lmm_parameters.java

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/* WARANTY NOTICE AND COPYRIGHT
This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.

Copyright (C) Michael J. Meyer

[e-mail]
[e-mail]

*/


/*
 * LMM_Parameters.java
 *
 * Created on August 30, 2002, 8:58 AM
 */

package Libor.LiborProcess;

import LinAlg.*;

/** <p>Class which combines an initial term structure <code>l[j]=L_j(0)</code>
 *  with a <code>FactorLoading</code> object and hence provides everything
 *  to set up a Libor process.</p>
 *
 * <p>Used to control the Libor process set up. Different constructors might
 * return sample set ups, intiate user interaction to get parameter input
 * or choose between different volatility and correlation structures.</p>
 *
 * @author  Michael J. Meyer
 */
public class LMM_Parameters {
    
    double[] l;                     // intial term structure
    FactorLoading factorLoading;    // volatility and correlation structure
    
    /** Flag identifying the type of Libor model setup
     *  (Coffey-Shoenmakers correlation, uses <code>CS_FactorLoading</code>).
     */
    public static final int CS=0;   // Coffey-Shoenmakers, CS_FactorLoading
    
    /** Flag identifying the type of Libor model setup
     *  (exponential power correlation, uses <code>EP_FactorLoading</code>).
     */
    public static final int EP=1;   
    
    /** Flag identifying the type of Libor model setup
     *  (Jaeckel-Rebonato correlation, uses <code>JR_FactorLoading</code>).
     */
    public static final int JR=2;   
    
 

/*******************************************************************************
 *
 *                          CONSTRUCTORS
 *
 ******************************************************************************/
    
    
    /** <p>Constructs an LMM parameter sample drawn from the specified model type.
     *  Used to quickly instantiate a Libor process for experimentation.
     *  Initial term structure is <code>L_j(0)=0.04, j=0,...,n-1.</code>
     *  If the <code>modelType</code> parameter is not recognized a
     *  <code>CS_FactorLoading</code> is used as a default.
     *
     * @param n dimension of Libor process.
     * @param modelType flag identifying the type of factor loading, choose
     * from <code>CS, EP</code>.
     */
    public LMM_Parameters(int n, int modelType) {
        
        l=new double[n];
        for(int i=0;i<n;i++)l[i]=0.04;
        
        switch(modelType){
            
            case EP: factorLoading=EP_FactorLoading.sample(n);
                     break;

            case JR: factorLoading=JR_FactorLoading.sample(n);
                     break;
  
            default: factorLoading=CS_FactorLoading.sample(n);
        } // end switch
        
    } // end constructor
    
    
        
    /** <p>Constructs an LMM parameter object from an initial term structure
     *  <code>l[i]=L_i(0)</code> and <code>FactorLoading fl</code>.</p>
     *
     * @param l initial term structure <code>l[i]=L_i(0)</code>.
     * @param fl the <code>FactorLoading</code>.
     */
    public LMM_Parameters(double[] l, FactorLoading fl) {
        
       this.l=l;
       factorLoading=fl;
        
    } // end constructor
    


/*******************************************************************************
 *
 *                            ACCESSORS
 *
 ******************************************************************************/
    
    /** The array <code>l[j]=L_j(0), j<n.</code>
     */
    public double[] initialTermStructure(){ return l; }
    
    /** The volatility and correlation structure.
     */
    public FactorLoading factorLoading(){ return factorLoading; }
    
    
    
/*******************************************************************************
 *
 *                              toString
 *
 ******************************************************************************/
    
    /** A message containing all the parameters, initial Libors.
     */
    public String toString()
    {
        String factLoading, 
               initialLibors;
        
        initialLibors="\n\nInitial Libors: "+new ColtVector(l).toString();
        factLoading=factorLoading.toString();
        return initialLibors+factLoading;
    }
        
        

} // end LMM_parameters