Added numeraire adjustment to getModelParameters.
@@ -14,6 +14,7 @@ import java.util.ArrayList;
import java.util.Collections;
import java.util.HashMap;
import java.util.Map;
+import java.util.Map.Entry;
import java.util.concurrent.ConcurrentHashMap;
import net.finmath.exception.CalculationException;
@@ -1098,9 +1099,6 @@ public class LIBORMarketModel extends AbstractModel implements LIBORMarketModelI
return getNumberOfComponents();
}
- /* (non-Javadoc)
- * @see net.finmath.montecarlo.interestrate.LIBORMarketModelInterface#getLiborPeriod(int)
- */
@Override
public double getLiborPeriod(int timeIndex) {
if(timeIndex >= liborPeriodDiscretization.getNumberOfTimes() || timeIndex < 0) {
@@ -1109,17 +1107,11 @@ public class LIBORMarketModel extends AbstractModel implements LIBORMarketModelI
return liborPeriodDiscretization.getTime(timeIndex);
}
- /* (non-Javadoc)
- * @see net.finmath.montecarlo.interestrate.LIBORMarketModelInterface#getLiborPeriodIndex(double)
- */
@Override
public int getLiborPeriodIndex(double time) {
return liborPeriodDiscretization.getTimeIndex(time);
}
- /* (non-Javadoc)
- * @see net.finmath.montecarlo.interestrate.LIBORMarketModelInterface#getLiborPeriodDiscretization()
- */
@Override
public TimeDiscretizationInterface getLiborPeriodDiscretization() {
return liborPeriodDiscretization;
@@ -1132,9 +1124,6 @@ public class LIBORMarketModel extends AbstractModel implements LIBORMarketModelI
return measure;
}
- /* (non-Javadoc)
- * @see net.finmath.montecarlo.interestrate.LIBORMarketModelInterface#getIntegratedLIBORCovariance()
- */
@Override
public double[][][] getIntegratedLIBORCovariance() {
synchronized (integratedLIBORCovarianceLazyInitLock) {
@@ -1219,9 +1208,6 @@ public class LIBORMarketModel extends AbstractModel implements LIBORMarketModelI
return swaptionMarketData;
}
- /* (non-Javadoc)
- * @see net.finmath.montecarlo.interestrate.LIBORMarketModelInterface#getCovarianceModel()
- */
@Override
public AbstractLIBORCovarianceModel getCovarianceModel() {
return covarianceModel;
@@ -1300,6 +1286,11 @@ public class LIBORMarketModel extends AbstractModel implements LIBORMarketModelI
}
}
+ // Add numeraire adjustments
+ for(Entry<Double, RandomVariableInterface> numeraireAdjustment : numeraireAdjustments.entrySet()) {
+ modelParameters.put("NUMERAIREADJUSTMENT("+ numeraireAdjustment.getKey() + ")", numeraireAdjustment.getValue());
+ }
+
return modelParameters;
}
