Module net.finmath.lib
Package net.finmath.montecarlo.interestrate

Interface TermStructureMonteCarloSimulationModel

All Superinterfaces:
IndependentModelParameterProvider, Model, MonteCarloSimulationModel
All Known Subinterfaces:
HybridAssetLIBORModelMonteCarloSimulation, LIBORModelMonteCarloSimulationModel
All Known Implementing Classes:
HybridAssetLIBORModelMonteCarloSimulationFromModels, LIBORMonteCarloSimulationFromLIBORModel, LIBORMonteCarloSimulationFromTermStructureModel, TermStructureMonteCarloSimulationFromTermStructureModel
public interface TermStructureMonteCarloSimulationModel extends MonteCarloSimulationModel, IndependentModelParameterProvider
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getForwardRate

      default RandomVariable getForwardRate​(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.

    • getForwardRate

      RandomVariable getForwardRate​(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.

    • 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

      default 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.

    • getModel

      TermStructureModel 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

    • getNumberOfFactors

      default int getNumberOfFactors()
      Returns:
      Returns the numberOfFactors.

    • getBrownianMotion

      default BrownianMotion getBrownianMotion()
      Returns the Brownian motion used to simulate the curve.
      Returns:
      The Brownian motion used to simulate the curve.

    • getCloneWithModifiedSeed

      @Deprecated Object getCloneWithModifiedSeed​(int seed)
      Deprecated.
      Return a clone of this model with a modified Brownian motion using a different seed.
      Parameters:
      seed - The seed
      Returns:
      Clone of this object, but having a different seed.