Added constructor.
@@ -108,6 +108,29 @@ public class BlendedLocalVolatilityModel extends AbstractLIBORCovarianceModelPar
this(randomVariableFactory, covarianceModel, null, displacement, isCalibrateable);
}
+ /**
+ * Displaced diffusion model build on top of a standard covariance model.
+ * The model constructed is <i>(a L<sub>0</sub> + (1-a)L) F</i> where <i>a</i> is
+ * the displacement and <i>L</i> is
+ * the component of the stochastic process and <i>F</i> is the factor loading
+ * from the given covariance model.
+ *
+ * The parameter of this model is a joint parameter vector, where the first
+ * entry is the displacement and the remaining entries are the parameter vector
+ * of the given base covariance model.
+ *
+ * If this model is not calibrateable, its parameter vector is that of the
+ * covariance model.
+ *
+ * @param covarianceModel The given covariance model specifying the factor loadings <i>F</i>.
+ * @param forwardCurve The given forward curve L<sub>0</sub>
+ * @param displacement The displacement <i>a</i>.
+ * @param isCalibrateable If true, the parameter <i>a</i> is a free parameter. Note that the covariance model may have its own parameter calibration settings.
+ */
+ public BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurveInterface forwardCurve, double displacement, boolean isCalibrateable) {
+ this(new RandomVariableFactory(), covarianceModel, forwardCurve, displacement, isCalibrateable);
+ }
+
/**
* Displaced diffusion model build on top of a standard covariance model.
*
