Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation

Interface AssetModelMonteCarloSimulationModel

All Superinterfaces:

Model, MonteCarloSimulationModel

All Known Subinterfaces:

HybridAssetLIBORModelMonteCarloSimulation

All Known Implementing Classes:

HybridAssetLIBORModelMonteCarloSimulationFromModels, MonteCarloAssetModel, MonteCarloBlackScholesModel, MonteCarloBlackScholesModel2, MonteCarloMertonModel, MonteCarloMultiAssetBlackScholesModel, MonteCarloVarianceGammaModel

public interface AssetModelMonteCarloSimulationModel
extends MonteCarloSimulationModel

Basic interface which has to be implemented by Monte Carlo models for asset processes. This interface serves as an abstraction layer between models and simulations (providing the implementation of this interface) and products (using an object implementing this interface in its valuation code, without further knowledge of the specific model and simulation technique.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
RandomVariable	getAssetValue(double time, int assetIndex)	Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariable	getAssetValue(int timeIndex, int assetIndex)	Returns the random variable representing the asset's value at a given time for a given asset.
AssetModelMonteCarloSimulationModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationModel	getCloneWithModifiedSeed(int seed)	Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
int	getNumberOfAssets()	Returns the number of asset price processes.
RandomVariable	getNumeraire(double time)	Returns the numeraire associated with the valuation measure used by this model.
RandomVariable	getNumeraire(int timeIndex)	Returns the numeraire associated with the valuation measure used by this model.

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

getMonteCarloWeights, getMonteCarloWeights, getNumberOfPaths, getRandomVariableForConstant, getReferenceDate, getTime, getTimeDiscretization, getTimeIndex

Method Detail

getNumberOfAssets

int getNumberOfAssets()

Returns the number of asset price processes.

Returns:

The number of asset price processes

getAssetValue

RandomVariable getAssetValue(int timeIndex,
                             int assetIndex)
                      throws CalculationException

Returns the random variable representing the asset's value at a given time for a given asset.

Parameters:

timeIndex - Index of simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

Throws:

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

getAssetValue

RandomVariable getAssetValue(double time,
                             int assetIndex)
                      throws CalculationException

Returns the random variable representing the asset's value at a given time for a given asset.

Parameters:

time - Simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

Throws:

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

getNumeraire

RandomVariable getNumeraire(int timeIndex)
                     throws CalculationException

Returns the numeraire associated with the valuation measure used by this model.

Parameters:

timeIndex - The time index (associated with this models time discretization).

Returns:

The numeraire associated with the valuation measure used by this model.

Throws:

CalculationException - Thrown if calculation of numeraire fails.

getNumeraire

RandomVariable getNumeraire(double time)
                     throws CalculationException

Returns the numeraire associated with the valuation measure used by this model.

Parameters:

time - The time for which the numeraire is requested.

Returns:

The numeraire associated with the valuation measure used by this model.

Throws:

CalculationException - Thrown if calculation of numeraire fails.

getCloneWithModifiedData

AssetModelMonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
                                                      throws CalculationException

Create a clone of this simulation modifying some of its properties (if any).

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationModel

Parameters:

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, with some data modified (then it is no longer a clone :-)

Throws:

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

getCloneWithModifiedSeed

AssetModelMonteCarloSimulationModel getCloneWithModifiedSeed(int seed)
                                                      throws CalculationException

Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.

Parameters:

seed - The seed of the underlying random number generator.

Returns:

Returns a clone of this model except for a modified Monte-Carlo seed.

Throws:

CalculationException - Thrown if cloning failed.