Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models.covariance

Interface TermStructureFactorLoadingsModel

All Known Subinterfaces:

TermStructureCovarianceModel, TermStructureFactorLoadingsModelParametric

All Known Implementing Classes:

TermStructCovarianceModelFromLIBORCovarianceModel, TermStructCovarianceModelFromLIBORCovarianceModelParametric, TermStructureCovarianceModelParametric

public interface TermStructureFactorLoadingsModel

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

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. The factor loading is the vector f_i such that the scalar product
f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,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:

The factor loading f_i(t).

getNumberOfFactors

int getNumberOfFactors()

Returns:

the numberOfFactors