net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel Maven / Gradle / Ivy

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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.
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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 09.02.2004
 */
package net.finmath.montecarlo.interestrate;

import java.time.LocalDateTime;
import java.util.HashMap;
import java.util.Map;

import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.BrownianMotion;
import net.finmath.montecarlo.process.MonteCarloProcess;
import net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * Implements convenient methods for a LIBOR market model, based on a given LIBORModel model
 * (e.g. implemented by LIBORMarketModelFromCovarianceModel) and MonteCarloProcess
 * process (e.g. implemented by EulerSchemeFromProcessModel
 *
 * @author Christian Fries
 * @version 1.0
 */
public class LIBORMonteCarloSimulationFromLIBORModel implements LIBORModelMonteCarloSimulationModel {

	private final LIBORModel model;
	private final MonteCarloProcess process;

	public LIBORMonteCarloSimulationFromLIBORModel(final MonteCarloProcess process) {
		super();
		// TODO Validate type
		this.model		= (LIBORModel) process.getModel();
		this.process	= process;
	}

	/**
	 * Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcess.
	 *
	 * @param model The LIBORMarketModelFromCovarianceModel.
	 * @param process The process.
	 */
	@Deprecated
	public LIBORMonteCarloSimulationFromLIBORModel(final LIBORModel model, final MonteCarloProcess process) {
		super();
		this.model		= model;
		this.process	= process;
	}

	@Override
	public RandomVariable getMonteCarloWeights(final int timeIndex) throws CalculationException {
		return process.getMonteCarloWeights(timeIndex);
	}

	@Override
	public RandomVariable getMonteCarloWeights(final double time) throws CalculationException {
		int timeIndex = getTimeIndex(time);
		if(timeIndex < 0) {
			timeIndex = (-timeIndex-1)-1;
		}
		return process.getMonteCarloWeights(timeIndex);
	}

	@Override
	public int getNumberOfFactors() {
		return process.getNumberOfFactors();
	}

	@Override
	public int getNumberOfPaths() {
		return process.getNumberOfPaths();
	}

	@Override
	public LocalDateTime getReferenceDate() {
		return model.getReferenceDate();
	}

	@Override
	public double getTime(final int timeIndex) {
		return process.getTime(timeIndex);
	}

	@Override
	public TimeDiscretization getTimeDiscretization() {
		return process.getTimeDiscretization();
	}

	@Override
	public int getTimeIndex(final double time) {
		return process.getTimeIndex(time);
	}

	@Override
	public RandomVariable getRandomVariableForConstant(final double value) {
		return model.getRandomVariableForConstant(value);
	}

	@Override
	public BrownianMotion getBrownianMotion() {
		return (BrownianMotion)process.getStochasticDriver();
	}

	@Override
	public RandomVariable getLIBOR(final int timeIndex, final int liborIndex) throws CalculationException {
		return model.getLIBOR(process, timeIndex, liborIndex);
	}

	@Override
	public RandomVariable[] getLIBORs(final int timeIndex) throws CalculationException
	{
		final RandomVariable[] randomVariableVector = new RandomVariable[getNumberOfComponents()];
		for(int componentIndex=0; componentIndex dataModified) throws CalculationException {
		final LIBORModel modelClone = model.getCloneWithModifiedData(dataModified);
		if(dataModified.containsKey("discountCurve") && dataModified.size() == 1) {
			// In this case we may re-use the underlying process
			// Reuse process associated with other model
			final LIBORMonteCarloSimulationFromLIBORModel lmmSimClone = new LIBORMonteCarloSimulationFromLIBORModel(modelClone, process);
			return lmmSimClone;
		}
		else {
			return new LIBORMonteCarloSimulationFromLIBORModel(getProcess().getCloneWithModifiedModel(modelClone));
		}
	}

	/**
	 * Create a clone of this simulation modifying one of its properties (if any).
	 *
	 * @param entityKey The entity to modify.
	 * @param dataModified The data which should be changed in the new model
	 * @return Returns a clone of this model, where the specified part of the data is modified data (then it is no longer a clone :-)
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	public LIBORModelMonteCarloSimulationModel getCloneWithModifiedData(final String entityKey, final Object dataModified) throws CalculationException
	{
		final Map dataModifiedMap = new HashMap<>();
		dataModifiedMap.put(entityKey, dataModified);
		return getCloneWithModifiedData(dataModifiedMap);
	}

	@Override
	public Map getModelParameters() {
		return model.getModelParameters();
	}
}