Module net.finmath.lib

Package net.finmath.montecarlo.process

Class MonteCarloProcessFromProcessModel

java.lang.Object

net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel

All Implemented Interfaces:

Cloneable, MonteCarloProcess, Process

Direct Known Subclasses:

EulerSchemeFromProcessModel

public abstract class MonteCarloProcessFromProcessModel
extends Object
implements MonteCarloProcess, Cloneable

This class is an abstract base class to implement a multi-dimensional multi-factor Ito process. The dimension is called numberOfComponents here. The default for numberOfFactors is 1. This base class manages the time discretization and delegation to the model.

Version:

1.5

Author:

Christian Fries

See Also:

The interface definition contains more details.

Constructor Summary

Constructors

Constructor	Description
MonteCarloProcessFromProcessModel(TimeDiscretization timeDiscretization, ProcessModel model)	Create a discretization scheme / a time discrete process.

Method Summary

Modifier and Type	Method	Description
RandomVariable	applyStateSpaceTransform(int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	applyStateSpaceTransformInverse(int timeIndex, int componentIndex, RandomVariable randomVariable)
abstract MonteCarloProcessFromProcessModel	clone()	Create and return a clone of this process.
abstract Object	getCloneWithModifiedSeed(int seed)
RandomVariable[]	getDrift(int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	getFactorLoading(int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	getInitialState()
ProcessModel	getModel()	Get the model used to generate the stochastic process.
int	getNumberOfComponents()
double	getTime(int timeIndex)
TimeDiscretization	getTimeDiscretization()
int	getTimeIndex(double time)	Returns the time index for a given simulation time.

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.process.MonteCarloProcess

getCloneWithModifiedData, getCloneWithModifiedModel, getNumberOfFactors, getNumberOfPaths, getStochasticDriver

Methods inherited from interface net.finmath.montecarlo.process.Process

getMonteCarloWeights, getProcessValue, getProcessValue

Constructor Detail

MonteCarloProcessFromProcessModel

public MonteCarloProcessFromProcessModel(TimeDiscretization timeDiscretization,
                                         ProcessModel model)

Create a discretization scheme / a time discrete process.

Parameters:

timeDiscretization - The time discretization used for the discretization scheme.

model - Set the model used to generate the stochastic process. The model has to implement ProcessModel.

Method Detail

getCloneWithModifiedSeed

public abstract Object getCloneWithModifiedSeed(int seed)

getModel

public ProcessModel getModel()

Get the model used to generate the stochastic process. The model has to implement ProcessModel.

Specified by:

getModel in interface Process

Returns:

The model that is used to generate this process, null if no model was used.

getNumberOfComponents

public int getNumberOfComponents()

Specified by:

getNumberOfComponents in interface Process

Returns:

Returns the numberOfComponents.

getInitialState

public RandomVariable[] getInitialState()

getDrift

public RandomVariable[] getDrift(int timeIndex,
                                 RandomVariable[] realizationAtTimeIndex,
                                 RandomVariable[] realizationPredictor)

getFactorLoading

public RandomVariable[] getFactorLoading(int timeIndex,
                                         int componentIndex,
                                         RandomVariable[] realizationAtTimeIndex)

applyStateSpaceTransform

public RandomVariable applyStateSpaceTransform(int timeIndex,
                                               int componentIndex,
                                               RandomVariable randomVariable)

applyStateSpaceTransformInverse

public RandomVariable applyStateSpaceTransformInverse(int timeIndex,
                                                      int componentIndex,
                                                      RandomVariable randomVariable)

getTimeDiscretization

public TimeDiscretization getTimeDiscretization()

Specified by:

getTimeDiscretization in interface Process

Returns:

Returns the timeDiscretizationFromArray.

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 abstract MonteCarloProcessFromProcessModel clone()

Description copied from interface: MonteCarloProcess

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 MonteCarloProcess

Specified by:

clone in interface Process

Overrides:

clone in class Object

Returns:

Clone of the process