net.finmath.montecarlo.interestrate

Interface LIBORModelMonteCarloSimulationInterface

All Superinterfaces:

MonteCarloSimulationInterface

All Known Subinterfaces:

HybridAssetLIBORModelMonteCarloSimulationInterface

All Known Implementing Classes:

HybridAssetLIBORModelMonteCarloSimulation, LIBORModelMonteCarloSimulation

public interface LIBORModelMonteCarloSimulationInterface
extends MonteCarloSimulationInterface

Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
BrownianMotionInterface	getBrownianMotion() Returns the Brownian motion used to simulate the curve.
Object	getCloneWithModifiedSeed(int seed) Deprecated.
AbstractLIBORCovarianceModel	getCovarianceModel()
RandomVariableInterface	getLIBOR(double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	getLIBOR(int timeIndex, int liborIndex) Return the forward rate for a given simulation time index and a given forward rate index.
double	getLiborPeriod(int timeIndex) Returns the period start of the specified forward rate period.
TimeDiscretizationInterface	getLiborPeriodDiscretization() Returns the libor period discretization as time discretization representing start and end dates of periods.
int	getLiborPeriodIndex(double time) Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
RandomVariableInterface[]	getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
LIBORMarketModelInterface	getModel() Returns the underlying model.
int	getNumberOfFactors()
int	getNumberOfLibors()
RandomVariableInterface	getNumeraire(double time) Return the numeraire at a given time.
AbstractProcessInterface	getProcess()

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationInterface

getCloneWithModifiedData, getMonteCarloWeights, getMonteCarloWeights, getNumberOfPaths, getRandomVariableForConstant, getTime, getTimeDiscretization, getTimeIndex

Method Detail

getNumberOfFactors

int getNumberOfFactors()

Returns:

Returns the numberOfFactors.

getLiborPeriodDiscretization

TimeDiscretizationInterface getLiborPeriodDiscretization()

Returns the libor period discretization as time discretization representing start and end dates of periods.

Returns:

Returns the libor period discretization

getNumberOfLibors

int getNumberOfLibors()

Returns:

The number of LIBORs in the LIBOR discretization

getLiborPeriod

double getLiborPeriod(int timeIndex)

Returns the period start of the specified forward rate period.

Parameters:

timeIndex - The index corresponding to a given time (interpretation is start of period)

Returns:

The period start of the specified forward rate period.

getLiborPeriodIndex

int getLiborPeriodIndex(double time)

Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.

Parameters:

time - The tenor time (fixing of the forward rate) for which the index is requested.

Returns:

The index corresponding to a given time (interpretation is start of period)

getLIBOR

RandomVariableInterface getLIBOR(int timeIndex,
                                 int liborIndex)
                          throws CalculationException

Return the forward rate for a given simulation time index and a given forward rate index.

Parameters:

timeIndex - Simulation time index.

liborIndex - Tenor time index (index corresponding to the fixing of the forward rate).

Returns:

The forward rate as a random variable.

Throws:

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

getLIBOR

RandomVariableInterface getLIBOR(double time,
                                 double periodStart,
                                 double periodEnd)
                          throws CalculationException

Return the forward rate for a given simulation time and a given period start and period end.

Parameters:

time - Simulation time

periodStart - Start time of period

periodEnd - End time of period

Returns:

The forward rate as a random variable as seen on simulation time for the specified period.

Throws:

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

getLIBORs

RandomVariableInterface[] getLIBORs(int timeIndex)
                             throws CalculationException

Return the forward rate curve for a given simulation time index.

Parameters:

timeIndex - Simulation time index.

Returns:

The forward rate curve for a given simulation time index.

Throws:

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

getNumeraire

RandomVariableInterface getNumeraire(double time)
                              throws CalculationException

Return the numeraire at a given time.

Parameters:

time - Time at which the process should be observed

Returns:

The numeraire at the specified time as RandomVariable

Throws:

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

getBrownianMotion

BrownianMotionInterface getBrownianMotion()

Returns the Brownian motion used to simulate the curve.

Returns:

The Brownian motion used to simulate the curve.

getModel

LIBORMarketModelInterface getModel()

Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.

Returns:

The underlying model

getProcess

AbstractProcessInterface getProcess()

Returns:

The implementation of the process

getCovarianceModel

AbstractLIBORCovarianceModel getCovarianceModel()

Returns:

the covarianceModel

getCloneWithModifiedSeed

@Deprecated
Object getCloneWithModifiedSeed(int seed)

Deprecated.

Return a clone of this model with a modified Brownian motion using a different seed.

Parameters:

seed - The seed

Returns:

Clone of this object, but having a different seed.