net.finmath.montecarlo

Interface MonteCarloSimulationModel

All Superinterfaces:

Model

All Known Subinterfaces:

AssetModelMonteCarloSimulationModel, CrossCurrencyTermStructureMonteCarloSimulationModel, HybridAssetLIBORModelMonteCarloSimulation, LIBORModelMonteCarloSimulationModel, TermStructureMonteCarloSimulationModel

All Known Implementing Classes:

HybridAssetLIBORModelMonteCarloSimulationFromModels, LIBORMonteCarloSimulationFromLIBORModel, LIBORMonteCarloSimulationFromTermStructureModel, MonteCarloAssetModel, MonteCarloBlackScholesModel, MonteCarloBlackScholesModel2, MonteCarloMertonModel, MonteCarloMultiAssetBlackScholesModel

public interface MonteCarloSimulationModel
extends Model

The interface implemented by a simulation of an SDE. Provides the dimension of the SDE and the the time discretization of the simulation.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
MonteCarloSimulationModel	getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
RandomVariable	getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariable	getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfPaths() Returns the numberOfPaths.
RandomVariable	getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
default LocalDateTime	getReferenceDate() Returns the model's date corresponding to the time discretization's \( t = 0 \).
double	getTime(int timeIndex) Returns the time for a given time index.
TimeDiscretization	getTimeDiscretization() Returns the timeDiscretizationFromArray.
int	getTimeIndex(double time) Returns the time index for a given time.

Method Detail

getNumberOfPaths

int getNumberOfPaths()

Returns the numberOfPaths.

Returns:

Returns the numberOfPaths.

getReferenceDate

default LocalDateTime getReferenceDate()

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

Returns:

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

getTimeDiscretization

TimeDiscretization getTimeDiscretization()

Returns the timeDiscretizationFromArray.

Returns:

Returns the timeDiscretizationFromArray.

getTime

double getTime(int timeIndex)

Returns the time for a given time index.

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 time.

Parameters:

time - The time.

Returns:

Returns the time index for a given time.

getRandomVariableForConstant

RandomVariable getRandomVariableForConstant(double value)

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

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.

getMonteCarloWeights

RandomVariable getMonteCarloWeights(double time)
                             throws CalculationException

This method returns the weights of a weighted Monte Carlo method (the probability density).

Parameters:

time - Time 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.

getCloneWithModifiedData

MonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
                                            throws CalculationException

Create a clone of this simulation modifying some of its properties (if any). The properties that should be modified correspond to arguments of constructors. A constructor is then called with where all arguments that are not found in the key value map are being set to this objects values.

Parameters:

dataModified - The data which should be changed in the new model. This is a key value may, where the key corresponds to the name of a property in one of the objects constructors.

Returns:

Returns a clone of this object, with some data modified (then it is no longer a clone :-)

Throws:

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