net.finmath.montecarlo.interestrate.models.covariance

Class AbstractLIBORCovarianceModelParametric

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel

net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric

All Implemented Interfaces:

Serializable, LIBORCovarianceModel, LIBORCovarianceModelCalibrateable

Direct Known Subclasses:

BlendedLocalVolatilityModel, DisplacedLocalVolatilityModel, HullWhiteLocalVolatilityModel, LIBORCovarianceModelBH, LIBORCovarianceModelExponentialForm5Param, LIBORCovarianceModelExponentialForm7Param, LIBORCovarianceModelFromVolatilityAndCorrelation, LIBORCovarianceModelStochasticHestonVolatility, LIBORCovarianceModelStochasticVolatility

public abstract class AbstractLIBORCovarianceModelParametric
extends AbstractLIBORCovarianceModel
implements LIBORCovarianceModelCalibrateable

Base class for parametric covariance models, see also AbstractLIBORCovarianceModel. Parametric models feature a parameter vector which can be inspected and modified for calibration purposes. The parameter vector may have zero length, which indicated that the model is not calibrateable. This class includes the implementation of a generic calibration algorithm. If you provide an arbitrary list of calibration products, the class can return a new instance where the parameters are chosen such that the (weighted) root-mean-square error of the difference of the value of the calibration products and given target values is minimized.

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Date:

20.05.2006, 23.02.2014

Constructor Summary

Constructors

Constructor and Description
AbstractLIBORCovarianceModelParametric(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors) Constructor consuming time discretizations, which are handled by the super class.

Method Summary

Modifier and Type	Method and Description
abstract Object	clone()
AbstractLIBORCovarianceModelParametric	getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts)
AbstractLIBORCovarianceModelParametric	getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractLIBORCovarianceModelParametric	getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)
abstract AbstractLIBORCovarianceModelParametric	getCloneWithModifiedParameters(double[] parameters) Return an instance of this model using a new set of parameters.
AbstractLIBORCovarianceModelParametric	getCloneWithModifiedParameters(RandomVariable[] parameters) Return an instance of this model using a new set of parameters.
RandomVariable[]	getParameter() Get the parameters of determining this parametric covariance model.
abstract double[]	getParameterAsDouble() Get the parameters of determining this parametric covariance model.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel

getCloneWithModifiedData, getCovariance, getCovariance, getFactorLoading, getFactorLoading, getFactorLoading, getFactorLoadingPseudoInverse, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Methods inherited from class java.lang.Object

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

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

getCloneWithModifiedData, getCovariance, getCovariance, getFactorLoading, getFactorLoading, getFactorLoading, getFactorLoadingPseudoInverse, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Constructor Detail

AbstractLIBORCovarianceModelParametric

public AbstractLIBORCovarianceModelParametric(TimeDiscretization timeDiscretization,
                                              TimeDiscretization liborPeriodDiscretization,
                                              int numberOfFactors)

Constructor consuming time discretizations, which are handled by the super class.

Parameters:

timeDiscretization - The vector of simulation time discretization points.

liborPeriodDiscretization - The vector of tenor discretization points.

numberOfFactors - The number of factors to use (a factor reduction is performed)

Method Detail

getParameter

public RandomVariable[] 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.

getParameterAsDouble

public abstract double[] getParameterAsDouble()

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

Returns:

Parameter vector.

clone

public abstract Object clone()

Overrides:

clone in class Object

getCloneWithModifiedParameters

public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(RandomVariable[] 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.

getCloneWithModifiedParameters

public abstract AbstractLIBORCovarianceModelParametric 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.

getCloneCalibrated

public AbstractLIBORCovarianceModelParametric getCloneCalibrated(LIBORMarketModel calibrationModel,
                                                                 CalibrationProduct[] calibrationProducts)
                                                          throws CalculationException

Throws:

CalculationException

getCloneCalibrated

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

Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights. Optional calibration parameters may be passed using the map calibrationParameters. The keys are (Strings):

• brownianMotion: Under this key an object implementing BrownianMotion may be provided. If so, this Brownian motion is used to build the valuation model.
• maxIterations: Under this key an object of type Integer may be provided specifying the maximum number of iterations.
• accuracy: Under this key an object of type Double may be provided specifying the desired accuracy. Note that this is understood in the sense that the solver will stop if the iteration does not improve by more than this number.

Specified by:

getCloneCalibrated in interface LIBORCovarianceModelCalibrateable

Parameters:

calibrationModel - The LIBOR market model to be used for calibrations (specifies forward curve and tenor discretization).

calibrationProducts - The array of calibration products.

calibrationParameters - A map of type Map<String, Object> specifying some (optional) calibration parameters.

Returns:

A new parametric model of the same type than this one, but with calibrated parameters.

Throws:

CalculationException - Thrown if calibration has failed.

getCloneCalibratedLegazy

public AbstractLIBORCovarianceModelParametric getCloneCalibratedLegazy(LIBORMarketModel calibrationModel,
                                                                       CalibrationProduct[] calibrationProducts,
                                                                       Map<String,Object> calibrationParameters)
                                                                throws CalculationException

Throws:

CalculationException

toString

public String toString()

Overrides:

toString in class Object