public interface TermStructureFactorLoadingsModelInterface
|Modifier and Type||Method and Description|
Return the factor loading for a given time and a term structure period.
RandomVariable getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable realizationAtTimeIndex, TermStructureModel model)
getTimeDiscretizationsuch that t_i ≤ t . The component here, it given via a double T which may be associated with the LIBOR fixing date. With respect to component time T, this method uses a piece wise constant interpolation, i.e., it calculates T_j such that T_j is the largest point in
getTimeDiscretizationsuch that T_j ≤ T .
time- The time t at which factor loading is requested.
periodStart- Period start of the component.
periodEnd- Period end of the component.
periodDiscretization- The period discretization associated with the realizationAtTimeIndex
realizationAtTimeIndex- The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
model- The term structure model.
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