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finmath lib is a Mathematical Finance Library in Java.
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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.ArrayList;
import java.util.Map;
import net.finmath.montecarlo.RandomVariableFactory;
import net.finmath.montecarlo.RandomVariableFromArrayFactory;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;
/**
* Implements a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* @author Christian Fries
* @version 1.0
*/
public class LIBORVolatilityModelFromGivenMatrix extends LIBORVolatilityModel {
private static final long serialVersionUID = -8017326082950665302L;
private final RandomVariableFactory randomVariableFactory;
private final RandomVariable[][] volatility;
private final boolean isCalibrateable;
/**
* A cache for the parameter associated with this model, it is only used when getParameter is called repeatedly.
*/
private transient RandomVariable[] parameter;
/**
* Creates a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* The indexing of the matrix volatility is [timeIndex][compnentIndex] where
* timeIndex refers to the simulation time index j of t_j and componentIndex refers to
* the tenor time discretization i for the i-th forward rate.
* In other words, \sigma_i(t_j) is given by volatility[j][i].
*
* @param randomVariableFactory The random variable factor used to construct random variables from the parameters.
* @param timeDiscretization Discretization of simulation time.
* @param liborPeriodDiscretization Discretization of tenor times.
* @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
* @param isCalibrateable Set this to true, if the parameters are available for calibration.
*/
public LIBORVolatilityModelFromGivenMatrix(
final RandomVariableFactory randomVariableFactory,
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final RandomVariable[][] volatility,
final boolean isCalibrateable) {
super(timeDiscretization, liborPeriodDiscretization);
this.randomVariableFactory = randomVariableFactory;
this.volatility = volatility.clone();
this.isCalibrateable = isCalibrateable;
}
/**
* Creates a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* The indexing of the matrix volatility is [timeIndex][compnentIndex] where
* timeIndex refers to the simulation time index j of t_j and componentIndex refers to
* the tenor time discretization i for the i-th forward rate.
* In other words, \sigma_i(t_j) is given by volatility[j][i].
*
* @param timeDiscretization Discretization of simulation time.
* @param liborPeriodDiscretization Discretization of tenor times.
* @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
* @param isCalibrateable Set this to true, if the parameters are available for calibration.
*/
public LIBORVolatilityModelFromGivenMatrix(
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final RandomVariable[][] volatility,
final boolean isCalibrateable) {
super(timeDiscretization, liborPeriodDiscretization);
randomVariableFactory = new RandomVariableFromArrayFactory();
this.volatility = volatility.clone();
this.isCalibrateable = isCalibrateable;
}
/**
* Creates a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* The indexing of the matrix volatility is [timeIndex][compnentIndex] where
* timeIndex refers to the simulation time index j of t_j and componentIndex refers to
* the tenor time discretization i for the i-th forward rate.
* In other words, \sigma_i(t_j) is given by volatility[j][i].
*
* @param timeDiscretization Discretization of simulation time.
* @param liborPeriodDiscretization Discretization of tenor times.
* @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
*/
public LIBORVolatilityModelFromGivenMatrix(
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final RandomVariable[][] volatility) {
this(timeDiscretization, liborPeriodDiscretization, volatility, false);
}
/**
* Creates a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* @param randomVariableFactory The random variable factor used to construct random variables from the parameters.
* @param timeDiscretization Discretization of simulation time.
* @param liborPeriodDiscretization Discretization of tenor times.
* @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
* @param isCalibrateable Set this to true, if the parameters are available for calibration.
*/
public LIBORVolatilityModelFromGivenMatrix(
final RandomVariableFactory randomVariableFactory,
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final double[][] volatility,
final boolean isCalibrateable) {
super(timeDiscretization, liborPeriodDiscretization);
this.randomVariableFactory = randomVariableFactory;
this.volatility = randomVariableFactory.createRandomVariableMatrix(volatility);
this.isCalibrateable = isCalibrateable;
}
/**
* Creates a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* The indexing of the matrix volatility is [timeIndex][compnentIndex] where
* timeIndex refers to the simulation time index j of t_j and componentIndex refers to
* the tenor time discretization i for the i-th forward rate.
* In other words, \sigma_i(t_j) is given by volatility[j][i].
*
* @param randomVariableFactory The random variable factor used to construct random variables from the parameters.
* @param timeDiscretization Discretization of simulation time.
* @param liborPeriodDiscretization Discretization of tenor times.
* @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
*/
public LIBORVolatilityModelFromGivenMatrix(
final RandomVariableFactory randomVariableFactory,
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final double[][] volatility) {
this(randomVariableFactory, timeDiscretization, liborPeriodDiscretization, volatility, true);
}
/**
* Creates a simple volatility model using given piece-wise constant values on
* a given discretization grid.
*
* The indexing of the matrix volatility is [timeIndex][compnentIndex] where
* timeIndex refers to the simulation time index j of t_j and componentIndex refers to
* the tenor time discretization i for the i-th forward rate.
* In other words, \sigma_i(t_j) is given by volatility[j][i].
*
* @param timeDiscretization Discretization of simulation time.
* @param liborPeriodDiscretization Discretization of tenor times.
* @param volatility Volatility matrix volatility[timeIndex][componentIndex] where timeIndex the index of the start time in timeDiscretizationFromArray and componentIndex from liborPeriodDiscretization
*/
public LIBORVolatilityModelFromGivenMatrix(
final TimeDiscretization timeDiscretization,
final TimeDiscretization liborPeriodDiscretization,
final double[][] volatility) {
this(new RandomVariableFromArrayFactory(), timeDiscretization, liborPeriodDiscretization, volatility);
}
@Override
public RandomVariable getVolatility(final int timeIndex, final int component) {
return volatility[timeIndex][component];
}
@Override
public RandomVariable[] getParameter() {
synchronized (volatility) {
if(parameter == null) {
final ArrayList parameterArray = new ArrayList<>();
for(int timeIndex = 0; timeIndex dataModified) {
RandomVariableFactory randomVariableFactory = null;
TimeDiscretization timeDiscretization = this.getTimeDiscretization();
TimeDiscretization liborPeriodDiscretization = this.getLiborPeriodDiscretization();
final RandomVariable[][] volatility = this.volatility;
boolean isCalibrateable = this.isCalibrateable;
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);
isCalibrateable = (boolean)dataModified.getOrDefault("isCalibrateable", isCalibrateable);
if(dataModified.containsKey("randomVariableFactory")) {
// Possible to do this using streams?
for(int i=0;i