net.finmath.montecarlo.interestrate.LIBORModel Maven / Gradle / Ivy
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 04.02.2016
*/
package net.finmath.montecarlo.interestrate;
import java.util.Map;
import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider;
import net.finmath.montecarlo.process.MonteCarloProcess;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;
/**
* @author Christian Fries
*
* @version 1.0
*/
public interface LIBORModel extends TermStructureModel, IndependentModelParameterProvider {
/**
* Return the forward rate at a given timeIndex and for a given liborIndex.
*
* @param process The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
* @param timeIndex The time index (associated with {@link MonteCarloProcess#getTimeDiscretization()}.
* @param liborIndex The forward rate index (associated with {@link LIBORModel#getLiborPeriodDiscretization()}.
* @return The forward rate.
* @throws CalculationException Thrown if calculation failed.
*/
RandomVariable getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex) throws CalculationException;
/**
* The tenor time discretization of the forward rate curve.
*
* @return The tenor time discretization of the forward rate curve.
*/
TimeDiscretization getLiborPeriodDiscretization();
/**
* Get the number of LIBORs in the LIBOR discretization.
*
* @return The number of LIBORs in the LIBOR discretization
*/
int getNumberOfLibors();
/**
* The period start corresponding to a given forward rate discretization index.
*
* @param timeIndex The index corresponding to a given time (interpretation is start of period)
* @return The period start corresponding to a given forward rate discretization index.
*/
double getLiborPeriod(int timeIndex);
/**
* Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.
*
* @param time The period start.
* @return The index corresponding to a given time (interpretation is start of period)
*/
int getLiborPeriodIndex(double time);
/**
* Create a new object implementing LIBORModel, using the new data.
*
* @param dataModified A map with values to be used in constructions (keys are identical to parameter names of the constructors).
* @return A new object implementing LIBORModel, using the new data.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
@Override
LIBORModel getCloneWithModifiedData(Map dataModified) throws CalculationException;
}