webcab.lib.finance.pricing.models.volatility
Class DeterministForwardRateVolatilityModel

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.core.models.DeterministModel
                          |
                          +--webcab.lib.finance.pricing.models.volatility.DeterministForwardRateVolatilityModel

public class DeterministForwardRateVolatilityModel

extends DeterministModel

This is a model for the volatility of the forward rate curve generated using a volatility surface.

The model produces a forward rate volatility context (see ForwardRateVolatilityContext) which is used for example within the HJM model of the forward rate curve. .

Constructor Summary

DeterministForwardRateVolatilityModel(String name, Surface model, int variables, double min, double max, double t0)
Uses a surface to generate a deterministic model for the volatility of the forward rate.

Method Summary

int[]	getCategoriesForExternalReferences()
int	getExternal()
String[]	getExternalReferences(Context context)
double[]	getExternalVariables(Context context)
Context	getInitialContext()
int	getNumeraire()
int	getNVariables()
KOrderDiff	getProcess(int nProcess)
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.DeterministModel

comp, dV, evaluateCoef, getCorrelationMatrix, getNFactors

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

addInternalJumpConditions, 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

DeterministForwardRateVolatilityModel

public DeterministForwardRateVolatilityModel(String name,
                                             Surface model,
                                             int variables,
                                             double min,
                                             double max,
                                             double t0)
                                      throws InvalidParametersException

Uses a surface to generate a deterministic model for the volatility of the forward rate. The surface is divided into variables intervals.

Parameters:

name - the name of the context produced by this model.

model - a real function of two variables (surface). The first variable represents the current (simulation) time, the second represents the maturity time of the forward rate.

variables - the number of variables administered by this model. In fact this is equal with the number of intervals in which the second axis is divided. At time t of the simulation, the current varaibles will be surface(t, min), surface(t, min + deltaT), surface(t, min + 2 * deltaT), ..., surface(t, max), where deltaT = (max - min) / (variables - 1).

min - the begining of the significant interval on second axis (maturity time)

max - the end of the significant interval on second axis (maturity time)

Method Detail

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

getProcess

public KOrderDiff getProcess(int nProcess)
                      throws BondsException

Specified by:

getProcess in class DeterministModel

BondsException

getInitialContext

public Context getInitialContext()
                          throws BondsException

Specified by:

getInitialContext in class StochasticDifferentialModel

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