net.finmath.montecarlo.crosscurrency

Interface CrossCurrencyTermStructureModelMonteCarloSimulationInterface

All Superinterfaces:

MonteCarloSimulationInterface

public interface CrossCurrencyTermStructureModelMonteCarloSimulationInterface
extends MonteCarloSimulationInterface

Interface for cross currency term structure models.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface	getExchangeRate(String fromCurve, String toCurve, double time) Return the (cross curve or currency) exchange rate for a given simulation time.
RandomVariableInterface	getForwardRate(String curve, double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
AbstractModelInterface	getModel() Returns the underlying model.
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

getForwardRate

RandomVariableInterface getForwardRate(String curve,
                                       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:

curve - The identifier specifying the curve or currency.

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.

getExchangeRate

RandomVariableInterface getExchangeRate(String fromCurve,
                                        String toCurve,
                                        double time)
                                 throws CalculationException

Return the (cross curve or currency) exchange rate for a given simulation time.

Parameters:

fromCurve - The identifier specifying the curve or currency for the denominator.

toCurve - The identifier specifying the curve or currency for the numerator.

time - Simulation time

Returns:

The (cross curve or currency) exchange rate for a given simulation time.

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.

getModel

AbstractModelInterface 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