Module net.finmath.lib

Package net.finmath.modelling.modelfactory

Class AssetModelMonteCarloFactory

java.lang.Object

net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory

All Implemented Interfaces:

ModelFactory<AssetModelDescriptor>

public class AssetModelMonteCarloFactory
extends Object
implements ModelFactory<AssetModelDescriptor>

Constructs asset models, which evaluate products via Monte-Carlo method.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
AssetModelMonteCarloFactory(IndependentIncrements stochasticDriver)	Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver)	Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme)	Create the factory.

Method Summary

Modifier and Type	Method	Description
DescribedModel<? extends AssetModelDescriptor>	getModelFromDescriptor(AssetModelDescriptor descriptor)	Get the model for the given descriptor.

Methods inherited from class java.lang.Object

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

Constructor Details

AssetModelMonteCarloFactory

public AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme)

Create the factory.

Parameters:

randomVariableFactory - The factory to be used by the models to construct random variables.

stochasticDriver - The stochastic driver of the process.

scheme - Truncation scheme to be used by the model in the calculation of drift and diffusion coefficients. (Optional parameter, only required by Heston Model).

AssetModelMonteCarloFactory

public AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver)

Create the factory.

Parameters:

randomVariableFactory - The factory to be used by the models to construct random variables.

stochasticDriver - The stochastic driver of the process.

AssetModelMonteCarloFactory

public AssetModelMonteCarloFactory(IndependentIncrements stochasticDriver)

Create the factory.

Parameters:

stochasticDriver - The stochastic driver of the process.

Method Details

getModelFromDescriptor

public DescribedModel<? extends AssetModelDescriptor> getModelFromDescriptor(AssetModelDescriptor descriptor)

Description copied from interface: ModelFactory

Get the model for the given descriptor.

Specified by:

getModelFromDescriptor in interface ModelFactory<AssetModelDescriptor>

Parameters:

descriptor - An object being able to describe the given model.

Returns:

The model.