Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate

Interface HybridAssetMonteCarloSimulation

All Superinterfaces:

Model, MonteCarloSimulationModel

All Known Implementing Classes:

CrossCurrencyLIBORMarketModelFromModels

public interface HybridAssetMonteCarloSimulation
extends MonteCarloSimulationModel

Basic interface which has to be implemented by Monte Carlo models for hybrid processes.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
RandomVariable	getNumeraire(double time)	Return the (default) numeraire at a given time.
RandomVariable	getNumeraire(String account, double time)	Return the numeraire associated with a given (collateral or funding) account at a given time.
RandomVariable	getValue(RiskFactorID riskFactorIdentifyer, double time)	Return the random variable of a risk factor with a given name at a given observation time index.

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

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

Method Detail

getNumeraire

RandomVariable getNumeraire(double time)
                     throws CalculationException

Return the (default) numeraire at a given time.

Parameters:

time - The time for which the numeraire is returned.

Returns:

The numeraire at a given time.

Throws:

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

getNumeraire

RandomVariable getNumeraire(String account,
                            double time)
                     throws CalculationException

Return the numeraire associated with a given (collateral or funding) account at a given time.

Parameters:

account - The account associated with this numeraire.

time - The time for which the numeraire is returned.

Returns:

The numeraire at a given time.

Throws:

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

getValue

RandomVariable getValue(RiskFactorID riskFactorIdentifyer,
                        double time)
                 throws CalculationException

Return the random variable of a risk factor with a given name at a given observation time index.

Parameters:

riskFactorIdentifyer - The identifier of the risk factor.

time - The time at which the risk factor is observed.

Returns:

Random variable representing the corresponding risk factor.

Throws:

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