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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 20.05.2006
*/
package net.finmath.montecarlo.interestrate.models.covariance;
import java.io.Serializable;
import java.util.Map;
import net.finmath.stochastic.RandomVariable;
import net.finmath.stochastic.RandomVariableArrayImplementation;
import net.finmath.time.TimeDiscretization;
/**
* Abstract base class and interface description of a volatility model
* (as it is used in {@link LIBORCovarianceModelFromVolatilityAndCorrelation}).
*
* Derive from this class and implement the getVolatlity method.
* You have to call the constructor of this class to set the time
* discretizations.
*
* @author Christian Fries
* @version 1.0
*/
public abstract class LIBORVolatilityModel implements Serializable {
private static final long serialVersionUID = 5481713000841480672L;
private TimeDiscretization timeDiscretization;
private TimeDiscretization liborPeriodDiscretization;
// You cannot instantiate the class empty
@SuppressWarnings("unused")
private LIBORVolatilityModel() {
}
/**
* @param timeDiscretization The vector of simulation time discretization points.
* @param liborPeriodDiscretization The vector of tenor discretization points.
*/
public LIBORVolatilityModel(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization) {
super();
this.timeDiscretization = timeDiscretization;
this.liborPeriodDiscretization = liborPeriodDiscretization;
}
public abstract RandomVariable[] getParameter();
public abstract LIBORVolatilityModel getCloneWithModifiedParameter(RandomVariable[] parameter);
/**
* Implement this method to complete the implementation.
* @param timeIndex The time index (for timeDiscretizationFromArray)
* @param component The libor index (for liborPeriodDiscretization)
* @return A random variable (e.g. as a vector of doubles) representing the volatility for each path.
*/
public abstract RandomVariable getVolatility(int timeIndex, int component);
public double[] getParameterAsDouble() {
return (double[])(RandomVariableArrayImplementation.of(getParameter())).toDoubleArray();
}
/**
* @return Returns the liborPeriodDiscretization.
*/
public TimeDiscretization getLiborPeriodDiscretization() {
return liborPeriodDiscretization;
}
/**
* @return Returns the timeDiscretizationFromArray.
*/
public TimeDiscretization getTimeDiscretization() {
return timeDiscretization;
}
@Override
public abstract Object clone();
/**
* Returns a clone of this model where the specified properties have been modified.
*
* Note that there is no guarantee that a model reacts on a specification of a properties in the
* parameter map dataModified. If data is provided which is ignored by the model
* no exception may be thrown.
*
* Furthermore the structure of the correlation model has to match changed data.
* A change of the time discretizations may requires a change in the parameters
* but this function will just insert the new time discretization without
* changing the parameters. An exception may not be thrown.
*
* @param dataModified Key-value-map of parameters to modify.
* @return A clone of this model (or a new instance of this model if no parameter was modified).
*/
public abstract LIBORVolatilityModel getCloneWithModifiedData(Map dataModified);
}