public interface LIBORModel extends TermStructureModel, IndependentModelParameterProvider
Modifier and Type | Method and Description |
---|---|
LIBORModel |
getCloneWithModifiedData(Map<String,Object> dataModified)
Create a new object implementing LIBORModel, using the new data.
|
RandomVariable |
getLIBOR(int timeIndex,
int liborIndex) |
double |
getLiborPeriod(int timeIndex)
The period start corresponding to a given forward rate discretization index.
|
TimeDiscretization |
getLiborPeriodDiscretization()
The tenor time discretization of the forward rate curve.
|
int |
getLiborPeriodIndex(double time)
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
|
int |
getNumberOfLibors()
Get the number of LIBORs in the LIBOR discretization.
|
getAnalyticModel, getDiscountCurve, getForwardRateCurve, getLIBOR
applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getProcess, getRandomVariableForConstant, getReferenceDate, getTimeDiscretization, setProcess
getModelParameters
RandomVariable getLIBOR(int timeIndex, int liborIndex) throws CalculationException
CalculationException
TimeDiscretization getLiborPeriodDiscretization()
int getNumberOfLibors()
double getLiborPeriod(int timeIndex)
timeIndex
- The index corresponding to a given time (interpretation is start of period)int getLiborPeriodIndex(double time)
time
- The period start.LIBORModel getCloneWithModifiedData(Map<String,Object> dataModified) throws CalculationException
getCloneWithModifiedData
in interface ProcessModel
getCloneWithModifiedData
in interface TermStructureModel
dataModified
- A map with values to be used in constructions (keys are identical to parameter names of the constructors).CalculationException
- Thrown if the valuation fails, specific cause may be available via the cause()
method.Copyright © 2019. All rights reserved.