net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param Maven / Gradle / Ivy

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 20.05.2006
 */
package net.finmath.montecarlo.interestrate.models.covariance;

import java.util.Map;

import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.RandomVariableFromDoubleArray;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * @author Christian Fries
 *
 * @version 1.0
 */
public class LIBORCovarianceModelExponentialForm7Param extends AbstractLIBORCovarianceModelParametric {

	private static final long serialVersionUID = -7980504204664006566L;

	private double[] parameter = new double[7];

	private LIBORVolatilityModelMaturityDependentFourParameterExponentialForm	volatilityModel;
	private LIBORCorrelationModelThreeParameterExponentialDecay					correlationModel;

	public LIBORCovarianceModelExponentialForm7Param(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final int numberOfFactors) {
		super(timeDiscretization, liborPeriodDiscretization, numberOfFactors);

		parameter[0] = 0.1;
		parameter[1] = 0.1;
		parameter[2] = 0.1;
		parameter[3] = 0.2;
		parameter[4] = 0.1;
		parameter[5] = 0.1;
		parameter[6] = 0.1;

		volatilityModel	= new LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(getTimeDiscretization(), getLiborPeriodDiscretization(), parameter[0], parameter[1], parameter[2], parameter[3]);
		correlationModel	= new LIBORCorrelationModelThreeParameterExponentialDecay(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), getNumberOfFactors(), parameter[4], parameter[5], parameter[6], false);
	}

	@Override
	public Object clone() {
		final LIBORCovarianceModelExponentialForm7Param model = new LIBORCovarianceModelExponentialForm7Param(this.getTimeDiscretization(), this.getLiborPeriodDiscretization(), this.getNumberOfFactors());
		model.parameter = parameter;
		model.volatilityModel = volatilityModel;
		model.correlationModel = correlationModel;
		return model;
	}

	@Override
	public AbstractLIBORCovarianceModelParametric getCloneWithModifiedParameters(final double[] parameters) {
		final LIBORCovarianceModelExponentialForm7Param model = (LIBORCovarianceModelExponentialForm7Param)this.clone();

		model.parameter = parameters;
		if(parameters[0] != parameter[0] || parameters[1] != parameter[1] || parameters[2] != parameter[2] || parameters[3] != parameter[3]) {
			model.volatilityModel	= new LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(getTimeDiscretization(), getLiborPeriodDiscretization(), parameters[0], parameters[1], parameters[2], parameters[3]);
		}
		if(parameters[4] != parameter[4] || parameters[5] != parameter[5] || parameters[6] != parameter[6]) {
			model.correlationModel	= new LIBORCorrelationModelThreeParameterExponentialDecay(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), getNumberOfFactors(), parameters[4], parameters[5], parameters[6], false);
		}

		return model;
	}

	@Override
	public double[] getParameterAsDouble() {
		return parameter;
	}

	@Override
	public RandomVariable[] getFactorLoading(final int timeIndex, final int component, final RandomVariable[] realizationAtTimeIndex) {
		final RandomVariable[] factorLoading = new RandomVariable[correlationModel.getNumberOfFactors()];
		for (int factorIndex = 0; factorIndex < factorLoading.length; factorIndex++) {
			final RandomVariable volatility = volatilityModel.getVolatility(timeIndex, component);
			factorLoading[factorIndex] = volatility;
			factorLoading[factorIndex] = factorLoading[factorIndex].mult(correlationModel.getFactorLoading(timeIndex, factorIndex, component));
		}

		return factorLoading;
	}

	@Override
	public RandomVariableFromDoubleArray getFactorLoadingPseudoInverse(final int timeIndex, final int component, final int factor, final RandomVariable[] realizationAtTimeIndex) {
		throw new UnsupportedOperationException();
	}

	@Override
	public AbstractLIBORCovarianceModelParametric getCloneWithModifiedData(final Map dataModified)
			throws CalculationException {
		TimeDiscretization timeDiscretization = this.getTimeDiscretization();
		TimeDiscretization liborPeriodDiscretization = this.getLiborPeriodDiscretization();
		int numberOfFactors = this.getNumberOfFactors();

		if(dataModified != null) {
			timeDiscretization = (TimeDiscretization)dataModified.getOrDefault("timeDiscretization", timeDiscretization);
			liborPeriodDiscretization = (TimeDiscretization)dataModified.getOrDefault("liborPeriodDiscretization", liborPeriodDiscretization);
			numberOfFactors = (int)dataModified.getOrDefault("numberOfFactors", numberOfFactors);
		}

		final AbstractLIBORCovarianceModelParametric newModel = new LIBORCovarianceModelExponentialForm7Param(timeDiscretization, liborPeriodDiscretization, numberOfFactors);
		return newModel;
	}

}