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() Deprecated. Please use getStochasticDriver() instead.
AbstractProcessInterface	getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified.
int	getNumberOfFactors()
int	getNumberOfPaths()
IndependentIncrementsInterface	getStochasticDriver()
void	setModel(AbstractModelInterface model) Sets the model to be used.

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.

getStochasticDriver

IndependentIncrementsInterface getStochasticDriver()

Returns:

Returns the stochastic driver used to generate this process

getBrownianMotion

@Deprecated
BrownianMotionInterface getBrownianMotion()

Deprecated. Please use getStochasticDriver() instead.

Returns:

Returns the Brownian motion used to generate this process

setModel

void setModel(AbstractModelInterface model)

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

Parameters:

model - The model to be used.

getCloneWithModifiedData

AbstractProcessInterface getCloneWithModifiedData(Map<String,Object> dataModified)

Returns a clone of this model where the specified properties have been modified. Note that there is no guarantee that a model reacts on a specification of a properties in the parameter map dataModified. If data is provided which is ignored by the model no exception may be thrown.

Parameters:

dataModified - Key-value-map of parameters to modify.

Returns:

A clone of this model (or this model if no parameter was modified).

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