net.finmath.montecarlo.process

Interface AbstractProcessInterface

All Superinterfaces:

ProcessInterface

All Known Implementing Classes:

AbstractProcess, ProcessEulerScheme

public interface AbstractProcessInterface
extends ProcessInterface

The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing AbstractModelInterface:

• The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().
• The value of μ is provided by the method AbstractModelInterface.getDrift(int, net.finmath.stochastic.RandomVariableInterface[], net.finmath.stochastic.RandomVariableInterface[]).
• The value λ_j is provided by the method AbstractModelInterface.getFactorLoading(int, int, net.finmath.stochastic.RandomVariableInterface[]).
• The function f is provided by the method AbstractModelInterface.applyStateSpaceTransform(int, net.finmath.stochastic.RandomVariableInterface).

Here, μ and λ_j may depend on X, which allows to implement stochastic drifts (like in a LIBOR market model) of local volatility models.

Author:

Christian Fries

See Also:

The definition of the model.

Method Summary

Modifier and Type	Method and Description
AbstractProcessInterface	clone() Create and return a clone of this process.
BrownianMotionInterface	getBrownianMotion()
int	getNumberOfFactors()
int	getNumberOfPaths()

Methods inherited from interface net.finmath.montecarlo.process.ProcessInterface

getMonteCarloWeights, getNumberOfComponents, getProcessValue, getTime, getTimeDiscretization, getTimeIndex

Method Detail

getNumberOfPaths

int getNumberOfPaths()

Returns:

Returns the numberOfPaths.

getNumberOfFactors

int getNumberOfFactors()

Returns:

Returns the numberOfFactors.

getBrownianMotion

BrownianMotionInterface getBrownianMotion()

Returns:

Returns the brownian motion used to generate this process

clone

AbstractProcessInterface clone()

Create and return a clone of this process. The clone is not tied to any model, but has the same process specification, that is, if the model is the same, it would generate the same paths.

Specified by:

clone in interface ProcessInterface

Returns:

Clone of the process