net.finmath.montecarlo.process

Class AbstractProcess

java.lang.Object

net.finmath.montecarlo.process.AbstractProcess

All Implemented Interfaces:

Cloneable, AbstractProcessInterface, ProcessInterface

Direct Known Subclasses:

ProcessEulerScheme

public abstract class AbstractProcess
extends Object
implements AbstractProcessInterface, Cloneable

This class is an abstract base class to implement a multi-dimensional multi-factor Ito process. The dimension is called numberOfComponents here. The default for numberOfFactors is 1. This base class manages the time discretization and delegation to the model.

Version:

1.5

Author:

Christian Fries

See Also:

The interface definition contains more details.

Constructor Summary

Constructors

Constructor and Description
AbstractProcess(TimeDiscretizationInterface timeDiscretization) Create a discretization scheme / a time discrete process.

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface	applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
abstract AbstractProcess	clone() Create and return a clone of this process.
abstract Object	getCloneWithModifiedSeed(int seed)
RandomVariableInterface[]	getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	getInitialState()
int	getNumberOfComponents()
double	getTime(int timeIndex)
TimeDiscretizationInterface	getTimeDiscretization()
int	getTimeIndex(double time) Returns the time index for a given simulation time.
void	setModel(AbstractModelInterface model) Sets the model to be used.

Methods inherited from class java.lang.Object

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

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

getBrownianMotion, getCloneWithModifiedData, getNumberOfFactors, getNumberOfPaths, getStochasticDriver

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

getMonteCarloWeights, getProcessValue

Constructor Detail

AbstractProcess

public AbstractProcess(TimeDiscretizationInterface timeDiscretization)

Create a discretization scheme / a time discrete process.

Parameters:

timeDiscretization - The time discretization used for the discretization scheme.

Method Detail

getCloneWithModifiedSeed

public abstract Object getCloneWithModifiedSeed(int seed)

setModel

public void setModel(AbstractModelInterface model)

Description copied from interface: AbstractProcessInterface

Sets the model to be used. Should be called only once (at construction).

Specified by:

setModel in interface AbstractProcessInterface

Parameters:

model - The model to be used.

getNumberOfComponents

public int getNumberOfComponents()

Specified by:

getNumberOfComponents in interface ProcessInterface

Returns:

Returns the numberOfComponents.

getInitialState

public RandomVariableInterface[] getInitialState()

getDrift

public RandomVariableInterface[] getDrift(int timeIndex,
                                          RandomVariableInterface[] realizationAtTimeIndex,
                                          RandomVariableInterface[] realizationPredictor)

getFactorLoading

public RandomVariableInterface[] getFactorLoading(int timeIndex,
                                                  int component,
                                                  RandomVariableInterface[] realizationAtTimeIndex)

applyStateSpaceTransform

public RandomVariableInterface applyStateSpaceTransform(int componentIndex,
                                                        RandomVariableInterface randomVariable)

applyStateSpaceTransformInverse

public RandomVariableInterface applyStateSpaceTransformInverse(int componentIndex,
                                                               RandomVariableInterface randomVariable)

getTimeDiscretization

public TimeDiscretizationInterface getTimeDiscretization()

Specified by:

getTimeDiscretization in interface ProcessInterface

Returns:

Returns the timeDiscretization.

getTime

public double getTime(int timeIndex)

Specified by:

getTime in interface ProcessInterface

Parameters:

timeIndex - Time index.

Returns:

Returns the time for a given time index.

getTimeIndex

public int getTimeIndex(double time)

Description copied from interface: ProcessInterface

Returns the time index for a given simulation time.

Specified by:

getTimeIndex in interface ProcessInterface

Parameters:

time - The given simulation time.

Returns:

Returns the time index for a given time

clone

public abstract AbstractProcess clone()

Description copied from interface: AbstractProcessInterface

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 AbstractProcessInterface

Specified by:

clone in interface ProcessInterface

Overrides:

clone in class Object

Returns:

Clone of the process