Class TermStructureCovarianceModelParametric

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric

All Implemented Interfaces:

TermStructureCovarianceModel, TermStructureFactorLoadingsModel, TermStructureFactorLoadingsModelParametric, TermStructureTenorTimeScaling

Direct Known Subclasses:

TermStructCovarianceModelFromLIBORCovarianceModelParametric

public abstract class TermStructureCovarianceModelParametric
extends Object
implements TermStructureCovarianceModel, TermStructureTenorTimeScaling, TermStructureFactorLoadingsModelParametric

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
TermStructureCovarianceModelParametric()

Method Summary

Modifier and Type	Method	Description
abstract TermStructureCovarianceModelParametric	clone()
TermStructureCovarianceModelParametric	getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Return a calibrated clone of the covariance model.
abstract TermStructureCovarianceModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
abstract double[]	getParameter()	Get the parameters of determining this parametric covariance model.

Methods inherited from class Object

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

Methods inherited from interface TermStructureFactorLoadingsModel

getFactorLoading, getNumberOfFactors

Methods inherited from interface TermStructureTenorTimeScaling

getScaledTenorTime

Constructor Details

TermStructureCovarianceModelParametric

public TermStructureCovarianceModelParametric()

Method Details

getParameter

public abstract double[] getParameter()

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

Specified by:

getParameter in interface TermStructureFactorLoadingsModelParametric

Specified by:

getParameter in interface TermStructureTenorTimeScaling

Returns:

Parameter vector.

clone

public abstract TermStructureCovarianceModelParametric clone()

Specified by:

clone in interface TermStructureTenorTimeScaling

Overrides:

clone in class Object

Returns:

A clone of this object.

getCloneWithModifiedParameters

public abstract TermStructureCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters)

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 TermStructureFactorLoadingsModelParametric

Specified by:

getCloneWithModifiedParameters in interface TermStructureTenorTimeScaling

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

getCloneCalibrated

public TermStructureCovarianceModelParametric getCloneCalibrated(TermStructureModel calibrationModel,
 CalibrationProduct[] calibrationProducts,
 Map<String,Object> calibrationParameters)
                                                          throws CalculationException

Return a calibrated clone of the covariance model.

Parameters:

calibrationModel - Model to be used for the calibration.

calibrationProducts - Vector of calibration products.

calibrationParameters - Property map of calibration parameters.

Returns:

A clone of this model, using the calibrated parameters.

Throws:

CalculationException - Exception indicating failure in calibration.