- java.lang.Object
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- net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory
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- 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
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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.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description DescribedModel<? extends AssetModelDescriptor>
getModelFromDescriptor(AssetModelDescriptor descriptor)
Get the model for the given descriptor.
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Constructor Detail
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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).
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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.
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AssetModelMonteCarloFactory
public AssetModelMonteCarloFactory(IndependentIncrements stochasticDriver)
Create the factory.- Parameters:
stochasticDriver
- The stochastic driver of the process.
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Method Detail
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getModelFromDescriptor
public DescribedModel<? extends AssetModelDescriptor> getModelFromDescriptor(AssetModelDescriptor descriptor)
Description copied from interface:ModelFactory
Get the model for the given descriptor.- Specified by:
getModelFromDescriptor
in interfaceModelFactory<AssetModelDescriptor>
- Parameters:
descriptor
- An object being able to describe the given model.- Returns:
- The model.
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