Module net.finmath.lib

Package net.finmath.montecarlo.process

Interface Process

All Known Subinterfaces:

MonteCarloProcess

All Known Implementing Classes:

EulerSchemeFromProcessModel, LinearInterpolatedTimeDiscreteProcess, MonteCarloProcessFromProcessModel

public interface Process

The interface for a stochastic process X.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
Process	clone()	Create and return a clone of this process.
default ProcessModel	getModel()	Returns the model that is used to generate this process, null if no model was used.
RandomVariable	getMonteCarloWeights(int timeIndex)	This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfComponents()
default RandomVariable[]	getProcessValue(int timeIndex)	This method returns the realization of the process for a given time index.
RandomVariable	getProcessValue(int timeIndex, int componentIndex)	This method returns the realization of a component of the process for a given time index.
double	getTime(int timeIndex)
TimeDiscretization	getTimeDiscretization()
int	getTimeIndex(double time)	Returns the time index for a given simulation time.

Method Detail

getModel

default ProcessModel getModel()

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

Returns:

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

getProcessValue

default RandomVariable[] getProcessValue(int timeIndex)
                                  throws CalculationException

This method returns the realization of the process for a given time index.

Parameters:

timeIndex - Time index at which the process should be observed

Returns:

The process realizations (given as array of RandomVariable)

Throws:

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

getProcessValue

RandomVariable getProcessValue(int timeIndex,
                               int componentIndex)
                        throws CalculationException

This method returns the realization of a component of the process for a given time index.

Parameters:

timeIndex - Time index at which the process should be observed.

componentIndex - Component index of the process.

Returns:

The process component realizations (given as RandomVariableFromDoubleArray)

Throws:

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

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.

getNumberOfComponents

int getNumberOfComponents()

Returns:

Returns the numberOfComponents.

getTimeDiscretization

TimeDiscretization getTimeDiscretization()

Returns:

Returns the timeDiscretizationFromArray.

getTime

double getTime(int timeIndex)

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 simulation time.

Parameters:

time - The given simulation time.

Returns:

Returns the time index for a given time

clone

Process clone()

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.

Returns:

Clone of the process