net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelParametric Maven / Gradle / Ivy
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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 24.12.2016
*/
package net.finmath.montecarlo.interestrate.models.covariance;
/**
* A base class and interface description for the instantaneous covariance of
* an forward rate interest rate model.
*
* @author Christian Fries
* @version 1.0
*/
public interface TermStructureFactorLoadingsModelParametric extends TermStructureFactorLoadingsModel {
/**
* Get the parameters of determining this parametric
* covariance model. The parameters are usually free parameters
* which may be used in calibration.
*
* @return Parameter vector.
*/
double[] getParameter();
/**
* Return an instance of this model using a new set of parameters.
* Note: To improve performance it is admissible to return the same instance of the object given that the parameters have not changed. Models should be immutable.
*
* @param parameters The new set of parameters.
* @return An instance of AbstractLIBORCovarianceModelParametric with modified parameters.
*/
TermStructureCovarianceModelParametric getCloneWithModifiedParameters(double[] parameters);
}