Module net.finmath.lib

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

Interface TermStructureFactorLoadingsModelParametric

All Superinterfaces:

TermStructureFactorLoadingsModel

All Known Implementing Classes:

TermStructCovarianceModelFromLIBORCovarianceModelParametric, TermStructureCovarianceModelParametric

public interface TermStructureFactorLoadingsModelParametric
extends 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
TermStructureCovarianceModelParametric	getCloneWithModifiedParameters(double[] parameters)	Return an instance of this model using a new set of parameters.
double[]	getParameter()	Get the parameters of determining this parametric covariance model.

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModel

getFactorLoading, getNumberOfFactors

Method Details

getParameter

double[] getParameter()

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

Returns:

Parameter vector.

getCloneWithModifiedParameters

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.

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.