariance of the component j and k. With respect to simulation time t, this method uses a piece wise constant interpolation, i.e., it calculates t_i such that t_i is the largest point in getTimeDiscretization such that t_i ≤ t . The component here, it given via a double T which may be associated with the LIBOR fixing date. With respect to component time T, this method uses a piece wise constant interpolation, i.e., it calculates T_j such that T_j is the largest point in getTimeDiscretization such that T_j ≤ T .
      Specified by:
      getFactorLoading in interface TermStructureFactorLoadingsModel
      time - The time t at which factor loading is requested.
      periodStart - Period start of the component.
      periodEnd - Period end of the component.
      periodDiscretization - The period discretization associated with the realizationAtTimeIndex
      realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
      model - The term structure model.
      The factor loading fi(t).
    • getNumberOfFactors

      public int getNumberOfFactors()
      Specified by:
      getNumberOfFactors in interface TermStructureFactorLoadingsModel
      the numberOfFactors