net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModel Maven / Gradle / Ivy

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 22.12.2016
 */

package net.finmath.montecarlo.interestrate.modelplugins;

import net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement;
import net.finmath.montecarlo.interestrate.TermStructureModelInterface;
import net.finmath.stochastic.RandomVariableInterface;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * @author Christian Fries
 *
 */
public class TermStructCovarianceModelFromLIBORCovarianceModel implements TermStructureFactorLoadingsModelInterface {

	private final AbstractLIBORCovarianceModelParametric covarianceModel;
	
	/**
	 * Create a term structure covariance model model implementing TermStructureCovarianceModelInterface
	 * using a given model implementing AbstractLIBORCovarianceModelParametric.
	 * 
	 * @param covarianceModel The model implementing AbstractLIBORCovarianceModelParametric.
	 */
	public TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel) {
		this.covarianceModel = covarianceModel;
	}

	@Override
	public RandomVariableInterface[] getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model) {
		TimeDiscretizationInterface liborPeriodDiscretization = covarianceModel.getLiborPeriodDiscretization();

		// Cache is really needed.
		RandomVariableInterface[] liborAtTimeIndex = new RandomVariableInterface[liborPeriodDiscretization.getNumberOfTimeSteps()];
		for(int componentIndex=0; componentIndex periodStartIndex+1) {
			// Need to sum factor loadings
			for(int factorIndex = 0; factorIndex