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

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

public class FongVasicek

extends RationalSemimartingaleMarkovModel

Fong & Vasicek is a two factor model providing both the spot rate and the volatility of the spot rate.

The stochastic differential equations are:

• dr = a * (spotRateMean - r) * dt + sqrt(e) * dW1
• de = b * (varianceRateMean - e) * dt + c * sqrt(e) * dW2

where r is the spot rate and e is the variance (i.e. the volatility squared)of the spot rate.

The model produces a context that implements both SpotRateContext and VolatilityContext.

Constructor Summary

FongVasicek(String name, double spotRateMean, double sqrVolMean, double a, double b, double c, double initialSpotRate, double initialSqrtVolatility)
Creates a new FongVasicek instance.

Method Summary

int[]	getCategoriesForExternalReferences()
IntervalRat	getCoef(int nProcess, int nCoef)
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.RationalSemimartingaleMarkovModel

comp, evaluateCoef

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

addInternalJumpConditions, 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

FongVasicek

public FongVasicek(String name,
                   double spotRateMean,
                   double sqrVolMean,
                   double a,
                   double b,
                   double c,
                   double initialSpotRate,
                   double initialSqrtVolatility)
            throws BondsException

Creates a new FongVasicek instance.

Parameters:

name - the name of the context produced. It implements both SpotRateContext and VolatilityContext

spotRateMean - the trend around which the spot rate oscillates

a - constant showing the mean-reversion speed of the spot rate

b - constant showing the mean-reversion speed of the variance

c - the volatility of the variance

initialSpotRate - the initial value of the spot rate

Throws:

BondsException

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

getCoef

public IntervalRat getCoef(int nProcess,
                           int nCoef)
                    throws BondsException

Specified by:

getCoef in class RationalSemimartingaleMarkovModel

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