net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param Maven / Gradle / Ivy

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

import net.finmath.montecarlo.RandomVariableFromDoubleArray;
import net.finmath.stochastic.RandomVariable;
import net.finmath.stochastic.Scalar;
import net.finmath.time.TimeDiscretization;

/**
 * The five parameter covariance model consisting of an
 * {@link LIBORVolatilityModelMaturityDependentFourParameterExponentialForm}
 * and an
 * {@link LIBORCorrelationModelExponentialDecay}.
 *
 * @author Christian Fries
 * @version 1.0
 */
public class LIBORCovarianceModelExponentialForm5Param extends AbstractLIBORCovarianceModelParametric {

	/**
	 *
	 */
	private static final long serialVersionUID = -6538642489767323201L;

	private RandomVariable[] parameter = new RandomVariable[5];

	private LIBORVolatilityModel		volatilityModel;
	private LIBORCorrelationModel	correlationModel;

	public LIBORCovarianceModelExponentialForm5Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, RandomVariable[] parameters) {
		super(timeDiscretization, liborPeriodDiscretization, numberOfFactors);

		this.parameter = parameters.clone();
		volatilityModel	= new LIBORVolatilityModelFourParameterExponentialForm(getTimeDiscretization(), getLiborPeriodDiscretization(), parameter[0], parameter[1], parameter[2], parameter[3], false);
		correlationModel	= new LIBORCorrelationModelExponentialDecay(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), getNumberOfFactors(), parameter[4].doubleValue(), false);
	}

	public LIBORCovarianceModelExponentialForm5Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double[] parameters) {
		this(timeDiscretization, liborPeriodDiscretization, numberOfFactors, Scalar.arrayOf(parameters));
	}

	public LIBORCovarianceModelExponentialForm5Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors) {
		this(timeDiscretization, liborPeriodDiscretization, numberOfFactors, new double[] { 0.20, 0.05, 0.10, 0.20, 0.10});
	}
	@Override
	public Object clone() {
		LIBORCovarianceModelExponentialForm5Param model = new LIBORCovarianceModelExponentialForm5Param(this.getTimeDiscretization(), this.getLiborPeriodDiscretization(), this.getNumberOfFactors(), this.getParameter());
		model.parameter = this.parameter;
		model.volatilityModel = this.volatilityModel;
		model.correlationModel = this.correlationModel;
		return model;
	}

	@Override
	public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(RandomVariable[] parameters) {
		LIBORCovarianceModelExponentialForm5Param model = (LIBORCovarianceModelExponentialForm5Param)this.clone();

		model.parameter = parameters;
		if(parameters[0] != this.parameter[0] || parameters[1] != this.parameter[1] || parameters[2] != this.parameter[2] || parameters[3] != this.parameter[3]) {
			model.volatilityModel	= new LIBORVolatilityModelFourParameterExponentialForm(getTimeDiscretization(), getLiborPeriodDiscretization(), parameters[0], parameters[1], parameters[2], parameters[3], false);
		}
		if(parameters[4] != this.parameter[4]) {
			model.correlationModel	= new LIBORCorrelationModelExponentialDecay(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), getNumberOfFactors(), parameters[4].doubleValue(), false);
		}

		return model;
	}

	@Override
	public RandomVariable[] getParameter() {
		return parameter.clone();
	}

	@Override
	public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters) {
		return getCloneWithModifiedParameters(Scalar.arrayOf(parameters));
	}

	@Override
	public double[] getParameterAsDouble() {
		RandomVariable[] parameters = getParameter();
		double[] parametersAsDouble = new double[parameters.length];
		for(int i=0; i