public class LIBORVolatilityModelTimeHomogenousPiecewiseConstant extends LIBORVolatilityModel
Constructor and Description |
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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.
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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.
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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.
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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.
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Modifier and Type | Method and Description |
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Object |
clone() |
LIBORVolatilityModelTimeHomogenousPiecewiseConstant |
getCloneWithModifiedParameter(RandomVariable[] parameter) |
RandomVariable[] |
getParameter() |
RandomVariable |
getVolatility(int timeIndex,
int liborIndex)
Implement this method to complete the implementation.
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getLiborPeriodDiscretization, getParameterAsDouble, getTimeDiscretization
public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility)
randomVariableFactory
- The random variable factor used to construct random variables from the parameters.timeDiscretization
- The simulation time discretization tj.liborPeriodDiscretization
- The period time discretization Ti.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.public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility)
timeDiscretization
- The simulation time discretization tj.liborPeriodDiscretization
- The period time discretization Ti.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.public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility)
randomVariableFactory
- The random variable factor used to construct random variables from the parameters.timeDiscretization
- The simulation time discretization tj.liborPeriodDiscretization
- The period time discretization Ti.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.public LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility)
timeDiscretization
- The simulation time discretization tj.liborPeriodDiscretization
- The period time discretization Ti.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.public RandomVariable[] getParameter()
getParameter
in class LIBORVolatilityModel
public LIBORVolatilityModelTimeHomogenousPiecewiseConstant getCloneWithModifiedParameter(RandomVariable[] parameter)
getCloneWithModifiedParameter
in class LIBORVolatilityModel
public RandomVariable getVolatility(int timeIndex, int liborIndex)
LIBORVolatilityModel
getVolatility
in class LIBORVolatilityModel
timeIndex
- The time index (for timeDiscretizationFromArray)liborIndex
- The libor index (for liborPeriodDiscretization)public Object clone()
clone
in class LIBORVolatilityModel
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