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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 20.05.2006
 */
package net.finmath.montecarlo.interestrate.modelplugins;

import java.util.ArrayList;

import net.finmath.montecarlo.AbstractRandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFactory;
import net.finmath.stochastic.RandomVariableInterface;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * Implements a simple volatility model using given piece-wise constant values on
 * a given discretization grid.
 * 
 * @author Christian Fries
 */
public class LIBORVolatilityModelFromGivenMatrix extends LIBORVolatilityModel {

	private static final long serialVersionUID = -8017326082950665302L;

	private final AbstractRandomVariableFactory	randomVariableFactory;
	private final double[][]		volatilityMatrix;
	
	/**
	 * A cache for the parameter associated with this model, it is only used when getParameter is
	 * called repeatedly.
	 */
	private transient double[]	parameter;

	// A lazy init cache
	private transient RandomVariableInterface[][] volatility;
	
	/**
	 * Creates a simple volatility model using given piece-wise constant values on
 	 * a given discretization grid.
 	 * 
	 * @param randomVariableFactory The random variable factor used to construct random variables from the parameters. 
	 * @param timeDiscretization Discretization of simulation time.
	 * @param liborPeriodDiscretization Discretization of tenor times.
	 * @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretization and componentIndex from liborPeriodDiscretization
	 */
	public LIBORVolatilityModelFromGivenMatrix(
			AbstractRandomVariableFactory randomVariableFactory,
			TimeDiscretizationInterface	timeDiscretization,
			TimeDiscretizationInterface	liborPeriodDiscretization,
			double[][]	volatility) {
		super(timeDiscretization, liborPeriodDiscretization);

		this.randomVariableFactory = randomVariableFactory;
		this.volatilityMatrix = volatility;

		this.volatility = new RandomVariableInterface[timeDiscretization.getNumberOfTimeSteps()][liborPeriodDiscretization.getNumberOfTimeSteps()];
	}

	/**
	 * Creates a simple volatility model using given piece-wise constant values on
 	 * a given discretization grid.
 	 * 
	 * @param timeDiscretization Discretization of simulation time.
	 * @param liborPeriodDiscretization Discretization of tenor times.
	 * @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretization and componentIndex from liborPeriodDiscretization
	 */
	public LIBORVolatilityModelFromGivenMatrix(
			TimeDiscretizationInterface	timeDiscretization,
			TimeDiscretizationInterface	liborPeriodDiscretization,
			double[][]	volatility) {
		this(new RandomVariableFactory(), timeDiscretization, liborPeriodDiscretization, volatility);
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel#getVolatility(int, int)
	 */
	@Override
    public RandomVariableInterface getVolatility(int timeIndex, int component) {
		synchronized (volatility) {
			if(volatility[timeIndex][component] == null) {
				volatility[timeIndex][component] = randomVariableFactory.createRandomVariable(getTimeDiscretization().getTime(timeIndex), volatilityMatrix[timeIndex][component]);
			}
		}

		return volatility[timeIndex][component];
	}

	@Override
	public double[] getParameter() {
		synchronized (this) {
			if(parameter == null) {
				ArrayList parameterArray = new ArrayList();
				for(int timeIndex = 0; timeIndex