net.finmath.montecarlo.interestrate.covariancemodels

Class LIBORVolatilityModel

java.lang.Object

net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModel

Direct Known Subclasses:

LIBORVolatilityModelFourParameterExponentialForm, LIBORVolatilityModelFromGivenMatrix, LIBORVolatilityModelPiecewiseConstant

public abstract class LIBORVolatilityModel
extends Object

Abstract base class and interface description of a volatility model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation). Derive from this class and implement the getVolatlity method. You have to call the constructor of this class to set the time discretizations.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
LIBORVolatilityModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization)

Method Summary

Modifier and Type	Method and Description
abstract Object	clone()
TimeDiscretizationInterface	getLiborPeriodDiscretization()
abstract RandomVariableInterface[]	getParameter()
TimeDiscretizationInterface	getTimeDiscretization()
abstract RandomVariableInterface	getVolatility(int timeIndex, int component) Implement this method to complete the implementation.
abstract void	setParameter(RandomVariableInterface[] parameter)

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORVolatilityModel

public LIBORVolatilityModel(TimeDiscretizationInterface timeDiscretization,
                            TimeDiscretizationInterface liborPeriodDiscretization)

Parameters:

timeDiscretization - The vector of simulation time discretization points.

liborPeriodDiscretization - The vector of tenor discretization points.

Method Detail

getParameter

public abstract RandomVariableInterface[] getParameter()

setParameter

public abstract void setParameter(RandomVariableInterface[] parameter)

getVolatility

public abstract RandomVariableInterface getVolatility(int timeIndex,
                                                      int component)

Implement this method to complete the implementation.

Parameters:

timeIndex - The time index (for timeDiscretization)

component - The libor index (for liborPeriodDiscretization)

Returns:

A random variable (e.g. as a vector of doubles) representing the volatility for each path.

getLiborPeriodDiscretization

public TimeDiscretizationInterface getLiborPeriodDiscretization()

Returns:

Returns the liborPeriodDiscretization.

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

Returns:

Returns the timeDiscretization.

clone

public abstract Object clone()

Overrides:

clone in class Object