net.finmath.montecarlo

Interface MonteCarloSimulationInterface

All Known Subinterfaces:

AssetModelMonteCarloSimulationInterface, HybridAssetLIBORModelMonteCarloSimulationInterface, LIBORModelMonteCarloSimulationInterface

All Known Implementing Classes:

HybridAssetLIBORModelMonteCarloSimulation, LIBORModelMonteCarloSimulation, MonteCarloBlackScholesModel, MonteCarloBlackScholesModel2, MonteCarloMultiAssetBlackScholesModel

public interface MonteCarloSimulationInterface

The interface implemented by a simulation of an SDE. Provides the dimension of the SDE and the the time discretization of the simulation.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
MonteCarloSimulationInterface	getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
RandomVariableInterface	getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfPaths() Returns the numberOfPaths.
RandomVariableInterface	getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
double	getTime(int timeIndex) Returns the time for a given time index.
TimeDiscretizationInterface	getTimeDiscretization() Returns the timeDiscretization.
int	getTimeIndex(double time) Returns the time index for a given time.

Method Detail

getNumberOfPaths

int getNumberOfPaths()

Returns the numberOfPaths.

Returns:

Returns the numberOfPaths.

getTimeDiscretization

TimeDiscretizationInterface getTimeDiscretization()

Returns the timeDiscretization.

Returns:

Returns the timeDiscretization.

getTime

double getTime(int timeIndex)

Returns the time for a given time index.

Parameters:

timeIndex - Time index

Returns:

Returns the time for a given time index.

getTimeIndex

int getTimeIndex(double time)

Returns the time index for a given time.

Parameters:

time - The time.

Returns:

Returns the time index for a given time.

getRandomVariableForConstant

RandomVariableInterface getRandomVariableForConstant(double value)

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

getMonteCarloWeights

RandomVariableInterface getMonteCarloWeights(int timeIndex)
                                      throws CalculationException

This method returns the weights of a weighted Monte Carlo method (the probability density).

Parameters:

timeIndex - Time index at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getMonteCarloWeights

RandomVariableInterface getMonteCarloWeights(double time)
                                      throws CalculationException

This method returns the weights of a weighted Monte Carlo method (the probability density).

Parameters:

time - Time at which the process should be observed

Returns:

A vector of positive weights which sums up to one

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCloneWithModifiedData

MonteCarloSimulationInterface getCloneWithModifiedData(Map<String,Object> dataModified)
                                                throws CalculationException

Create a clone of this simulation modifying some of its properties (if any).

Parameters:

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, with some data modified (then it is no longer a clone :-)

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.