net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant 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.
/*
* (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.HashMap;
import java.util.Map;
import java.util.concurrent.ConcurrentHashMap;
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 LIBORVolatilityModelPiecewiseConstant extends LIBORVolatilityModel {
private static final long serialVersionUID = 3258093488453501312L;
private final RandomVariableFactory randomVariableFactory;
private final TimeDiscretization simulationTimeDiscretization;
private final TimeDiscretization timeToMaturityDiscretization;
private final Map> indexMap = new ConcurrentHashMap<>();
private RandomVariable[] volatility;
private final boolean isCalibrateable;
public LIBORVolatilityModelPiecewiseConstant(final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final TimeDiscretization simulationTimeDiscretization, final TimeDiscretization timeToMaturityDiscretization, final RandomVariable[] volatility, final boolean isCalibrateable) {
super(timeDiscretization, liborPeriodDiscretization);
randomVariableFactory = new RandomVariableFromArrayFactory();
/*
* Build index map
*/
final double maxMaturity = liborPeriodDiscretization.getTime(liborPeriodDiscretization.getNumberOfTimes()-1);
int volatilityIndex = 0;
for(int simulationTime=0; simulationTime timeToMaturityIndexing = new HashMap<>();
for(int timeToMaturity=0; timeToMaturity maxMaturity) {
continue;
}
timeToMaturityIndexing.put(timeToMaturity,volatilityIndex++);
}
indexMap.put(simulationTime, timeToMaturityIndexing);
}
if(volatility.length == 1) {
this.volatility = new RandomVariable[volatilityIndex];
Arrays.fill(this.volatility, volatility[0]);
}
else if(volatility.length == volatilityIndex) {
this.volatility = volatility.clone();
}
else {
throw new IllegalArgumentException("Volatility length does not match number of free parameters.");
}
if(volatilityIndex != this.volatility.length) {
throw new IllegalArgumentException("volatility.length should equal simulationTimeDiscretization.getNumberOfTimes()*timeToMaturityDiscretization.getNumberOfTimes().");
}
this.simulationTimeDiscretization = simulationTimeDiscretization;
this.timeToMaturityDiscretization = timeToMaturityDiscretization;
this.isCalibrateable = isCalibrateable;
}
public LIBORVolatilityModelPiecewiseConstant(final RandomVariableFactory randomVariableFactory, final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final TimeDiscretization simulationTimeDiscretization, final TimeDiscretization timeToMaturityDiscretization, final double[][] volatility, final boolean isCalibrateable) {
super(timeDiscretization, liborPeriodDiscretization);
this.randomVariableFactory = randomVariableFactory;
/*
* Build index map
*/
final double maxMaturity = liborPeriodDiscretization.getTime(liborPeriodDiscretization.getNumberOfTimes()-1);
int volatilityIndex = 0;
for(int simulationTime=0; simulationTime timeToMaturityIndexing = new ConcurrentHashMap<>();
for(int timeToMaturity=0; timeToMaturity maxMaturity) {
continue;
}
timeToMaturityIndexing.put(timeToMaturity,volatilityIndex++);
}
indexMap.put(simulationTime, timeToMaturityIndexing);
}
// Flatten parameter matrix
this.volatility = new RandomVariable[volatilityIndex];
for(final Integer simulationTime : indexMap.keySet()) {
for(final Integer timeToMaturity : indexMap.get(simulationTime).keySet()) {
this.volatility[indexMap.get(simulationTime).get(timeToMaturity)] = randomVariableFactory.createRandomVariable(volatility[simulationTime][timeToMaturity]);
}
}
this.simulationTimeDiscretization = simulationTimeDiscretization;
this.timeToMaturityDiscretization = timeToMaturityDiscretization;
this.isCalibrateable = isCalibrateable;
}
public LIBORVolatilityModelPiecewiseConstant(final RandomVariableFactory randomVariableFactory, final TimeDiscretization timeDiscretization, final TimeDiscretization liborPeriodDiscretization, final TimeDiscretization simulationTimeDiscretization, final TimeDiscretization timeToMaturityDiscretization, final double[] volatility, final boolean isCalibrateable) {
super(timeDiscretization, liborPeriodDiscretization);
this.randomVariableFactory = randomVariableFactory;
/*
* Build index map
*/
final double maxMaturity = liborPeriodDiscretization.getTime(liborPeriodDiscretization.getNumberOfTimes()-1);
int volatilityIndex = 0;
for(int simulationTime=0; simulationTime timeToMaturityIndexing = new HashMap<>();
for(int timeToMaturity=0; timeToMaturity maxMaturity) {
continue;
}
timeToMaturityIndexing.put(timeToMaturity,volatilityIndex++);
}
indexMap.put(simulationTime, timeToMaturityIndexing);
}
if(volatility.length == 1) {
this.volatility = new RandomVariable[volatilityIndex];
Arrays.fill(this.volatility, randomVariableFactory.createRandomVariable(volatility[0]));
}
else if(volatility.length == volatilityIndex) {
this.volatility = new RandomVariable[volatilityIndex];
for(int i=0; i= simulationTimeDiscretization.getNumberOfTimes()) {
timeIndexSimulationTime--;
}
int timeIndexTimeToMaturity = timeToMaturityDiscretization.getTimeIndexNearestLessOrEqual(timeToMaturity);
if(timeIndexTimeToMaturity < 0) {
timeIndexTimeToMaturity = 0;
}
if(timeIndexTimeToMaturity >= timeToMaturityDiscretization.getNumberOfTimes()) {
timeIndexTimeToMaturity--;
}
final int parameterIndex = indexMap.get(timeIndexSimulationTime).get(timeIndexTimeToMaturity);
return volatility[parameterIndex];
}
}
@Override
public Object clone() {
return new LIBORVolatilityModelPiecewiseConstant(
super.getTimeDiscretization(),
super.getLiborPeriodDiscretization(),
simulationTimeDiscretization,
timeToMaturityDiscretization,
volatility.clone(),
isCalibrateable
);
}
/**
* @return the simulationTimeDiscretization
*/
public TimeDiscretization getSimulationTimeDiscretization() {
return simulationTimeDiscretization;
}
/**
* @return the timeToMaturityDiscretization
*/
public TimeDiscretization getTimeToMaturityDiscretization() {
return timeToMaturityDiscretization;
}
@Override
public LIBORVolatilityModel getCloneWithModifiedData(final Map dataModified) {
RandomVariableFactory randomVariableFactory = this.randomVariableFactory;
TimeDiscretization timeDiscretization = this.getTimeDiscretization();
TimeDiscretization liborPeriodDiscretization = this.getLiborPeriodDiscretization();
TimeDiscretization simulationTimeDiscretization = this.getSimulationTimeDiscretization();
TimeDiscretization timeToMaturityDiscretization = this.getTimeToMaturityDiscretization();
double[][] volatility = new double[simulationTimeDiscretization.getNumberOfTimes()][timeToMaturityDiscretization.getNumberOfTimes()];
for(int i = 0;i