public class BlendedLocalVolatilityModel extends AbstractLIBORCovarianceModelParametric
Constructor and Description |
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BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel,
double displacement,
boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.
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BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory,
AbstractLIBORCovarianceModelParametric covarianceModel,
double displacement,
boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.
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BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory,
AbstractLIBORCovarianceModelParametric covarianceModel,
ForwardCurveInterface forwardCurve,
double displacement,
boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.
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Modifier and Type | Method and Description |
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Object |
clone() |
AbstractLIBORCovarianceModelParametric |
getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F
such that this model's i-th factor loading is
(a Li,0 + (1-a)Li(t)) Fi(t)
where a is the displacement and Li is
the realization of the i-th component of the stochastic process and
Fi is the factor loading loading from the given covariance model.
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AbstractLIBORCovarianceModelParametric |
getCloneWithModifiedParameters(RandomVariableInterface[] parameters)
Return an instance of this model using a new set of parameters.
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RandomVariableInterface[] |
getFactorLoading(int timeIndex,
int component,
RandomVariableInterface[] realizationAtTimeIndex)
Return the factor loading for a given time index and component index.
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RandomVariableInterface |
getFactorLoadingPseudoInverse(int timeIndex,
int component,
int factor,
RandomVariableInterface[] realizationAtTimeIndex)
Returns the pseudo inverse of the factor matrix.
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RandomVariableInterface[] |
getParameter()
Get the parameters of determining this parametric
covariance model.
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getCloneCalibrated, getCloneCalibrated, toString
getCovariance, getCovariance, getFactorLoading, getFactorLoading, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization
public BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurveInterface forwardCurve, double displacement, boolean isCalibrateable)
randomVariableFactory
- The factory used to create RandomVariableInterface objects from constants.covarianceModel
- The given covariance model specifying the factor loadings F.forwardCurve
- The given forward curve L0displacement
- The displacement a.isCalibrateable
- If true, the parameter a is a free parameter. Note that the covariance model may have its own parameter calibration settings.public BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable)
randomVariableFactory
- The factory used to create RandomVariableInterface objects from constants.covarianceModel
- The given covariance model specifying the factor loadings F.displacement
- The displacement a.isCalibrateable
- If true, the parameter a is a free parameter. Note that the covariance model may have its own parameter calibration settings.public BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable)
covarianceModel
- The given covariance model specifying the factor loadings F.displacement
- The displacement a.isCalibrateable
- If true, the parameter a is a free parameter. Note that the covariance model may have its own parameter calibration settings.public Object clone()
clone
in class AbstractLIBORCovarianceModelParametric
public AbstractLIBORCovarianceModelParametric getBaseCovarianceModel()
public RandomVariableInterface[] getParameter()
AbstractLIBORCovarianceModelParametric
getParameter
in class AbstractLIBORCovarianceModelParametric
public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(RandomVariableInterface[] parameters)
AbstractLIBORCovarianceModelParametric
getCloneWithModifiedParameters
in class AbstractLIBORCovarianceModelParametric
parameters
- The new set of parameters.public RandomVariableInterface[] getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
AbstractLIBORCovarianceModel
getFactorLoading
in class AbstractLIBORCovarianceModel
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).public RandomVariableInterface getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
AbstractLIBORCovarianceModel
getFactorLoadingPseudoInverse
in class AbstractLIBORCovarianceModel
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).Copyright © 2019. All rights reserved.