public class LIBORCovarianceModelStochasticHestonVolatility extends AbstractLIBORCovarianceModelParametric
BrownianMotionInterface
. This can be used to generate correlations to
other objects. If you like to reuse a factor of another Brownian motion use a
BrownianMotionView
to delegate \( ( \mathrm{d} W_{1}(t) ) \) to a different object.
The parameter of this model is a joint parameter vector, consisting
of the parameter vector of the given base covariance model and
appending the parameters κ, θ and ξ at the end.
If this model is not calibrateable, its parameter vector is that of the
covariance model, i.e., ν and ρ will be not
part of the calibration.
For an illustration of its usage see the associated unit test.Constructor and Description |
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LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel,
BrownianMotionInterface brownianMotion,
double kappa,
double theta,
double xi,
boolean isCalibrateable)
Create a modification of a given
AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling. |
Modifier and Type | Method and Description |
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Object |
clone() |
AbstractLIBORCovarianceModelParametric |
getCloneWithModifiedParameters(double[] parameters)
Return an instance of this model using a new set of parameters.
|
RandomVariableInterface[] |
getFactorLoading(int timeIndex,
int component,
RandomVariableInterface[] realizationAtTimeIndex)
Return the factor loading for a given time index and component index.
|
RandomVariableInterface |
getFactorLoadingPseudoInverse(int timeIndex,
int component,
int factor,
RandomVariableInterface[] realizationAtTimeIndex)
Returns the pseudo inverse of the factor matrix.
|
double[] |
getParameter()
Get the parameters of determining this parametric
covariance model.
|
getCloneCalibrated, getCloneCalibrated, getCloneCalibrated, toString
getCovariance, getCovariance, getFactorLoading, getFactorLoading, getLiborPeriodDiscretization, getNumberOfFactors, getTimeDiscretization
public LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotionInterface brownianMotion, double kappa, double theta, double xi, boolean isCalibrateable)
AbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.covarianceModel
- A given AbstractLIBORCovarianceModelParametric.brownianMotion
- An object implementing BrownianMotionInterface
with at least two factors. This class uses the first two factors, but you may use BrownianMotionView
to change this.kappa
- The initial value for κ, the mean reversion speed of the variance process V.theta
- The initial value for θ the mean reversion level of the variance process V.xi
- The initial value for ξ the volatility of the variance process V.isCalibrateable
- If true, the parameters ν and ρ are parameters. Note that the covariance model (covarianceModel
) may have its own parameter calibration settings.public double[] getParameter()
AbstractLIBORCovarianceModelParametric
getParameter
in class AbstractLIBORCovarianceModelParametric
public Object clone()
clone
in class AbstractLIBORCovarianceModelParametric
public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(double[] 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.