net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard Maven / Gradle / Ivy

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 09.02.2004
 */
package net.finmath.montecarlo.interestrate.models;

import java.util.ArrayList;
import java.util.Map;

import net.finmath.exception.CalculationException;
import net.finmath.functions.AnalyticFormulas;
import net.finmath.marketdata.model.AnalyticModel;
import net.finmath.marketdata.model.curves.DiscountCurve;
import net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve;
import net.finmath.marketdata.model.curves.ForwardCurve;
import net.finmath.marketdata.model.volatilities.SwaptionMarketData;
import net.finmath.marketdata.products.Swap;
import net.finmath.marketdata.products.SwapAnnuity;
import net.finmath.montecarlo.RandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFromArrayFactory;
import net.finmath.montecarlo.RandomVariableFromDoubleArray;
import net.finmath.montecarlo.interestrate.CalibrationProduct;
import net.finmath.montecarlo.interestrate.LIBORMarketModel;
import net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric;
import net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel;
import net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct;
import net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation;
import net.finmath.montecarlo.interestrate.products.SwaptionSimple;
import net.finmath.montecarlo.model.AbstractProcessModel;
import net.finmath.montecarlo.process.MonteCarloProcess;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.RegularSchedule;
import net.finmath.time.Schedule;
import net.finmath.time.TimeDiscretization;
import net.finmath.time.TimeDiscretizationFromArray;

/**
 * Implements a basic LIBOR market model with some drift approximation methods.
 * 

 * The class implements different measure(drift) / numeraire pairs (terminal and spot).
 * 

 * The class specifies a LIBOR market model in its log-normal formulation, that is
 * L_j = exp(Y_j)  where
 * 

 * dY_j = μ_j dt + λ_1,j dW₁ + ... + λ_m,j dW_m
 * 

 * see {@link net.finmath.montecarlo.model.ProcessModel} for details on the implemented interface.
 * 

 * The model uses an AbstractLIBORCovarianceModel for the specification of (λ_1,j,...,λ_m,j) as a covariance model,
 * which may have the ability to calibrate to swaptions.
 *
 * @see net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
 *
 * @author Christian Fries
 * @version 1.1
 */
public class LIBORMarketModelStandard extends AbstractProcessModel implements LIBORMarketModel {

	private static final boolean isUseAnalyticApproximation;
	static {
		// Default value is true;
		isUseAnalyticApproximation = Boolean.parseBoolean(System.getProperty("net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.isUseAnalyticApproximation","true"));
	}

	public enum Driftapproximation	{ EULER, LINE_INTEGRAL, PREDICTOR_CORRECTOR }

	public enum Measure				{ SPOT, TERMINAL }

	private final TimeDiscretization		liborPeriodDiscretization;

	private String							forwardCurveName;
	private AnalyticModel			curveModel;

	private final ForwardCurve			forwardRateCurve;
	private DiscountCurve			discountCurve;

	private final RandomVariableFactory	randomVariableFactory = new RandomVariableFromArrayFactory();

	private LIBORCovarianceModel	covarianceModel;

	private SwaptionMarketData		swaptionMarketData;

	private Driftapproximation	driftApproximationMethod	= Driftapproximation.EULER;
	private Measure				measure						= Measure.SPOT;

	// This is a cache of the integrated covariance.
	private double[][][]	integratedLIBORCovariance;

	/**
	 * Creates a LIBOR Market Model for given covariance.
	 *
	 * @param liborPeriodDiscretization The discretization of the interest rate curve into forward rates (tenor structure).
	 * @param forwardRateCurve The initial values for the forward rates.
	 * @param covarianceModel The covariance model to use.
	 */
	public LIBORMarketModelStandard(
			final TimeDiscretization		liborPeriodDiscretization,
			final ForwardCurve			forwardRateCurve,
			final LIBORCovarianceModel	covarianceModel
			) {
		this.liborPeriodDiscretization	= liborPeriodDiscretization;
		this.forwardRateCurve			= forwardRateCurve;
		this.covarianceModel			= covarianceModel;
	}

	/**
	 * Creates a LIBOR Market Model for given covariance.
	 *
	 * @param liborPeriodDiscretization The discretization of the interest rate curve into forward rates (tenor structure).
	 * @param forwardRateCurve The initial values for the forward rates.
	 * @param discountCurve The discount curve to use. This will create an LMM model with a deterministic zero-spread discounting adjustment.
	 * @param covarianceModel The covariance model to use.
	 */
	public LIBORMarketModelStandard(
			final TimeDiscretization		liborPeriodDiscretization,
			final ForwardCurve			forwardRateCurve,
			final DiscountCurve			discountCurve,
			final LIBORCovarianceModel	covarianceModel
			) {
		this.liborPeriodDiscretization	= liborPeriodDiscretization;
		this.forwardRateCurve			= forwardRateCurve;
		this.discountCurve				= discountCurve;
		this.covarianceModel			= covarianceModel;
	}

	/**
	 * Creates a LIBOR Market Model using a given covariance model and calibrating this model
	 * to given swaption volatility data.
	 *
	 * @param liborPeriodDiscretization The discretization of the interest rate curve into forward rates (tenor structure).
	 * @param forwardRateCurve The initial values for the forward rates.
	 * @param covarianceModel The covariance model to use.
	 * @param swaptionMarketData The set of swaption values to calibrate to.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	public LIBORMarketModelStandard(
			final TimeDiscretization			liborPeriodDiscretization,
			final ForwardCurve				forwardRateCurve,
			final LIBORCovarianceModel		covarianceModel,
			final SwaptionMarketData			swaptionMarketData
			) throws CalculationException {
		this(liborPeriodDiscretization, forwardRateCurve, null, covarianceModel, getCalibrationItems(liborPeriodDiscretization, forwardRateCurve, swaptionMarketData));
	}

	/**
	 * Creates a LIBOR Market Model for given covariance.
	 *
	 * @param liborPeriodDiscretization The discretization of the interest rate curve into forward rates (tenor structure).
	 * @param forwardRateCurve The initial values for the forward rates.
	 * @param discountCurve The discount curve to use. This will create an LMM model with a deterministic zero-spread discounting adjustment.
	 * @param covarianceModel The covariance model to use.
	 * @param swaptionMarketData The set of swaption values to calibrate to.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	public LIBORMarketModelStandard(
			final TimeDiscretization			liborPeriodDiscretization,
			final ForwardCurve				forwardRateCurve,
			final DiscountCurve				discountCurve,
			final LIBORCovarianceModel		covarianceModel,
			final SwaptionMarketData			swaptionMarketData
			) throws CalculationException {
		this(liborPeriodDiscretization, forwardRateCurve, discountCurve, covarianceModel, getCalibrationItems(liborPeriodDiscretization, forwardRateCurve, swaptionMarketData));
	}



	/**
	 * Creates a LIBOR Market Model for given covariance.
	 *
	 * @param liborPeriodDiscretization The discretization of the interest rate curve into forward rates (tenor structure).
	 * @param forwardRateCurve The initial values for the forward rates.
	 * @param discountCurve The discount curve to use. This will create an LMM model with a deterministic zero-spread discounting adjustment.
	 * @param covarianceModel The covariance model to use.
	 * @param calibrationProducts The vector of calibration items (a union of a product, target value and weight) for the objective function sum weight(i) * (modelValue(i)-targetValue(i).
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	public LIBORMarketModelStandard(
			final TimeDiscretization				liborPeriodDiscretization,
			final ForwardCurve					forwardRateCurve,
			final DiscountCurve					discountCurve,
			final LIBORCovarianceModel			covarianceModel,
			final CalibrationProduct[]						calibrationProducts
			) throws CalculationException {
		this.liborPeriodDiscretization	= liborPeriodDiscretization;

		final double[] times = new double[liborPeriodDiscretization.getNumberOfTimeSteps()];
		for(int i=0; i calibrationProducts = new ArrayList<>();
		for(int exerciseIndex=0; exerciseIndex<=optionMaturities.getNumberOfTimeSteps(); exerciseIndex++) {
			for(int tenorIndex=0; tenorIndex<=tenor.getNumberOfTimeSteps()-exerciseIndex; tenorIndex++) {

				// Create a swaption
				final double exerciseDate	= optionMaturities.getTime(exerciseIndex);
				final double swapLength	= tenor.getTime(tenorIndex);

				if(liborPeriodDiscretization.getTimeIndex(exerciseDate) < 0) {
					continue;
				}
				if(liborPeriodDiscretization.getTimeIndex(exerciseDate+swapLength) <= liborPeriodDiscretization.getTimeIndex(exerciseDate)) {
					continue;
				}

				final int numberOfPeriods = (int)(swapLength / swapPeriodLength);

				final double[] fixingDates      = new double[numberOfPeriods];
				final double[] paymentDates     = new double[numberOfPeriods];
				final double[] swapTenorTimes   = new double[numberOfPeriods+1];

				for(int periodStartIndex=0; periodStartIndext for which the numeraire should be returned N(t).
	 * @return The numeraire at the specified time as RandomVariableFromDoubleArray
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	@Override
	public RandomVariable getNumeraire(final MonteCarloProcess process, double time) throws CalculationException {
		final int timeIndex = getLiborPeriodIndex(time);

		if(timeIndex < 0) {
			// Interpolation of Numeraire: linear interpolation of the reciprocal.
			final int lowerIndex = -timeIndex -1;
			final int upperIndex = -timeIndex;
			final double alpha = (time-getLiborPeriod(lowerIndex)) / (getLiborPeriod(upperIndex) - getLiborPeriod(lowerIndex));
			return getNumeraire(process, getLiborPeriod(upperIndex)).invert().mult(alpha).add(getNumeraire(process, getLiborPeriod(lowerIndex)).invert().mult(1.0-alpha)).invert();
		}

		// Calculate the numeraire, when time is part of liborPeriodDiscretization

		// Get the start of the product
		int firstLiborIndex		= getLiborPeriodIndex(time);
		if(firstLiborIndex < 0) {
			throw new CalculationException("Simulation time discretization not part of forward rate tenor discretization.");
		}

		// Get the end of the product
		int lastLiborIndex 	= liborPeriodDiscretization.getNumberOfTimeSteps()-1;

		if(measure == Measure.SPOT) {
			// Spot measure
			firstLiborIndex	= 0;
			lastLiborIndex	= getLiborPeriodIndex(time)-1;
		}

		/*
		 * Calculation of the numeraire
		 */

		// Initialize to 1.0
		RandomVariable numeraire = new RandomVariableFromDoubleArray(time, 1.0);

		// The product
		for(int liborIndex = firstLiborIndex; liborIndex<=lastLiborIndex; liborIndex++) {
			final RandomVariable libor = getLIBOR(process, process.getTimeIndex(Math.min(time,liborPeriodDiscretization.getTime(liborIndex))), liborIndex);

			final double periodLength = liborPeriodDiscretization.getTimeStep(liborIndex);

			if(measure == Measure.SPOT) {
				numeraire = numeraire.accrue(libor, periodLength);
			}
			else {
				numeraire = numeraire.discount(libor, periodLength);
			}
		}

		/*
		 * Adjust for discounting
		 */
		if(discountCurve != null) {
			final DiscountCurve discountcountCurveFromForwardPerformance = new DiscountCurveFromForwardCurve(forwardRateCurve);
			final double deterministicNumeraireAdjustment = discountcountCurveFromForwardPerformance.getDiscountFactor(time) / discountCurve.getDiscountFactor(time);
			numeraire = numeraire.mult(deterministicNumeraireAdjustment);
		}
		return numeraire;
	}

	@Override
	public RandomVariable[] getInitialState(MonteCarloProcess process) {
		final double[] liborInitialStates = new double[liborPeriodDiscretization.getNumberOfTimeSteps()];
		for(int timeIndex=0; timeIndexgetNumeraire.
	 *
	 * @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 Time index i for which the drift should be returned μ(t_i).
	 * @param realizationAtTimeIndex Time current forward rate vector at time index i which should be used in the calculation.
	 * @return The drift vector μ(t_i) as RandomVariableFromDoubleArray[]
	 */
	@Override
	public RandomVariable[] getDrift(final MonteCarloProcess process, final int timeIndex, final RandomVariable[] realizationAtTimeIndex, final RandomVariable[] realizationPredictor) {
		final double	time				= process.getTime(timeIndex);
		int		firstLiborIndex		= this.getLiborPeriodIndex(time)+1;
		if(firstLiborIndex<0) {
			firstLiborIndex = -firstLiborIndex-1 + 1;
		}

		// Allocate drift vector and initialize to zero (will be used to sum up drift components)
		final RandomVariable[]	drift = new RandomVariable[getNumberOfComponents()];
		final RandomVariable[][]	covarianceFactorSums	= new RandomVariable[getNumberOfComponents()][getNumberOfFactors()];
		for(int componentIndex=firstLiborIndex; componentIndex firstLiborIndex) {
					covarianceFactorSums[componentIndex][factorIndex] = covarianceFactorSums[componentIndex][factorIndex].add(covarianceFactorSums[componentIndex-1][factorIndex]);
				}
			}
			for(int factorIndex=0; factorIndex= liborPeriodDiscretization.getNumberOfTimes()) {
			throw new ArrayIndexOutOfBoundsException("Index for LIBOR period discretization out of bounds.");
		}
		return liborPeriodDiscretization.getTime(timeIndex);
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORMarketModel#getLiborPeriodIndex(double)
	 */
	@Override
	public int getLiborPeriodIndex(final double time) {
		return liborPeriodDiscretization.getTimeIndex(time);
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORMarketModel#getLiborPeriodDiscretization()
	 */
	@Override
	public TimeDiscretization getLiborPeriodDiscretization() {
		return liborPeriodDiscretization;
	}

	/**
	 * Alternative implementation for the drift. For experimental purposes.
	 *
	 * @param timeIndex
	 * @param componentIndex
	 * @param realizationAtTimeIndex
	 * @param realizationPredictor
	 * @return
	 */
	private RandomVariable getDrift(final MonteCarloProcess process, final int timeIndex, final int componentIndex, final RandomVariable[] realizationAtTimeIndex, final RandomVariable[] realizationPredictor) {

		// Check if this LIBOR is already fixed
		if(process.getTime(timeIndex) >= this.getLiborPeriod(componentIndex)) {
			return null;
		}

		/*
		 * We implemented several different methods to calculate the drift
		 */
		if(driftApproximationMethod == Driftapproximation.PREDICTOR_CORRECTOR && realizationPredictor != null) {
			RandomVariable drift					= getDriftEuler(process, timeIndex, componentIndex, realizationAtTimeIndex);
			final RandomVariable driftEulerWithPredictor	= getDriftEuler(process, timeIndex, componentIndex, realizationPredictor);
			drift = drift.add(driftEulerWithPredictor).div(2.0);

			return drift;
		}
		else if(driftApproximationMethod == Driftapproximation.LINE_INTEGRAL && realizationPredictor != null) {
			return getDriftLineIntegral(process, timeIndex, componentIndex, realizationAtTimeIndex, realizationPredictor);
		}
		else {
			return getDriftEuler(process, timeIndex, componentIndex, realizationAtTimeIndex);
		}
	}

	protected RandomVariable getDriftEuler(final MonteCarloProcess process, final int timeIndex, final int componentIndex, final RandomVariable[] liborVectorStart) {
		// The following is the drift of the LIBOR component
		final double	time					= process.getTime(timeIndex);

		// Initialize to 0.0
		RandomVariable drift = new RandomVariableFromDoubleArray(time, 0.0);

		// Get the start and end of the summation (start is the LIBOR after the current LIBOR component, end is the last LIBOR)
		int firstLiborIndex, lastLiborIndex;
		switch(measure) {
		case SPOT:
			// Spot measure
			firstLiborIndex	= this.getLiborPeriodIndex(time)+1;
			if(firstLiborIndex<0) {
				firstLiborIndex = -firstLiborIndex-1 + 1;
			}
			lastLiborIndex	= componentIndex;
			break;
		case TERMINAL:
		default:
			firstLiborIndex	= componentIndex+1;
			lastLiborIndex 	= liborPeriodDiscretization.getNumberOfTimeSteps()-1;
			break;
		}

		// The sum
		for(int liborIndex = firstLiborIndex; liborIndex<=lastLiborIndex; liborIndex++) {
			final double						periodLength	= liborPeriodDiscretization.getTimeStep(liborIndex);
			RandomVariable		covariance		= covarianceModel.getCovariance(timeIndex, componentIndex, liborIndex, null);
			final RandomVariable libor			= liborVectorStart[liborIndex];
			covariance = covariance.mult(periodLength).mult(libor).discount(libor, periodLength);
			drift = drift.add(covariance);
		}
		if(measure == Measure.TERMINAL) {
			drift = drift.mult(-1.0);
		}

		// Drift adjustment for log-coordinate
		final RandomVariable		variance		= covarianceModel.getCovariance(timeIndex, componentIndex, componentIndex, null);
		drift = drift.addProduct(variance, -0.5);

		return drift;
	}

	private RandomVariable getDriftLineIntegral(final MonteCarloProcess process, final int timeIndex, final int componentIndex, final RandomVariable[] liborVectorStart, final RandomVariable[] liborVectorEnd) {
		// The following is the dirft of the LIBOR component

		final double	time				= process.getTime(timeIndex);

		// Check if this LIBOR is already fixed
		if(process.getTime(timeIndex) >= this.getLiborPeriod(componentIndex)) {
			return null;
		}

		// Initialize to 0.0
		RandomVariable drift = new RandomVariableFromDoubleArray(time, 0.0);

		// Get the start and end of the summation (start is the LIBOR after the current LIBOR component, end is the last LIBOR)
		int firstLiborIndex, lastLiborIndex;
		switch(measure) {
		case SPOT:
			// Spot measure
			firstLiborIndex	= this.getLiborPeriodIndex(time)+1;
			if(firstLiborIndex<0) {
				firstLiborIndex = -firstLiborIndex-1 + 1;
			}
			lastLiborIndex	= componentIndex;
			break;
		case TERMINAL:
		default:
			firstLiborIndex	= componentIndex+1;
			lastLiborIndex 	= liborPeriodDiscretization.getNumberOfTimeSteps()-1;
			break;
		}

		// The sum
		for(int liborIndex = firstLiborIndex; liborIndex<=lastLiborIndex; liborIndex++) {

			final double periodLength = liborPeriodDiscretization.getTimeStep(liborIndex);
			final RandomVariable	covariance	= covarianceModel.getCovariance(timeIndex, componentIndex, liborIndex, null);

			/*
			 * We calculate
			 * driftTerm = covariance * log( (1 + periodLength * liborVectorEnd[liborIndex]) / (1 + periodLength * liborVectorStart[liborIndex]) )
			 *            / log(liborVectorEnd[liborIndex] / liborVectorStart[liborIndex])
			 */

			RandomVariable driftTerm = new RandomVariableFromDoubleArray(1.0);
			driftTerm = driftTerm.accrue(liborVectorEnd[liborIndex], periodLength);
			driftTerm = driftTerm.discount(liborVectorStart[liborIndex], periodLength);
			driftTerm = driftTerm.log();
			driftTerm = driftTerm.mult(covariance);
			driftTerm = driftTerm.div(liborVectorEnd[liborIndex].div(liborVectorStart[liborIndex]).log());

			drift = drift.sub(driftTerm);
		}

		return drift;
	}

	/**
	 * @return Returns the measure.
	 */
	public Measure getMeasure() {
		return measure;
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORMarketModel#getIntegratedLIBORCovariance()
	 */
	@Override
	public double[][][] getIntegratedLIBORCovariance(TimeDiscretization simulationTimeDiscretization) {
		if(integratedLIBORCovariance != null) {
			return integratedLIBORCovariance;
		}

		final TimeDiscretization liborPeriodDiscretization = getLiborPeriodDiscretization();

		integratedLIBORCovariance = new double[simulationTimeDiscretization.getNumberOfTimeSteps()][liborPeriodDiscretization.getNumberOfTimeSteps()][liborPeriodDiscretization.getNumberOfTimeSteps()];
		for(int componentIndex1 = 0; componentIndex1 < liborPeriodDiscretization.getNumberOfTimeSteps(); componentIndex1++) {
			// Sum the libor cross terms (use symmetry)
			for(int componentIndex2 = componentIndex1; componentIndex2 < liborPeriodDiscretization.getNumberOfTimeSteps(); componentIndex2++) {
				double integratedLIBORCovarianceValue = 0.0;
				for(int timeIndex = 0; timeIndex < simulationTimeDiscretization.getNumberOfTimeSteps(); timeIndex++) {
					final double dt = simulationTimeDiscretization.getTimeStep(timeIndex);
					final RandomVariable[] factorLoadingOfComponent1 = getCovarianceModel().getFactorLoading(simulationTimeDiscretization.getTime(timeIndex), liborPeriodDiscretization.getTime(componentIndex1), null);
					final RandomVariable[] factorLoadingOfComponent2 = getCovarianceModel().getFactorLoading(simulationTimeDiscretization.getTime(timeIndex), liborPeriodDiscretization.getTime(componentIndex2), null);
					for(int factorIndex = 0; factorIndex < getNumberOfFactors(); factorIndex++) {
						integratedLIBORCovarianceValue += factorLoadingOfComponent1[factorIndex].get(0) * factorLoadingOfComponent2[factorIndex].get(0) * dt;
					}
					integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2] = integratedLIBORCovarianceValue;
				}
			}
		}

		return integratedLIBORCovariance;
	}

	@Override
	public Object clone() {
		return new LIBORMarketModelStandard(liborPeriodDiscretization, forwardRateCurve, covarianceModel);
	}

	/**
	 * @param driftApproximationMethod The driftApproximationMethod to set.
	 */
	public void setDriftApproximationMethod(final Driftapproximation driftApproximationMethod) {
		this.driftApproximationMethod = driftApproximationMethod;
	}

	/**
	 * @param measure The measure to set.
	 */
	public void setMeasure(final Measure measure) {
		this.measure = measure;
	}

	@Override
	public AnalyticModel getAnalyticModel() {
		return curveModel;
	}

	@Override
	public DiscountCurve getDiscountCurve() {
		if(discountCurve == null) {
			final DiscountCurve discountCurveFromForwardCurve = new DiscountCurveFromForwardCurve(getForwardRateCurve());
			return discountCurveFromForwardCurve;
		}

		return discountCurve;
	}

	@Override
	public ForwardCurve getForwardRateCurve() {
		return forwardRateCurve;
	}

	/**
	 * Return the swaption market data used for calibration (if any, may be null).
	 *
	 * @return The swaption market data used for calibration (if any, may be null).
	 */
	public SwaptionMarketData getSwaptionMarketData() {
		return swaptionMarketData;
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORMarketModel#getCovarianceModel()
	 */
	@Override
	public LIBORCovarianceModel getCovarianceModel() {
		return covarianceModel;
	}

	/**
	 * @param covarianceModel A covariance model
	 * @return A new LIBORMarketModelStandard using the specified covariance model.
	 */
	@Override
	public LIBORMarketModelStandard getCloneWithModifiedCovarianceModel(final LIBORCovarianceModel covarianceModel) {
		final LIBORMarketModelStandard model = (LIBORMarketModelStandard)this.clone();
		model.covarianceModel = covarianceModel;
		return model;
	}

	@Override
	public LIBORMarketModelStandard getCloneWithModifiedData(final Map dataModified) throws CalculationException {
		TimeDiscretization		liborPeriodDiscretization	= this.liborPeriodDiscretization;
		final AnalyticModel			analyticModel				= curveModel;
		ForwardCurve			forwardRateCurve			= this.forwardRateCurve;
		LIBORCovarianceModel	covarianceModel				= this.covarianceModel;
		SwaptionMarketData		swaptionMarketData			= null;

		if(dataModified.containsKey("liborPeriodDiscretization")) {
			liborPeriodDiscretization = (TimeDiscretization)dataModified.get("liborPeriodDiscretization");
		}
		if(dataModified.containsKey("forwardRateCurve")) {
			forwardRateCurve = (ForwardCurve)dataModified.get("forwardRateCurve");
		}
		if(dataModified.containsKey("forwardRateShift")) {
			throw new RuntimeException("Forward rate shift clone currently disabled.");
		}
		if(dataModified.containsKey("covarianceModel")) {
			covarianceModel = (LIBORCovarianceModel)dataModified.get("covarianceModel");
		}
		if(dataModified.containsKey("swaptionMarketData")) {
			swaptionMarketData = (SwaptionMarketData)dataModified.get("swaptionMarketData");
		}

		if(swaptionMarketData == null) {
			return new LIBORMarketModelStandard(liborPeriodDiscretization, forwardRateCurve, covarianceModel);
		}
		else {
			return new LIBORMarketModelStandard(liborPeriodDiscretization, forwardRateCurve, covarianceModel, swaptionMarketData);

		}
	}

	@Override
	public Map getModelParameters() {
		// TODO Add implementation
		throw new UnsupportedOperationException();
	}
}