net.finmath.fouriermethod.models

Interface ProcessCharacteristicFunctionInterface

All Known Implementing Classes:

BlackScholesModel

public interface ProcessCharacteristicFunctionInterface

Interface which has to be implemented by models providing the characteristic functions of stochastic processes.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
CharacteristicFunctionInterface	apply(double time) Returns the characteristic function of X(t), where X is this stochastic process.

Method Detail

apply

CharacteristicFunctionInterface apply(double time)

Returns the characteristic function of X(t), where X is this stochastic process.

Parameters:

time - The time at which the stochastic process is observed.

Returns:

The characteristic function of X(t).