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

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 this `MonteCarloSimulationModel`.
`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.

- Method Detail
  - getNumberOfPaths
```
int getNumberOfPaths()
```
    Returns the numberOfPaths.
    
    Returns:
    
    Returns the numberOfPaths.
  - 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 \( t = 0 \).
  - getTimeDiscretization
```
TimeDiscretization getTimeDiscretization()
```
    Returns the timeDiscretizationFromArray.
    
    Returns:
    
    Returns the timeDiscretizationFromArray.
  - 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.
  - 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.
  - 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 this MonteCarloSimulationModel.
    
    Parameters:
    
    value - The constant value to be used for initialized the random variable.
    
    Returns:
    
    A new random variable.
  - 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 the cause() method.
  - 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 the cause() method.
  - 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 the cause() method.

Interface MonteCarloSimulationModel

Method Summary

Method Detail

getNumberOfPaths

getReferenceDate

getTimeDiscretization

getTime

getTimeIndex

getRandomVariableForConstant

getMonteCarloWeights

getMonteCarloWeights

getCloneWithModifiedData