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- All Superinterfaces:
Model
- All Known Subinterfaces:
AssetModelMonteCarloSimulationModel
,CrossCurrencyTermStructureMonteCarloSimulationModel
,HybridAssetLIBORModelMonteCarloSimulation
,HybridAssetMonteCarloSimulation
,LIBORModelMonteCarloSimulationModel
,TermStructureMonteCarloSimulationModel
- All Known Implementing Classes:
CrossCurrencyLIBORMarketModelFromModels
,HybridAssetLIBORModelMonteCarloSimulationFromModels
,LIBORMonteCarloSimulationFromLIBORModel
,LIBORMonteCarloSimulationFromTermStructureModel
,MonteCarloAssetModel
,MonteCarloBlackScholesModel
,MonteCarloBlackScholesModel2
,MonteCarloMertonModel
,MonteCarloMultiAssetBlackScholesModel
,MonteCarloVarianceGammaModel
public interface MonteCarloSimulationModel extends Model
The interface implemented by a simulation of an SDE. Provides the dimension of the SDE and the the time discretization of the simulation.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Default Methods Modifier and Type Method Description MonteCarloSimulationModel
getCloneWithModifiedData(Map<String,Object> dataModified)
Create a clone of this simulation modifying some of its properties (if any).RandomVariable
getMonteCarloWeights(double time)
This method returns the weights of a weighted Monte Carlo method (the probability density).RandomVariable
getMonteCarloWeights(int timeIndex)
This method returns the weights of a weighted Monte Carlo method (the probability density).int
getNumberOfPaths()
Returns the numberOfPaths.RandomVariable
getRandomVariableForConstant(double value)
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by thisMonteCarloSimulationModel
.default LocalDateTime
getReferenceDate()
Returns the model's date corresponding to the time discretization's \( t = 0 \).double
getTime(int timeIndex)
Returns the time for a given time index.TimeDiscretization
getTimeDiscretization()
Returns the timeDiscretizationFromArray.int
getTimeIndex(double time)
Returns the time index for a given time.
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Method Detail
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getNumberOfPaths
int getNumberOfPaths()
Returns the numberOfPaths.- Returns:
- Returns the numberOfPaths.
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getReferenceDate
default LocalDateTime getReferenceDate()
Returns the model's date corresponding to the time discretization's \( t = 0 \).- Returns:
- The model's date corresponding to the time discretization's \( t = 0 \).
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getTimeDiscretization
TimeDiscretization getTimeDiscretization()
Returns the timeDiscretizationFromArray.- Returns:
- Returns the timeDiscretizationFromArray.
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getTime
double getTime(int timeIndex)
Returns the time for a given time index.- Parameters:
timeIndex
- Time index- Returns:
- Returns the time for a given time index.
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getTimeIndex
int getTimeIndex(double time)
Returns the time index for a given time.- Parameters:
time
- The time.- Returns:
- Returns the time index for a given time.
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getRandomVariableForConstant
RandomVariable getRandomVariableForConstant(double value)
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by thisMonteCarloSimulationModel
.- Parameters:
value
- The constant value to be used for initialized the random variable.- Returns:
- A new random variable.
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getMonteCarloWeights
RandomVariable getMonteCarloWeights(int timeIndex) throws CalculationException
This method returns the weights of a weighted Monte Carlo method (the probability density).- Parameters:
timeIndex
- Time index at which the process should be observed- Returns:
- A vector of positive weights which sums up to one
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getMonteCarloWeights
RandomVariable getMonteCarloWeights(double time) throws CalculationException
This method returns the weights of a weighted Monte Carlo method (the probability density).- Parameters:
time
- Time at which the process should be observed- Returns:
- A vector of positive weights which sums up to one
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getCloneWithModifiedData
MonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified) throws CalculationException
Create a clone of this simulation modifying some of its properties (if any). The properties that should be modified correspond to arguments of constructors. A constructor is then called with where all arguments that are not found in the key value map are being set to this objects values.- Parameters:
dataModified
- The data which should be changed in the new model. This is a key value may, where the key corresponds to the name of a property in one of the objects constructors.- Returns:
- Returns a clone of this object, with some data modified (then it is no longer a clone :-)
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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