Class AbstractProcessModel

java.lang.Object

net.finmath.montecarlo.model.AbstractProcessModel

All Implemented Interfaces:

ProcessModel

Direct Known Subclasses:

BachelierModel, BlackScholesModel, BlackScholesModelWithCurves, BlackScholesModelWithStockNumeraire, DisplacedLognomalModel, HestonModel, HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, InhomogeneousDisplacedLognomalModel, InhomogenousBachelierModel, LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard, LIBORMarketModelWithTenorRefinement, MertonModel, MonteCarloMultiAssetBlackScholesModel, MultiAssetBlackScholesModel, VarianceGammaModel

public abstract class AbstractProcessModel
extends Object
implements ProcessModel

This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel. Manages the delegation to MonteCarloProcess. For details see ProcessModel.

Version:

1.3

Author:

Christian Fries

See Also:

• The interface definition contains more details.

Constructor Summary

Constructors

Constructor	Description
AbstractProcessModel()

Method Summary

Modifier and Type	Method	Description
RandomVariable[]	getInitialValue(MonteCarloProcess process)	Returns the initial value of the model.
LocalDateTime	getReferenceDate()	Returns the model's date corresponding to the time discretization's \( t = 0 \).

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface ProcessModel

applyStateSpaceTransform, applyStateSpaceTransformInverse, getCloneWithModifiedData, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getRandomVariableForConstant

Constructor Details

AbstractProcessModel

public AbstractProcessModel()

Method Details

getInitialValue

public RandomVariable[] getInitialValue(MonteCarloProcess process)

Returns the initial value of the model.

Parameters:

process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.

Returns:

The initial value of the model.

getReferenceDate

public LocalDateTime getReferenceDate()

Description copied from interface: ProcessModel

Returns the model's date corresponding to the time discretization's \( t = 0 \). Note: Currently not all models provide a reference date. This will change in future versions.

Specified by:

getReferenceDate in interface ProcessModel

Returns:

The model's date corresponding to the time discretization's \( t = 0 \).