net.finmath.montecarlo.model

Class AbstractProcessModel

java.lang.Object

net.finmath.montecarlo.model.AbstractProcessModel

All Implemented Interfaces:

ProcessModel

Direct Known Subclasses:

BachelierModel, BlackScholesModel, BlackScholesModelWithCurves, DisplacedLognomalModelExperimental, HestonModel, HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, InhomogeneousDisplacedLognomalModel, InhomogenousBachelierModel, LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard, LIBORMarketModelWithTenorRefinement, MertonModel, MonteCarloMultiAssetBlackScholesModel, VarianceGammaModel

public abstract class AbstractProcessModel
extends Object
implements ProcessModel

This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel. Manages the delegation to MonteCarloProcess. For details see ProcessModel.

Version:

1.3

Author:

Christian Fries

See Also:

The interface definition contains more details.

Constructor Summary

Constructors

Constructor and Description
AbstractProcessModel()

Method Summary

Modifier and Type	Method and Description
RandomVariable[]	getInitialValue() Returns the initial value of the model.
RandomVariable	getMonteCarloWeights(int timeIndex)
int	getNumberOfFactors() Returns the number of factors m, i.e., the number of independent Brownian drivers.
MonteCarloProcess	getProcess() Get the numerical scheme used to generate the stochastic process.
RandomVariable	getProcessValue(int timeIndex, int componentIndex)
LocalDateTime	getReferenceDate() Returns the model's date corresponding to the time discretization's \( t = 0 \).
double	getTime(int timeIndex) Return the simulation time for a given time index.
TimeDiscretization	getTimeDiscretization() Get the time discretization of the model (simulation time).
int	getTimeIndex(double time) Return the time index associated for the given simulation time.
void	setProcess(MonteCarloProcess process) Set the numerical scheme used to generate the stochastic process.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.model.ProcessModel

applyStateSpaceTransform, applyStateSpaceTransformInverse, getCloneWithModifiedData, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumeraire, getRandomVariableForConstant

Constructor Detail

AbstractProcessModel

public AbstractProcessModel()

Method Detail

getInitialValue

public RandomVariable[] getInitialValue()

Returns the initial value of the model.

Returns:

The initial value of the model.

setProcess

public void setProcess(MonteCarloProcess process)

Description copied from interface: ProcessModel

Set the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.

Specified by:

setProcess in interface ProcessModel

Parameters:

process - The process.

getProcess

public MonteCarloProcess getProcess()

Description copied from interface: ProcessModel

Get the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.

Specified by:

getProcess in interface ProcessModel

Returns:

the process

getNumberOfFactors

public int getNumberOfFactors()

Description copied from interface: ProcessModel

Returns the number of factors m, i.e., the number of independent Brownian drivers.

Specified by:

getNumberOfFactors in interface ProcessModel

Returns:

The number of factors.

getProcessValue

public RandomVariable getProcessValue(int timeIndex,
                                      int componentIndex)
                               throws CalculationException

Parameters:

timeIndex - The time index of evaluation time (using this models time discretization)

componentIndex - The component of the process vector

Returns:

Process realization as a random variable

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

See Also:

Process.getProcessValue(int, int)

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(int timeIndex)
                                    throws CalculationException

Parameters:

timeIndex - The time index of evaluation time (using this models time discretization)

Returns:

A random variable representing the Monte-Carlo probabilities.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

See Also:

Process.getMonteCarloWeights(int)

getReferenceDate

public LocalDateTime getReferenceDate()

Description copied from interface: ProcessModel

Returns the model's date corresponding to the time discretization's \( t = 0 \). Note: Currently not all models provide a reference date. This will change in future versions.

Specified by:

getReferenceDate in interface ProcessModel

Returns:

The model's date corresponding to the time discretization's \( t = 0 \).

getTimeDiscretization

public final TimeDiscretization getTimeDiscretization()

Get the time discretization of the model (simulation time).

Specified by:

getTimeDiscretization in interface ProcessModel

Returns:

The time discretization of the model (simulation time).

See Also:

MonteCarloProcessFromProcessModel.getTimeDiscretization()

getTime

public final double getTime(int timeIndex)

Return the simulation time for a given time index.

Parameters:

timeIndex - Time index

Returns:

Returns the time for a given time index.

See Also:

MonteCarloProcessFromProcessModel.getTime(int)

getTimeIndex

public final int getTimeIndex(double time)

Return the time index associated for the given simulation time.

Parameters:

time - A given time.

Returns:

The time index corresponding to the given time.

See Also:

MonteCarloProcessFromProcessModel.getTimeIndex(double)