Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Interface TermStructureMonteCarloSimulationModel

All Superinterfaces:

Model, MonteCarloSimulationModel

All Known Subinterfaces:

HybridAssetLIBORModelMonteCarloSimulation, LIBORModelMonteCarloSimulationModel

All Known Implementing Classes:

HybridAssetLIBORModelMonteCarloSimulationFromModels, LIBORMonteCarloSimulationFromLIBORModel, LIBORMonteCarloSimulationFromTermStructureModel

public interface TermStructureMonteCarloSimulationModel
extends MonteCarloSimulationModel

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
RandomVariable	getLIBOR(double time, double periodStart, double periodEnd)	Return the forward rate for a given simulation time and a given period start and period end.
default RandomVariable	getLIBOR(LocalDateTime date, LocalDateTime periodStartDate, LocalDateTime periodEndDate)	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.
default RandomVariable	getNumeraire(LocalDateTime date)	Return the numeraire at a given time.
MonteCarloProcess	getProcess()

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

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

Method Detail

getLIBOR

default RandomVariable getLIBOR(LocalDateTime date,
                                LocalDateTime periodStartDate,
                                LocalDateTime periodEndDate)
                         throws CalculationException

Return the forward rate for a given simulation time and a given period start and period end.

Parameters:

date - Simulation time

periodStartDate - Start time of period

periodEndDate - 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 the cause() method.

getLIBOR

RandomVariable getLIBOR(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:

time - Simulation time

periodStart - Start time of period

periodEnd - 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 the cause() method.

getNumeraire

default RandomVariable getNumeraire(LocalDateTime date)
                             throws CalculationException

Return the numeraire at a given time.

Parameters:

date - 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 the cause() method.

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 the cause() method.

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

getProcess

MonteCarloProcess getProcess()

Returns:

The implementation of the process