Module net.finmath.lib
Interface CrossCurrencyTermStructureMonteCarloSimulationModel
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- All Superinterfaces:
Model
,MonteCarloSimulationModel
public interface CrossCurrencyTermStructureMonteCarloSimulationModel extends MonteCarloSimulationModel
Interface for cross currency term structure models.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description RandomVariable
getExchangeRate(String fromCurve, String toCurve, double time)
Return the (cross curve or currency) exchange rate for a given simulation time.RandomVariable
getForwardRate(String curve, double time, double periodStart, double periodEnd)
Return the forward rate for a given simulation time and a given period start and period end.ProcessModel
getModel()
Returns the underlying model.RandomVariable
getNumeraire(double time)
Return the numeraire at a given time.MonteCarloProcess
getProcess()
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Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel
getCloneWithModifiedData, getMonteCarloWeights, getMonteCarloWeights, getNumberOfPaths, getRandomVariableForConstant, getReferenceDate, getTime, getTimeDiscretization, getTimeIndex
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Method Detail
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getForwardRate
RandomVariable getForwardRate(String curve, double time, double periodStart, double periodEnd) throws CalculationException
Return the forward rate for a given simulation time and a given period start and period end.- Parameters:
curve
- The identifier specifying the curve or currency.time
- Simulation timeperiodStart
- Start time of periodperiodEnd
- End time of period- Returns:
- The forward rate as a random variable as seen on simulation time for the specified period.
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getExchangeRate
RandomVariable getExchangeRate(String fromCurve, String toCurve, double time) throws CalculationException
Return the (cross curve or currency) exchange rate for a given simulation time.- Parameters:
fromCurve
- The identifier specifying the curve or currency for the denominator.toCurve
- The identifier specifying the curve or currency for the numerator.time
- Simulation time- Returns:
- The (cross curve or currency) exchange rate for a given simulation time.
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getNumeraire
RandomVariable getNumeraire(double time) throws CalculationException
Return the numeraire at a given time.- Parameters:
time
- Time at which the process should be observed- Returns:
- The numeraire at the specified time as
RandomVariableFromDoubleArray
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getModel
ProcessModel getModel()
Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.- Returns:
- The underlying model
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getProcess
MonteCarloProcess getProcess()
- Returns:
- The implementation of the process
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