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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 22.12.2016
 */

package net.finmath.montecarlo.interestrate.models.covariance;

import net.finmath.montecarlo.interestrate.TermStructureModel;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * @author Christian Fries
 *
 * @version 1.0
 */
public class TermStructCovarianceModelFromLIBORCovarianceModelParametric extends TermStructureCovarianceModelParametric {

	private final TermStructureTenorTimeScalingInterface tenorTimeScalingModel;
	private final AbstractLIBORCovarianceModelParametric covarianceModel;

	/**
	 * @param tenorTimeScalingModel The model used for the tenor time re-scaling (providing the scaling coefficients).
	 * @param covarianceModel The model implementing AbstractLIBORCovarianceModelParametric.
	 */
	public TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScalingInterface tenorTimeScalingModel, AbstractLIBORCovarianceModelParametric covarianceModel) {
		this.tenorTimeScalingModel = tenorTimeScalingModel;
		this.covarianceModel = covarianceModel;
	}

	@Override
	public double getScaledTenorTime(double periodStart, double periodEnd) {
		if(tenorTimeScalingModel == null) {
			return periodEnd-periodStart;
		}
		return tenorTimeScalingModel.getScaledTenorTime(periodStart, periodEnd);
	}

	@Override
	public RandomVariable[] getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model) {
		TimeDiscretization liborPeriodDiscretization = covarianceModel.getLiborPeriodDiscretization();

		int periodStartIndex = liborPeriodDiscretization.getTimeIndex(periodStart);
		int periodEndIndex = liborPeriodDiscretization.getTimeIndex(periodEnd);
		RandomVariable[] factorLoadings = covarianceModel.getFactorLoading(time, periodStartIndex, null);
		if(periodEndIndex > periodStartIndex+1) {
			// Need to sum factor loadings
			for(int factorIndex = 0; factorIndex