Module net.finmath.lib
Package net.finmath.montecarlo.process

Class LinearInterpolatedTimeDiscreteProcess

  • All Implemented Interfaces:
    Process
    public class LinearInterpolatedTimeDiscreteProcess
extends Object
implements Process
    A linear interpolated time discrete process, that is, given a collection of tuples (Double, RandomVariable) representing realizations \( X(t_{i}) \) this class implements the Process and creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \). Note: this is the interpolation scheme used in the convergence of the Euler-Maruyama scheme.
    Version:
    1.0
    Author:
    Christian Fries

    • Constructor Detail

      • LinearInterpolatedTimeDiscreteProcess

        public LinearInterpolatedTimeDiscreteProcess​(Map<Double,​RandomVariable> realizations)
        Create a time discrete process by linear interpolation of random variables.
        Parameters:
        realizations - Given map from time to random variable. The map must not be modified.

    • Method Detail

      • apply

        public LinearInterpolatedTimeDiscreteProcess apply​(DoubleUnaryOperator function)
        Create a new process consisting of the interpolation of the random variables obtained by applying the given function to this process discrete set of random variables. That is \( t \mapsto Y(t) \) where \[ Y(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} f(X(t_{i})) + \frac{t - t_{i}}{t_{i+1}-t_{i}} f(X(t_{i+1})) \] with \( t_{i} \leq t \leq t_{i+1} \) and a given function \( f \).
        Parameters:
        function - The function \( f \), a univariate function.
        Returns:
        A new process consisting of the interpolation of the random variables obtained by applying the given function to this process discrete set of random variables.

      • getProcessValue

        public RandomVariable getProcessValue​(double time,
                                      int component)
        Returns the (possibly interpolated) value of this stochastic process at a given time \( t \).
        Parameters:
        time - The time \( t \).
        component - The component to be returned (if this is a vector valued process), otherwise 0.
        Returns:
        The random variable \( X(t) \).

      • getProcessValue

        public RandomVariable getProcessValue​(int timeIndex,
                                      int component)
        Description copied from interface: Process
        This method returns the realization of a component of the process for a given time index.
        Specified by:
        getProcessValue in interface Process
        Parameters:
        timeIndex - Time index at which the process should be observed.
        component - Component index of the process.
        Returns:
        The process component realizations (given as RandomVariableFromDoubleArray)

      • getMonteCarloWeights

        public RandomVariable getMonteCarloWeights​(int timeIndex)
        Description copied from interface: Process
        This method returns the weights of a weighted Monte Carlo method (the probability density).
        Specified by:
        getMonteCarloWeights in interface Process
        Parameters:
        timeIndex - Time index at which the process should be observed
        Returns:
        A vector of positive weights which sums up to one

      • getNumberOfComponents

        public int getNumberOfComponents()
        Specified by:
        getNumberOfComponents in interface Process
        Returns:
        Returns the numberOfComponents.

      • getTime

        public double getTime​(int timeIndex)
        Specified by:
        getTime in interface Process
        Parameters:
        timeIndex - Time index.
        Returns:
        Returns the time for a given time index.

      • getTimeIndex

        public int getTimeIndex​(double time)
        Description copied from interface: Process
        Returns the time index for a given simulation time.
        Specified by:
        getTimeIndex in interface Process
        Parameters:
        time - The given simulation time.
        Returns:
        Returns the time index for a given time

      • clone

        public Process clone()
        Description copied from interface: Process
        Create and return a clone of this process. The clone is not tied to any model, but has the same process specification, that is, if the model is the same, it would generate the same paths.
        Specified by:
        clone in interface Process
        Overrides:
        clone in class Object
        Returns:
        Clone of the process