net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant 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 02.02.2017
*/
package net.finmath.montecarlo.interestrate.models.covariance;
import net.finmath.time.TimeDiscretization;
/**
* @author Christian Fries
*
* @version 1.0
*/
public class TermStructureTenorTimeScalingPicewiseConstant implements TermStructureTenorTimeScaling {
private final TimeDiscretization timeDiscretization;
private final double[] timesIntegrated;
private final double floor = 0.1-1.0, cap = 10.0-1.0;
private final double parameterScaling = 100.0;
public TermStructureTenorTimeScalingPicewiseConstant(final TimeDiscretization timeDiscretization, final double[] parameters) {
super();
this.timeDiscretization = timeDiscretization;
timesIntegrated = new double[timeDiscretization.getNumberOfTimes()];
for(int timeIntervalIndex=0; timeIntervalIndex= 0) {
timeIntegratedStart = timesIntegrated[timeStartIndex];
}
else {
final int timeStartIndexLo = -timeStartIndex-2;
timeIntegratedStart = (timesIntegrated[timeStartIndexLo+1]-timesIntegrated[timeStartIndexLo])/timeDiscretization.getTimeStep(timeStartIndexLo)*(timeDiscretization.getTime(timeStartIndexLo+1)-periodStart);
}
}
final double timeIntegratedEnd;
{
final int timeEndIndex = timeDiscretization.getTimeIndex(periodEnd);
if(timeEndIndex >= 0) {
timeIntegratedEnd = timesIntegrated[timeEndIndex];
}
else {
final int timeEndIndexLo = -timeEndIndex-2;
timeIntegratedEnd = (timesIntegrated[timeEndIndexLo+1]-timesIntegrated[timeEndIndexLo])/timeDiscretization.getTimeStep(timeEndIndexLo)*(periodEnd-timeDiscretization.getTime(timeEndIndexLo));
}
}
final double timeScaled = timeIntegratedEnd - timeIntegratedStart;
return timeScaled;
}
@Override
public TermStructureTenorTimeScaling getCloneWithModifiedParameters(final double[] parameters) {
return new TermStructureTenorTimeScalingPicewiseConstant(timeDiscretization, parameters);
}
@Override
public double[] getParameter() {
final double[] parameter = new double[timeDiscretization.getNumberOfTimeSteps()];
for(int timeIntervalIndex=0; timeIntervalIndex