net.finmath.montecarlo.interestrate.modelplugins

Class LIBORCovarianceModelFromVolatilityAndCorrelation

java.lang.Object

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel

net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric

net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation

public class LIBORCovarianceModelFromVolatilityAndCorrelation
extends AbstractLIBORCovarianceModelParametric

A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.

The model parameters are given by the concatenation of the parameters of the LIBORVolatilityModel and the parameters of the LIBORCorrelationModel, in this ordering

Constructor Summary

Constructors

Constructor and Description
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)

Method Summary

Modifier and Type	Method and Description
java.lang.Object	clone()
LIBORCorrelationModel	getCorrelationModel()
RandomVariableInterface	getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface[]	getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
RandomVariableInterface	getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex) Returns the pseudo inverse of the factor matrix.
double[]	getParameter() Get the parameters of determining this parametric covariance model.
LIBORVolatilityModel	getVolatilityModel()
void	setParameter(double[] parameter)

Methods inherited from class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric

getCloneCalibrated, getCloneCalibrated, getCloneWithModifiedParameters, toString

Methods inherited from class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel

getCovariance, getFactorLoading, getFactorLoading, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

LIBORCovarianceModelFromVolatilityAndCorrelation

public LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization,
                                                        TimeDiscretizationInterface liborPeriodDiscretization,
                                                        LIBORVolatilityModel volatilityModel,
                                                        LIBORCorrelationModel correlationModel)

Method Detail

getFactorLoading

public RandomVariableInterface[] getFactorLoading(int timeIndex,
                                                  int component,
                                                  RandomVariableInterface[] realizationAtTimeIndex)

Description copied from class: AbstractLIBORCovarianceModel

Return the factor loading for a given time index and component index. 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.

Specified by:

getFactorLoading in class AbstractLIBORCovarianceModel

Parameters:

timeIndex - The time index at which factor loading is requested.

component - The index of the component i.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The factor loading f_i(t).

getFactorLoadingPseudoInverse

public RandomVariableInterface getFactorLoadingPseudoInverse(int timeIndex,
                                                             int component,
                                                             int factor,
                                                             RandomVariableInterface[] realizationAtTimeIndex)

Description copied from class: AbstractLIBORCovarianceModel

Returns the pseudo inverse of the factor matrix.

Specified by:

getFactorLoadingPseudoInverse in class AbstractLIBORCovarianceModel

Parameters:

timeIndex - The time index at which factor loading inverse is requested.

component - The index of the component i.

factor - The index of the factor j.

realizationAtTimeIndex - The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).

Returns:

The entry of the pseudo-inverse of the factor loading matrix.

getCovariance

public RandomVariableInterface getCovariance(int timeIndex,
                                             int component1,
                                             int component2,
                                             RandomVariableInterface[] realizationAtTimeIndex)

Description copied from class: AbstractLIBORCovarianceModel

Returns the instantaneous covariance calculated from factor loadings.

Overrides:

getCovariance in class AbstractLIBORCovarianceModel

Parameters:

timeIndex - The time index at which covariance is requested.

component1 - Index of component i.

component2 - Index of component j.

realizationAtTimeIndex - The realization of the stochastic process.

Returns:

The instantaneous covariance between component i and j.

getParameter

public double[] getParameter()

Description copied from class: AbstractLIBORCovarianceModelParametric

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 class AbstractLIBORCovarianceModelParametric

Returns:

Parameter vector.

setParameter

public void setParameter(double[] parameter)

Specified by:

setParameter in class AbstractLIBORCovarianceModelParametric

clone

public java.lang.Object clone()

Specified by:

clone in class AbstractLIBORCovarianceModelParametric

getVolatilityModel

public LIBORVolatilityModel getVolatilityModel()

getCorrelationModel

public LIBORCorrelationModel getCorrelationModel()