net.finmath.montecarlo.interestrate.models.covariance

Class LIBORCovarianceModelFromVolatilityAndCorrelation

java.lang.Object

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

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

net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation

All Implemented Interfaces:

Serializable, LIBORCovarianceModel, LIBORCovarianceModelCalibrateable

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

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
Object	clone()
AbstractLIBORCovarianceModelParametric	getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified.
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.
LIBORCorrelationModel	getCorrelationModel()
RandomVariable	getCovariance(int timeIndex, int component1, int component2, RandomVariable[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariable[]	getFactorLoading(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
RandomVariable	getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex) Returns the pseudo inverse of the factor matrix.
RandomVariable[]	getParameter() Get the parameters of determining this parametric covariance model.
double[]	getParameterAsDouble() Get the parameters of determining this parametric covariance model.
LIBORVolatilityModel	getVolatilityModel()

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

getCloneCalibrated, getCloneCalibrated, getCloneCalibratedLegazy, toString

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

getCovariance, getFactorLoading, getFactorLoading, 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

getCovariance, getFactorLoading, getFactorLoading, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization

Constructor Detail

LIBORCovarianceModelFromVolatilityAndCorrelation

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

Method Detail

getFactorLoading

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

Description copied from interface: LIBORCovarianceModel

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 interface LIBORCovarianceModel

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 RandomVariable getFactorLoadingPseudoInverse(int timeIndex,
                                                    int component,
                                                    int factor,
                                                    RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Returns the pseudo inverse of the factor matrix.

Specified by:

getFactorLoadingPseudoInverse in interface LIBORCovarianceModel

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 RandomVariable getCovariance(int timeIndex,
                                    int component1,
                                    int component2,
                                    RandomVariable[] realizationAtTimeIndex)

Description copied from interface: LIBORCovarianceModel

Returns the instantaneous covariance calculated from factor loadings.

Specified by:

getCovariance in interface LIBORCovarianceModel

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 RandomVariable[] 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.

Overrides:

getParameter in class AbstractLIBORCovarianceModelParametric

Returns:

Parameter vector.

getCloneWithModifiedParameters

public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters)

Description copied from class: AbstractLIBORCovarianceModelParametric

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.

Specified by:

getCloneWithModifiedParameters in class AbstractLIBORCovarianceModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

getParameterAsDouble

public double[] getParameterAsDouble()

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:

getParameterAsDouble in class AbstractLIBORCovarianceModelParametric

Returns:

Parameter vector.

clone

public Object clone()

Specified by:

clone in class AbstractLIBORCovarianceModelParametric

getCloneWithModifiedParameters

public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters)

Description copied from class: AbstractLIBORCovarianceModelParametric

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.

Overrides:

getCloneWithModifiedParameters in class AbstractLIBORCovarianceModelParametric

Parameters:

parameters - The new set of parameters.

Returns:

An instance of AbstractLIBORCovarianceModelParametric with modified parameters.

getVolatilityModel

public LIBORVolatilityModel getVolatilityModel()

getCorrelationModel

public LIBORCorrelationModel getCorrelationModel()

getCloneWithModifiedData

public AbstractLIBORCovarianceModelParametric getCloneWithModifiedData(Map<String,Object> dataModified)
                                                                throws CalculationException

Description copied from interface: LIBORCovarianceModel

Returns a clone of this model where the specified properties have been modified. Note that there is no guarantee that a model reacts on a specification of a properties in the parameter map dataModified. If data is provided which is ignored by the model no exception may be thrown. Furthermore the structure of the covariance model has to match changed data. A change of the time discretizations may requires a change in the parameters but this function will just insert the new time discretization without changing the parameters. An exception may not be thrown.

Specified by:

getCloneWithModifiedData in interface LIBORCovarianceModel

Specified by:

getCloneWithModifiedData in class AbstractLIBORCovarianceModel

Parameters:

dataModified - Key-value-map of parameters to modify.

Returns:

A clone of this model (or a new instance of this model if no parameter was modified).

Throws:

CalculationException - Thrown when the model could not be created.