net.finmath.montecarlo.interestrate.models.covariance

Class LIBORVolatilityModelTimeHomogenousPiecewiseConstant

java.lang.Object

net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel

net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant

All Implemented Interfaces:

Serializable

public class LIBORVolatilityModelTimeHomogenousPiecewiseConstant
extends LIBORVolatilityModel

Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility) Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility) Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility) Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility) Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.

Method Summary

Modifier and Type	Method and Description
Object	clone()
LIBORVolatilityModelTimeHomogenousPiecewiseConstant	getCloneWithModifiedParameter(RandomVariable[] parameter)
RandomVariable[]	getParameter()
RandomVariable	getVolatility(int timeIndex, int liborIndex) Implement this method to complete the implementation.

Methods inherited from class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel

getLiborPeriodDiscretization, getParameterAsDouble, getTimeDiscretization

Methods inherited from class java.lang.Object

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

Constructor Detail

LIBORVolatilityModelTimeHomogenousPiecewiseConstant

public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory,
                                                           TimeDiscretization timeDiscretization,
                                                           TimeDiscretization liborPeriodDiscretization,
                                                           TimeDiscretization timeToMaturityDiscretization,
                                                           RandomVariable[] volatility)

Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.

Parameters:

randomVariableFactory - The random variable factor used to construct random variables from the parameters.

timeDiscretization - The simulation time discretization t_j.

liborPeriodDiscretization - The period time discretization T_i.

timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.

volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.

LIBORVolatilityModelTimeHomogenousPiecewiseConstant

public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization,
                                                           TimeDiscretization liborPeriodDiscretization,
                                                           TimeDiscretization timeToMaturityDiscretization,
                                                           RandomVariable[] volatility)

Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.

Parameters:

timeDiscretization - The simulation time discretization t_j.

liborPeriodDiscretization - The period time discretization T_i.

timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.

volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.

LIBORVolatilityModelTimeHomogenousPiecewiseConstant

public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory,
                                                           TimeDiscretization timeDiscretization,
                                                           TimeDiscretization liborPeriodDiscretization,
                                                           TimeDiscretization timeToMaturityDiscretization,
                                                           double[] volatility)

Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.

Parameters:

randomVariableFactory - The random variable factor used to construct random variables from the parameters.

timeDiscretization - The simulation time discretization t_j.

liborPeriodDiscretization - The period time discretization T_i.

timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.

volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.

LIBORVolatilityModelTimeHomogenousPiecewiseConstant

public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization,
                                                           TimeDiscretization liborPeriodDiscretization,
                                                           TimeDiscretization timeToMaturityDiscretization,
                                                           double[] volatility)

Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.

Parameters:

timeDiscretization - The simulation time discretization t_j.

liborPeriodDiscretization - The period time discretization T_i.

timeToMaturityDiscretization - The discretization \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) of the piecewise constant volatility function.

volatility - The values \( \sigma_{0}, \sigma_{1}, \ldots, \sigma_{n-1} \) of the piecewise constant volatility function.

Method Detail

getParameter

public RandomVariable[] getParameter()

Specified by:

getParameter in class LIBORVolatilityModel

getCloneWithModifiedParameter

public LIBORVolatilityModelTimeHomogenousPiecewiseConstant getCloneWithModifiedParameter(RandomVariable[] parameter)

Specified by:

getCloneWithModifiedParameter in class LIBORVolatilityModel

getVolatility

public RandomVariable getVolatility(int timeIndex,
                                    int liborIndex)

Description copied from class: LIBORVolatilityModel

Implement this method to complete the implementation.

Specified by:

getVolatility in class LIBORVolatilityModel

Parameters:

timeIndex - The time index (for timeDiscretizationFromArray)

liborIndex - The libor index (for liborPeriodDiscretization)

Returns:

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

clone

public Object clone()

Specified by:

clone in class LIBORVolatilityModel