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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.models.covariance;

import net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * Interface for covariance models providing a vector of (possibly stochastic) factor loadings.
 *
 * Classes implementing this interface can be used as "plug ins" for {@link LIBORMarketModelFromCovarianceModel}.
 *
 * @author Christian Fries
 * @version 1.0
 */
public interface LIBORCovarianceModel {

	/**
	 * Return the factor loading for a given time and a given component.
	 *
	 * The factor loading is the vector f_i such that the scalar product 

	 * f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m 

	 * is the instantaneous covariance of the component j and k.
	 *
	 * With respect to simulation time t, this method uses a piece wise constant interpolation, i.e.,
	 * it calculates t__i such that t__i is the largest point in getTimeDiscretization
	 * such 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 getTimeDiscretization
	 * such that T__j ≤ T .
	 *
	 * @param time The time t at which factor loading is requested.
	 * @param component The component time (as a double associated with the fixing of the forward rate)  T_i.
	 * @param realizationAtTimeIndex The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
	 * @return The factor loading f_i(t).
	 */
	RandomVariable[] getFactorLoading(double time, double component, RandomVariable[] realizationAtTimeIndex);

	/**
	 * Return the factor loading for a given time and component index.
	 * The factor loading is the vector f_i such that the scalar product 

	 * f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m 

	 * is the instantaneous covariance of the component j and k.
	 *
	 * With respect to simulation time t, this method uses a piece wise constant interpolation, i.e.,
	 * it calculates t__i such that t__i is the largest point in getTimeDiscretization
	 * such that t__i ≤ t .
	 *
	 * @param time The time t at which factor loading is requested.
	 * @param component The index of the component i. Note that this class may have its own LIBOR time discretization and that this index refers to this discretization.
	 * @param realizationAtTimeIndex The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
	 * @return The factor loading f_i(t).
	 */
	RandomVariable[] getFactorLoading(double time, int component, RandomVariable[] realizationAtTimeIndex);

	/**
	 * Return the factor loading for a given time index and component index.
	 * The factor loading is the vector f_i such that the scalar product 

	 * f_jf_k = f_j,1f_k,1 + ... + f_j,mf_k,m 

	 * is the instantaneous covariance of the component j and k.
	 *
	 * @param timeIndex The time index at which factor loading is requested.
	 * @param component The index of the component  i.
	 * @param realizationAtTimeIndex The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
	 * @return The factor loading f_i(t).
	 */
	RandomVariable[] getFactorLoading(int timeIndex, int component, RandomVariable[] realizationAtTimeIndex);

	/**
	 * Returns the pseudo inverse of the factor matrix.
	 *
	 * @param timeIndex The time index at which factor loading inverse is requested.
	 * @param factor The index of the factor j.
	 * @param component The index of the component  i.
	 * @param realizationAtTimeIndex The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
	 * @return The entry of the pseudo-inverse of the factor loading matrix.
	 */
	RandomVariable getFactorLoadingPseudoInverse(int timeIndex, int component, int factor,
			RandomVariable[] realizationAtTimeIndex);

	/**
	 * Returns the instantaneous covariance calculated from factor loadings.
	 *
	 * @param time The time t at which covariance is requested.
	 * @param component1 Index of component i.
	 * @param component2  Index of component j.
	 * @param realizationAtTimeIndex The realization of the stochastic process.
	 * @return The instantaneous covariance between component i and  j.
	 */
	RandomVariable getCovariance(double time, int component1, int component2, RandomVariable[] realizationAtTimeIndex);

	/**
	 * Returns the instantaneous covariance calculated from factor loadings.
	 *
	 * @param timeIndex The time index at which covariance is requested.
	 * @param component1 Index of component i.
	 * @param component2  Index of component j.
	 * @param realizationAtTimeIndex The realization of the stochastic process.
	 * @return The instantaneous covariance between component i and  j.
	 */
	RandomVariable getCovariance(int timeIndex, int component1, int component2,
			RandomVariable[] realizationAtTimeIndex);

	/**
	 * The simulation time discretization associated with this model.
	 *
	 * @return the timeDiscretizationFromArray
	 */
	TimeDiscretization getTimeDiscretization();

	/**
	 * The forward rate time discretization associated with this model (defines the components).
	 *
	 * @return the forward rate time discretization associated with this model.
	 */
	TimeDiscretization getLiborPeriodDiscretization();

	/**
	 * @return the numberOfFactors
	 */
	int getNumberOfFactors();
}