webcab.lib.finance.pricing.models.rate
Class BlackKarasinski

java.lang.Object
  |
  +--webcab.lib.finance.pricing.models.StochasticDifferentialModel
        |
        +--webcab.lib.finance.pricing.core.models.MarkovModel
              |
              +--webcab.lib.finance.pricing.core.models.SemimartingaleMarkovModel
                    |
                    +--webcab.lib.finance.pricing.models.rate.BlackKarasinski

public class BlackKarasinski

extends SemimartingaleMarkovModel

Bkack&Karasinski is a one factor stochastic spot rate model. The spot rate process is a semimartingale. The stochastic differential equation is:

• d(log(r)) = (phi(t) - a(t) * log(r)) * dt + sigma(t) * dW

The model can be fitted.

Constructor Summary

BlackKarasinski(String name, Function phi, Function a, Function sigma, double initialRate)
Creates a new BlackDermanToy instance.

Method Summary

double	evaluateCoef(int nProcess, int nCoef, double[] x)
int[]	getCategoriesForExternalReferences()
double[][]	getCorrelationMatrix()
int	getExternal()
String[]	getExternalReferences(Context context)
double[]	getExternalVariables(Context context)
Context	getInitialContext()
int[]	getNFactors()
int	getNumeraire()
int	getNVariables()
int	getTraded()
StochasticDifferentialModel	getUpdatedModel(Context context, double t) Sets the initial values of the models' variables to the ones given as parameters.

Methods inherited from class webcab.lib.finance.pricing.core.models.SemimartingaleMarkovModel

addInternalJumpConditions, comp, dV, evaluateNotTradedAbsoluteCoef, evaluateNotTradedTimeCoef, evaluateNotTradedWienerCoef, evaluateTimeCoef, evaluateWienerCoef, getAbsoluteCoef, getExternalCorrelationMatrix, getExternalReferencesInJumpConditions, getFixedVariablesForCondition, getJumpCondition, getJumpValue, getNExternalFactors, getNJumpConditions, getNotTradedAbsoluteCoef, getNotTradedTimeCoef, getNotTradedWienerCoef, getTimeCoef, getTotalExternalFactors, getTotalTradedFactors, getWienerCoef, hasExternalJumpConditions, resetOnDemand

Methods inherited from class webcab.lib.finance.pricing.core.models.MarkovModel

dV_MarkovModel, dV

Methods inherited from class webcab.lib.finance.pricing.models.StochasticDifferentialModel

compoundModel, compoundModel, compoundModel, compoundModel, compoundModel, compoundModel, dV_StochasticDifferentialModel, getCholeskyMatrix, getContext, getStartVariableForContext, getSuperModel, getTotalFactors, getVariables, seekRoot, seekUpwards, setCholeskyMatrix, setSuperModel

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackKarasinski

public BlackKarasinski(String name,
                       Function phi,
                       Function a,
                       Function sigma,
                       double initialRate)
                throws InvalidParametersException

Creates a new BlackDermanToy instance.

Parameters:

name - the name of the spot rate context produced

phi - a function of one variable (some class implementing the Function interface).

sigma - a function of one variable (a class implementing the Function interface).

initialRate - the initial value of the spot rate

Throws:

InvalidParametersException

Method Detail

getNFactors

public int[] getNFactors()

Specified by:

getNFactors in class StochasticDifferentialModel

getNVariables

public int getNVariables()

Specified by:

getNVariables in class StochasticDifferentialModel

getNumeraire

public int getNumeraire()

Specified by:

getNumeraire in class StochasticDifferentialModel

getTraded

public int getTraded()

Specified by:

getTraded in class SemimartingaleMarkovModel

getExternal

public int getExternal()

Specified by:

getExternal in class SemimartingaleMarkovModel

getExternalVariables

public double[] getExternalVariables(Context context)

Specified by:

getExternalVariables in class SemimartingaleMarkovModel

getExternalReferences

public String[] getExternalReferences(Context context)

Specified by:

getExternalReferences in class SemimartingaleMarkovModel

getCategoriesForExternalReferences

public int[] getCategoriesForExternalReferences()

Specified by:

getCategoriesForExternalReferences in class SemimartingaleMarkovModel

getInitialContext

public Context getInitialContext()

Specified by:

getInitialContext in class StochasticDifferentialModel

getCorrelationMatrix

public double[][] getCorrelationMatrix()

Specified by:

getCorrelationMatrix in class StochasticDifferentialModel

evaluateCoef

public double evaluateCoef(int nProcess,
                           int nCoef,
                           double[] x)
                    throws BondsException

Specified by:

evaluateCoef in class SemimartingaleMarkovModel

BondsException

getUpdatedModel

public StochasticDifferentialModel getUpdatedModel(Context context,
                                                   double t)
                                            throws BondsException

Description copied from class: StochasticDifferentialModel

Sets the initial values of the models' variables to the ones given as parameters.

Specified by:

getUpdatedModel in class StochasticDifferentialModel

Parameters:

context - the context which will be the new initial context of the model

t - the initial moment for the model

Returns:

StochasticDifferentialModel

Throws:

BondsException