net.finmath.montecarlo.process

Interface ProcessTimeDiscretizationProvider

All Known Implementing Classes:

BermudanSwaptionFromSwapSchedules, SwaptionFromSwapSchedules

public interface ProcessTimeDiscretizationProvider

An object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object. Examples are:

• a European option can implement this interface and provide a time discretization with a single point, its exercise date.

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
TimeDiscretization	getProcessTimeDiscretization(LocalDateTime referenceDate) Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.

Method Detail

getProcessTimeDiscretization

TimeDiscretization getProcessTimeDiscretization(LocalDateTime referenceDate)

Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.

Parameters:

referenceDate - A reference date relative to which the discretization is generated.

Returns:

A time discretization.