net.finmath.montecarlo.model

Class AbstractModel

java.lang.Object

net.finmath.montecarlo.model.AbstractModel

All Implemented Interfaces:

AbstractModelInterface

Direct Known Subclasses:

LIBORMarketModel, LIBORMarketModelStandard, MonteCarloBlackScholesModel, MonteCarloMultiAssetBlackScholesModel

public abstract class AbstractModel
extends Object
implements AbstractModelInterface

This class is an abstract base class to implement a model provided to an AbstractProcess. Manages the delegation to AbstractProcessInterface. For details see AbstractModelInterface.

Version:

1.3

Author:

Christian Fries

See Also:

The interface definition contains more details.

Constructor Summary

Constructors

Constructor and Description
AbstractModel()

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface[]	getInitialValue() Returns the initial value of the model.
RandomVariableInterface	getMonteCarloWeights(int timeIndex)
int	getNumberOfFactors() Returns the number of factors m, i.e., the number of independent Brownian drivers.
AbstractProcessInterface	getProcess() Get the numerical scheme used to generate the stochastic process.
RandomVariableInterface	getProcessValue(int timeIndex, int componentIndex)
double	getTime(int timeIndex) Return the simulation time for a given time index.
TimeDiscretizationInterface	getTimeDiscretization() Get the time discretization of the model (simulation time).
int	getTimeIndex(double time) Return the time index associated for the given simulation time.
void	setProcess(AbstractProcessInterface process) Set the numerical scheme used to generate the stochastic process.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.model.AbstractModelInterface

applyStateSpaceTransform, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumeraire

Constructor Detail

AbstractModel

public AbstractModel()

Method Detail

getInitialValue

public RandomVariableInterface[] getInitialValue()

Returns the initial value of the model.

Returns:

The initial value of the model.

setProcess

public void setProcess(AbstractProcessInterface process)

Description copied from interface: AbstractModelInterface

Set the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.

Specified by:

setProcess in interface AbstractModelInterface

Parameters:

process - The process.

getProcess

public AbstractProcessInterface getProcess()

Description copied from interface: AbstractModelInterface

Get the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.

Specified by:

getProcess in interface AbstractModelInterface

Returns:

the process

getNumberOfFactors

public int getNumberOfFactors()

Description copied from interface: AbstractModelInterface

Returns the number of factors m, i.e., the number of independent Brownian drivers.

Specified by:

getNumberOfFactors in interface AbstractModelInterface

Returns:

The number of factors.

getProcessValue

public RandomVariableInterface getProcessValue(int timeIndex,
                                               int componentIndex)
                                        throws CalculationException

Parameters:

timeIndex - The time index of evaluation time (using this models time discretization)

componentIndex - The component of the process vector

Returns:

Process realization as a random variable

Throws:

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

See Also:

ProcessInterface.getProcessValue(int, int)

getMonteCarloWeights

public RandomVariableInterface getMonteCarloWeights(int timeIndex)
                                             throws CalculationException

Parameters:

timeIndex - The time index of evaluation time (using this models time discretization)

Returns:

A random variable representing the Monte-Carlo probabilities.

Throws:

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

See Also:

ProcessInterface.getMonteCarloWeights(int)

getTimeDiscretization

public final TimeDiscretizationInterface getTimeDiscretization()

Get the time discretization of the model (simulation time).

Specified by:

getTimeDiscretization in interface AbstractModelInterface

Returns:

The time discretization of the model (simulation time).

See Also:

AbstractProcess.getTimeDiscretization()

getTime

public final double getTime(int timeIndex)

Return the simulation time for a given time index.

Parameters:

timeIndex - Time index

Returns:

Returns the time for a given time index.

See Also:

AbstractProcess.getTime(int)

getTimeIndex

public final int getTimeIndex(double time)

Return the time index associated for the given simulation time.

Parameters:

time - A given time.

Returns:

The time index corresponding to the given time.

See Also:

AbstractProcess.getTimeIndex(double)