net.finmath.modelling.modelfactory

Class AssetModelMonteCarloFactory

java.lang.Object

net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory

All Implemented Interfaces:

ModelFactory<AssetModelDescriptor>

public class AssetModelMonteCarloFactory
extends Object
implements ModelFactory<AssetModelDescriptor>

Constructs asset models, which evaluate products via Monte-Carlo method.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor and Description
AssetModelMonteCarloFactory(AbstractRandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme) Create the factory.

Method Summary

Modifier and Type	Method and Description
DescribedModel<? extends AssetModelDescriptor>	getModelFromDescriptor(AssetModelDescriptor descriptor) Get the model for the given descriptor.

Methods inherited from class java.lang.Object

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

Constructor Detail

AssetModelMonteCarloFactory

public AssetModelMonteCarloFactory(AbstractRandomVariableFactory randomVariableFactory,
                                   IndependentIncrements stochasticDriver,
                                   HestonModel.Scheme scheme)

Create the factory.

Parameters:

randomVariableFactory - The factory to be used by the models to construct random variables.

stochasticDriver - The stochastic driver of the process.

scheme - Truncation scheme to be used by the model in the calculation of drift and diffusion coefficients. (Optional parameter, only required by Heston Model).

Method Detail

getModelFromDescriptor

public DescribedModel<? extends AssetModelDescriptor> getModelFromDescriptor(AssetModelDescriptor descriptor)

Description copied from interface: ModelFactory

Get the model for the given descriptor.

Specified by:

getModelFromDescriptor in interface ModelFactory<AssetModelDescriptor>

Parameters:

descriptor - An object being able to describe the given model.

Returns:

The model.