net.finmath.montecarlo.interestrate.LIBORMarketModel Maven / Gradle / Ivy
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 20.05.2006
*/
package net.finmath.montecarlo.interestrate;
import net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel;
import net.finmath.time.TimeDiscretization;
/**
* Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
*
* @author Christian Fries
* @version 1.0
*/
public interface LIBORMarketModel extends LIBORModel {
/**
* Return the forward rate (LIBOR) covariance model.
*
* @return The covariance model.
*/
LIBORCovarianceModel getCovarianceModel();
/**
* Create a new object implementing LIBORMarketModel, using the new covariance model.
*
* @param calibrationCovarianceModel The new covariance model.
* @return A new object implementing LIBORMarketModel, using the new covariance model.
*/
LIBORMarketModel getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel);
/**
* Returns the integrated instantaneous log-forward rate covariance, i.e.,
* \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).
*
* The array returned has the parametrization [i][j][k], i.e.,
* integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2].
*
* @param timeDiscretization The timeDiscretization used for the integration.
* @return The integrated instantaneous log-LIBOR covariance.
*/
double[][][] getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization);
}