public abstract class LIBORVolatilityModel extends Object
LIBORCovarianceModelFromVolatilityAndCorrelation
).
Derive from this class and implement the getVolatlity
method.
You have to call the constructor of this class to set the time
discretizations.Constructor and Description |
---|
LIBORVolatilityModel(TimeDiscretizationInterface timeDiscretization,
TimeDiscretizationInterface liborPeriodDiscretization) |
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) |
public LIBORVolatilityModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization)
timeDiscretization
- The vector of simulation time discretization points.liborPeriodDiscretization
- The vector of tenor discretization points.public abstract RandomVariableInterface[] getParameter()
public abstract void setParameter(RandomVariableInterface[] parameter)
public abstract RandomVariableInterface getVolatility(int timeIndex, int component)
timeIndex
- The time index (for timeDiscretization)component
- The libor index (for liborPeriodDiscretization)public TimeDiscretizationInterface getLiborPeriodDiscretization()
public TimeDiscretizationInterface getTimeDiscretization()
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