net.finmath.montecarlo.hybridassetinterestrate.ModelFactory Maven / Gradle / Ivy
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 05.04.2015
*/
package net.finmath.montecarlo.hybridassetinterestrate;
import net.finmath.exception.CalculationException;
import net.finmath.functions.AnalyticFormulas;
import net.finmath.marketdata.model.curves.DiscountCurve;
import net.finmath.montecarlo.BrownianMotion;
import net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel;
import net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel;
import net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption;
import net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel;
import net.finmath.optimizer.LevenbergMarquardt;
import net.finmath.optimizer.Optimizer;
import net.finmath.optimizer.SolverException;
/**
* Helper factory to create a simple equity hybrid LIBOR market model.
*
* @author Christian Fries
* @version 1.0
*/
public class ModelFactory {
private static ModelFactory modelFactory;
/**
* Private constructor.
*/
private ModelFactory() {
// TODO Auto-generated constructor stub
}
public static synchronized ModelFactory getInstance() {
if(modelFactory == null) {
modelFactory = new ModelFactory();
}
return modelFactory;
}
/**
* Create a simple equity hybrid LIBOR market model with a calibration of the equity processes
* to a given Black-Scholes implied volatility.
*
* @param baseModel LIBOR model providing the stochastic numeraire.
* @param brownianMotion {@link BrownianMotion} for the asset process.
* @param initialValues Initial value of the asset process.
* @param riskFreeRate Not used (internally used to generate paths, will be later adjusted)
* @param correlations Correlation of the asset processes.
* @param maturities Maturities of the options (one for each asset process).
* @param strikes Strikes of the options (one for each asset process).
* @param volatilities Implied volatilities of the options (one for each asset process).
* @param discountCurve Discount curve used for the final hybrid model (not used in calibration).
* @return An object implementing {@link HybridAssetLIBORModelMonteCarloSimulation}, where each asset process is calibrated to a given option.
* @throws CalculationException Thrown if calibration fails.
*/
public HybridAssetLIBORModelMonteCarloSimulation getHybridAssetLIBORModel(
final LIBORModelMonteCarloSimulationModel baseModel,
final BrownianMotion brownianMotion,
final double[] initialValues,
final double riskFreeRate,
final double[][] correlations,
final double[] maturities,
final double[] strikes,
final double[] volatilities,
final DiscountCurve discountCurve) throws CalculationException {
final Optimizer optimizer = new LevenbergMarquardt(volatilities /*initialParameters*/, volatilities /*targetValues*/, 100 /*maxIteration*/, 1 /*numberOfThreads*/) {
private static final long serialVersionUID = -9199565564991442848L;
@Override
public void setValues(final double[] parameters, final double[] values) throws SolverException {
final AssetModelMonteCarloSimulationModel model = new MonteCarloMultiAssetBlackScholesModel(brownianMotion, initialValues, riskFreeRate, parameters, correlations);
final HybridAssetLIBORModelMonteCarloSimulationFromModels hybridModel = new HybridAssetLIBORModelMonteCarloSimulationFromModels(baseModel, model);
try {
for(int assetIndex=0; assetIndex 0.01) {
throw new CalculationException("Calibration failed");
}
}
/*
* Construct model with discounting (options will then use the discounting spread adjustment).
*/
final HybridAssetLIBORModelMonteCarloSimulationFromModels hybridModel = new HybridAssetLIBORModelMonteCarloSimulationFromModels(baseModel, model, discountCurve);
return hybridModel;
}
}