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/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 08.08.2005
*/
package net.finmath.montecarlo.interestrate.models.covariance;
import java.util.Arrays;
import java.util.Map;
import java.util.function.ToDoubleFunction;
import net.finmath.montecarlo.RandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFromArrayFactory;
import net.finmath.stochastic.RandomVariable;
import net.finmath.stochastic.Scalar;
import net.finmath.time.TimeDiscretization;
/**
* @author Christian Fries
* @version 1.0
*/
public class LIBORVolatilityModelMaturityDependentFourParameterExponentialForm extends LIBORVolatilityModel {
private static final long serialVersionUID = 1412665163004646789L;
private final RandomVariableFactory randomVariableFactory;
private final RandomVariable[] a;
private final RandomVariable[] b;
private final RandomVariable[] c;
private final RandomVariable[] d;
public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final RandomVariable[] parameterA,
final RandomVariable[] parameterB,
final RandomVariable[] parameterC,
final RandomVariable[] parameterD) {
super(timeDiscretization, liborPeriodDiscretization);
randomVariableFactory = new RandomVariableFromArrayFactory();
a = parameterA;
b = parameterB;
c = parameterC;
d = parameterD;
}
/**
* @param randomVariableFactory The random variable factor used to construct random variables from the parameters.
* @param timeDiscretization The simulation time discretization tj.
* @param liborPeriodDiscretization The period time discretization Ti.
* @param a The parameter a: an initial volatility level.
* @param b The parameter b: the slope at the short end (shortly before maturity).
* @param c The parameter c: exponential decay of the volatility in time-to-maturity.
* @param d The parameter d: if c > 0 this is the very long term volatility level.
*/
public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(
final RandomVariableFactory randomVariableFactory,
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final double[] a, final double[] b, final double[] c, final double[] d) {
super(timeDiscretization, liborPeriodDiscretization);
this.randomVariableFactory = randomVariableFactory;
this.a = randomVariableFactory.createRandomVariableArray(a);
this.b = randomVariableFactory.createRandomVariableArray(b);
this.c = randomVariableFactory.createRandomVariableArray(c);
this.d = randomVariableFactory.createRandomVariableArray(d);
}
/**
* @param randomVariableFactory The random variable factor used to construct random variables from the parameters.
* @param timeDiscretization The simulation time discretization tj.
* @param liborPeriodDiscretization The period time discretization Ti.
* @param a The parameter a: an initial volatility level.
* @param b The parameter b: the slope at the short end (shortly before maturity).
* @param c The parameter c: exponential decay of the volatility in time-to-maturity.
* @param d The parameter d: if c > 0 this is the very long term volatility level.
*/
public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(
final RandomVariableFactory randomVariableFactory,
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final double a, final double b, final double c, final double d) {
super(timeDiscretization, liborPeriodDiscretization);
this.randomVariableFactory = randomVariableFactory;
this.a = new RandomVariable[liborPeriodDiscretization.getNumberOfTimeSteps()]; Arrays.fill(this.a, randomVariableFactory.createRandomVariable(a));
this.b = new RandomVariable[liborPeriodDiscretization.getNumberOfTimeSteps()]; Arrays.fill(this.b, randomVariableFactory.createRandomVariable(b));
this.c = new RandomVariable[liborPeriodDiscretization.getNumberOfTimeSteps()]; Arrays.fill(this.c, randomVariableFactory.createRandomVariable(c));
this.d = new RandomVariable[liborPeriodDiscretization.getNumberOfTimeSteps()]; Arrays.fill(this.d, randomVariableFactory.createRandomVariable(d));
}
/**
* @param timeDiscretization The simulation time discretization tj.
* @param liborPeriodDiscretization The period time discretization Ti.
* @param a The parameter a: an initial volatility level.
* @param b The parameter b: the slope at the short end (shortly before maturity).
* @param c The parameter c: exponential decay of the volatility in time-to-maturity.
* @param d The parameter d: if c > 0 this is the very long term volatility level.
*/
public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization, final double a, final double b, final double c, final double d) {
this(new RandomVariableFromArrayFactory(), timeDiscretization, liborPeriodDiscretization, a, b, c, d);
}
/**
* @param timeDiscretization The simulation time discretization tj.
* @param liborPeriodDiscretization The period time discretization Ti.
* @param a The parameter a: an initial volatility level.
* @param b The parameter b: the slope at the short end (shortly before maturity).
* @param c The parameter c: exponential decay of the volatility in time-to-maturity.
* @param d The parameter d: if c > 0 this is the very long term volatility level.
*/
public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization, final double[] a, final double[] b, final double[] c, final double[] d) {
this(new RandomVariableFromArrayFactory(), timeDiscretization, liborPeriodDiscretization, a, b, c, d);
}
@Override
public RandomVariable[] getParameter() {
final RandomVariable[] parameter = new RandomVariable[a.length+b.length+c.length+d.length];
System.arraycopy(a, 0, parameter, 0, a.length);
System.arraycopy(b, 0, parameter, a.length, b.length);
System.arraycopy(c, 0, parameter, a.length+b.length, c.length);
System.arraycopy(d, 0, parameter, a.length+b.length+c.length, d.length);
return parameter;
}
@Override
public LIBORVolatilityModelMaturityDependentFourParameterExponentialForm getCloneWithModifiedParameter(final RandomVariable[] parameter) {
final RandomVariable[] parameterA = new RandomVariable[a.length];
final RandomVariable[] parameterB = new RandomVariable[b.length];
final RandomVariable[] parameterC = new RandomVariable[c.length];
final RandomVariable[] parameterD = new RandomVariable[d.length];
System.arraycopy(parameter, 0, parameterA, 0, a.length);
System.arraycopy(parameter, a.length, parameterA, 0, b.length);
System.arraycopy(parameter, a.length+b.length, parameterA, 0, c.length);
System.arraycopy(parameter, a.length+b.length+c.length, parameterA, 0, d.length);
return new LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(
super.getTimeDiscretization(),
super.getLiborPeriodDiscretization(),
parameterA,
parameterB,
parameterC,
parameterD
);
}
/* (non-Javadoc)
* @see net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel#getVolatility(int, int)
*/
@Override
public RandomVariable getVolatility(final int timeIndex, final int liborIndex) {
// Create a very simple volatility model here
final double time = getTimeDiscretization().getTime(timeIndex);
final double maturity = getLiborPeriodDiscretization().getTime(liborIndex);
final double timeToMaturity = maturity-time;
RandomVariable volatilityInstanteaneous;
if(timeToMaturity <= 0)
{
volatilityInstanteaneous = new Scalar(0.0); // This forward rate is already fixed, no volatility
}
else
{
volatilityInstanteaneous = a[liborIndex].addProduct(b[liborIndex], timeToMaturity).mult(c[liborIndex].mult(-timeToMaturity).exp()).add(d[liborIndex]);
}
return volatilityInstanteaneous;
}
@Override
public Object clone() {
return new LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(
super.getTimeDiscretization(),
super.getLiborPeriodDiscretization(),
a,
b,
c,
d
);
}
@Override
public LIBORVolatilityModel getCloneWithModifiedData(final Map dataModified) {
RandomVariableFactory randomVariableFactory = this.randomVariableFactory;
TimeDiscretization timeDiscretization = this.getTimeDiscretization();
TimeDiscretization liborPeriodDiscretization = this.getLiborPeriodDiscretization();
double[] a = Arrays.stream(this.a).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable x) {
return x.doubleValue();
}
}).toArray();
double[] b = Arrays.stream(this.b).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable x) {
return x.doubleValue();
}
}).toArray();
double[] c = Arrays.stream(this.c).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable x) {
return x.doubleValue();
}
}).toArray();
double[] d = Arrays.stream(this.d).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable x) {
return x.doubleValue();
}
}).toArray();
if(dataModified != null) {
// Explicitly passed covarianceModel has priority
randomVariableFactory = (RandomVariableFactory)dataModified.getOrDefault("randomVariableFactory", randomVariableFactory);
timeDiscretization = (TimeDiscretization)dataModified.getOrDefault("timeDiscretization", timeDiscretization);
liborPeriodDiscretization = (TimeDiscretization)dataModified.getOrDefault("liborPeriodDiscretization", liborPeriodDiscretization);
if(dataModified.getOrDefault("a", a) instanceof RandomVariable[]) {
a = Arrays.stream((RandomVariable[])dataModified.getOrDefault("a", a)).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable param) {
return param.doubleValue();
}
}).toArray();
}else {
a = (double[])dataModified.get("a");
}
if(dataModified.getOrDefault("b", b) instanceof RandomVariable[]) {
b = Arrays.stream((RandomVariable[])dataModified.getOrDefault("b", b)).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable param) {
return param.doubleValue();
}
}).toArray();
}else {
b = (double[])dataModified.get("b");
}
if(dataModified.getOrDefault("c", c) instanceof RandomVariable[]) {
c = Arrays.stream((RandomVariable[])dataModified.getOrDefault("c", c)).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable param) {
return param.doubleValue();
}
}).toArray();
}else {
c = (double[])dataModified.get("c");
}
if(dataModified.getOrDefault("d", d) instanceof RandomVariable[]) {
d = Arrays.stream((RandomVariable[])dataModified.getOrDefault("d", d)).mapToDouble(new ToDoubleFunction() {
@Override
public double applyAsDouble(final RandomVariable param) {
return param.doubleValue();
}
}).toArray();
}else {
d = (double[])dataModified.get("d");
}
}
final LIBORVolatilityModel newModel = new LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(randomVariableFactory, timeDiscretization, liborPeriodDiscretization, a, b, c, d);
return newModel;
}
}
