All Known Subinterfaces:
TermStructureCovarianceModel, TermStructureFactorLoadingsModelParametric
All Known Implementing Classes:
TermStructCovarianceModelFromLIBORCovarianceModel, TermStructCovarianceModelFromLIBORCovarianceModelParametric, TermStructureCovarianceModelParametric

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
Version:
1.0
Author:
Christian Fries
• ## Method Summary

Modifier and Type
Method
Description
RandomVariable[]
getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
Return the factor loading for a given time and a term structure period.
int
getNumberOfFactors()

• ## Method Details

getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
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 .
Parameters:
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.
Returns: