Package org.drip.dynamics.hjm

Class MultiFactorVolatility

java.lang.Object

org.drip.dynamics.hjm.MultiFactorVolatility

Direct Known Subclasses:

LognormalLIBORVolatility

public class MultiFactorVolatility
extends java.lang.Object

MultiFactorVolatility implements the Volatility of the Multi-factor Stochastic Evolution Process. The Factors may come from the Underlying Stochastic Variables, or from Principal Components.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
• Package = HJM Based Latent State Evolution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MultiFactorVolatility(MarketSurface[] aMSVolatility, PrincipalFactorSequenceGenerator pfsg)	MultiFactorVolatility Constructor

Method Summary

Modifier and Type	Method	Description
double[]	factorPointVolatility(int iXDate, int iYDate)	Compute the Array of Factor Point Volatilities
double	factorPointVolatility(int iFactorIndex, int iXDate, int iYDate)	Compute the Factor Point Volatility
PrincipalFactorSequenceGenerator	msg()	Retrieve the Principal Factor Sequence Generator
double	pointVolatilityModulus(int iXDate, int iYDate)	Compute the Point Volatility Modulus
double	pointVolatilityModulusDerivative(int iXDate, int iYDate, int iOrder, boolean bTerminal)	Compute the Point Volatility Modulus Derivative
double	volatilityIntegral(int iFactorIndex, int iXDate, int iYDate)	Compute the Factor Volatility Integral
MarketSurface[]	volatilitySurface()	Retrieve the Array of Volatility Surfaces
double	weightedFactorPointVolatility(int iFactorIndex, int iXDate, int iYDate)	Compute the Weighted Factor Point Volatility
R1ToR1	xDateVolatilityFunction(int iFactorIndex, int iXDate)	Retrieve the Factor-Specific Univariate Volatility Function for the Specified Date

Methods inherited from class java.lang.Object

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

Constructor Details

MultiFactorVolatility

public MultiFactorVolatility(MarketSurface[] aMSVolatility,
PrincipalFactorSequenceGenerator pfsg)
                      throws java.lang.Exception

MultiFactorVolatility Constructor

Parameters:

aMSVolatility - Array of the Multi-Factor Volatility Surfaces

pfsg - Principal Factor Sequence Generator

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

volatilitySurface

public MarketSurface[] volatilitySurface()

Retrieve the Array of Volatility Surfaces

Returns:

The Array of Volatility Surfaces

msg

public PrincipalFactorSequenceGenerator msg()

Retrieve the Principal Factor Sequence Generator

Returns:

The Principal Factor Sequence Generator

xDateVolatilityFunction

public R1ToR1 xDateVolatilityFunction(int iFactorIndex,
int iXDate)

Retrieve the Factor-Specific Univariate Volatility Function for the Specified Date

Parameters:

iFactorIndex - The Factor Index

iXDate - The X Date

Returns:

The Factor-Specific Univariate Volatility Function for the Specified Date

volatilityIntegral

public double volatilityIntegral(int iFactorIndex,
int iXDate,
int iYDate)
                          throws java.lang.Exception

Compute the Factor Volatility Integral

Parameters:

iFactorIndex - The Factor Index

iXDate - The X Date

iYDate - The Y Date

Returns:

The Factor Volatility Integral

Throws:

java.lang.Exception - Thrown if the Factor Volatility Integral cannot be computed

factorPointVolatility

public double factorPointVolatility(int iFactorIndex,
int iXDate,
int iYDate)
                             throws java.lang.Exception

Compute the Factor Point Volatility

Parameters:

iFactorIndex - The Factor Index

iXDate - The X Date

iYDate - The Y Date

Returns:

The Factor Point Volatility

Throws:

java.lang.Exception - Thrown if the Factor Point Volatility cannot be computed

factorPointVolatility

public double[] factorPointVolatility(int iXDate,
int iYDate)

Compute the Array of Factor Point Volatilities

Parameters:

iXDate - The X Date

iYDate - The Y Date

Returns:

The Array of Factor Point Volatilities

weightedFactorPointVolatility

public double weightedFactorPointVolatility(int iFactorIndex,
int iXDate,
int iYDate)
                                     throws java.lang.Exception

Compute the Weighted Factor Point Volatility

Parameters:

iFactorIndex - The Factor Index

iXDate - The X Date

iYDate - The Y Date

Returns:

The Weighted Factor Point Volatility

Throws:

java.lang.Exception - Thrown if the Weighted Factor Point Volatility cannot be computed

pointVolatilityModulus

public double pointVolatilityModulus(int iXDate,
int iYDate)
                              throws java.lang.Exception

Compute the Point Volatility Modulus

Parameters:

iXDate - The X Date

iYDate - The Y Date

Returns:

The Point Volatility Modulus

Throws:

java.lang.Exception - Thrown if the Point Volatility Modulus cannot be computed

pointVolatilityModulusDerivative

public double pointVolatilityModulusDerivative(int iXDate,
int iYDate,
int iOrder,
boolean bTerminal)
                                        throws java.lang.Exception

Compute the Point Volatility Modulus Derivative

Parameters:

iXDate - The X Date

iYDate - The Y Date

iOrder - The Derivative Order

bTerminal - TRUE - Derivative off of the Y Date; FALSE - Derivative off of the X Date

Returns:

The Point Volatility Modulus Derivative

Throws:

java.lang.Exception - Thrown if the Point Volatility Modulus Derivative cannot be computed