MonteCarloMertonModel (finmath lib 4.0.11 API)

java.lang.Object
- net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel

All Implemented Interfaces:

Model, AssetModelMonteCarloSimulationModel, MonteCarloSimulationModel
```
public class MonteCarloMertonModel
extends Object
implements AssetModelMonteCarloSimulationModel
```
This class glues together a MertonModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel, namely EulerSchemeFromProcessModel, and forms a Monte-Carlo implementation of the Merton model by implementing AssetModelMonteCarloSimulationModel. The model is \[ dS = \mu S dt + \sigma S dW + S dJ, \quad S(0) = S_{0}, \] \[ dN = r N dt, \quad N(0) = N_{0}, \] where \( W \) is Brownian motion and \( J \) is a jump process (compound Poisson process). The process \( J \) is given by \( J(t) = \sum_{i=1}^{N(t)} (Y_{i}-1) \), where \( \log(Y_{i}) \) are i.i.d. normals with mean \( a - \frac{1}{2} b^{2} \) and standard deviation \( b \). Here \( a \) is the jump size mean and \( b \) is the jump size std. dev. For details on the construction of the model see MertonModel.

Version:

1.0

Author:

Christian Fries

See Also:

MertonModel, The interface for numerical schemes., The interface for models provinding parameters to numerical schemes.

Constructor Summary

Constructors
Constructor and Description
`MonteCarloMertonModel(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, double initialValue, double riskFreeRate, double volatility, double jumpIntensity, double jumpSizeMean, double jumpSizeStDev)` Create a Monte-Carlo simulation using given time discretization and given parameters.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`RandomVariable`	`getAssetValue(double time, int assetIndex)` Returns the random variable representing the asset's value at a given time for a given asset.
`RandomVariable`	`getAssetValue(int timeIndex, int assetIndex)` Returns the random variable representing the asset's value at a given time for a given asset.
`AssetModelMonteCarloSimulationModel`	`getCloneWithModifiedData(Map<String,Object> dataModified)` Create a clone of this simulation modifying some of its properties (if any).
`AssetModelMonteCarloSimulationModel`	`getCloneWithModifiedSeed(int seed)` Create a clone of the object implementing `AssetModelMonteCarloSimulationModel` using a different Monte-Carlo seed.
`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`	`getNumberOfAssets()` Returns the number of asset price processes.
`int`	`getNumberOfPaths()` Returns the numberOfPaths.
`RandomVariable`	`getNumeraire(double time)` Returns the numeraire associated with the valuation measure used by this model.
`RandomVariable`	`getNumeraire(int timeIndex)` Returns the numeraire associated with the valuation measure used by this model.
`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`.
`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.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- Constructor Detail
  - MonteCarloMertonModel
```
public MonteCarloMertonModel(TimeDiscretization timeDiscretization,
                             int numberOfPaths,
                             int seed,
                             double initialValue,
                             double riskFreeRate,
                             double volatility,
                             double jumpIntensity,
                             double jumpSizeMean,
                             double jumpSizeStDev)
```
    Create a Monte-Carlo simulation using given time discretization and given parameters.
    
    Parameters:
    
    timeDiscretization - The time discretization.
    
    numberOfPaths - The number of Monte-Carlo path to be used.
    
    seed - The seed used for the random number generator.
    
    initialValue - Spot value.
    
    riskFreeRate - The risk free rate.
    
    volatility - The log volatility.
    
    jumpIntensity - The intensity parameter lambda of the compound Poisson process.
    
    jumpSizeMean - The mean jump size of the normal distributes jump sizes of the compound Poisson process.
    
    jumpSizeStDev - The standard deviation of the normal distributes jump sizes of the compound Poisson process.
- Method Detail
  - getReferenceDate
```
public LocalDateTime getReferenceDate()
```
    Description copied from interface: MonteCarloSimulationModel
    
    Returns the model's date corresponding to the time discretization's \( t = 0 \).
    
    Specified by:
    
    getReferenceDate in interface MonteCarloSimulationModel
    
    Returns:
    
    The model's date corresponding to the time discretization's \( t = 0 \).
  - getAssetValue
```
public RandomVariable getAssetValue(double time,
                                    int assetIndex)
                             throws CalculationException
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Returns the random variable representing the asset's value at a given time for a given asset.
    
    Specified by:
    
    getAssetValue in interface AssetModelMonteCarloSimulationModel
    
    Parameters:
    
    time - Simulation time
    
    assetIndex - Index of the asset (0 for a single asset model)
    
    Returns:
    
    The asset process as seen on simulation time
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getAssetValue
```
public RandomVariable getAssetValue(int timeIndex,
                                    int assetIndex)
                             throws CalculationException
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Returns the random variable representing the asset's value at a given time for a given asset.
    
    Specified by:
    
    getAssetValue in interface AssetModelMonteCarloSimulationModel
    
    Parameters:
    
    timeIndex - Index of simulation time
    
    assetIndex - Index of the asset (0 for a single asset model)
    
    Returns:
    
    The asset process as seen on simulation time
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getNumeraire
```
public RandomVariable getNumeraire(int timeIndex)
                            throws CalculationException
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Returns the numeraire associated with the valuation measure used by this model.
    
    Specified by:
    
    getNumeraire in interface AssetModelMonteCarloSimulationModel
    
    Parameters:
    
    timeIndex - The time index (associated with this models time discretization).
    
    Returns:
    
    The numeraire associated with the valuation measure used by this model.
    
    Throws:
    
    CalculationException - Thrown if calculation of numeraire fails.
  - getNumeraire
```
public RandomVariable getNumeraire(double time)
                            throws CalculationException
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Returns the numeraire associated with the valuation measure used by this model.
    
    Specified by:
    
    getNumeraire in interface AssetModelMonteCarloSimulationModel
    
    Parameters:
    
    time - The time for which the numeraire is requested.
    
    Returns:
    
    The numeraire associated with the valuation measure used by this model.
    
    Throws:
    
    CalculationException - Thrown if calculation of numeraire fails.
  - getMonteCarloWeights
```
public RandomVariable getMonteCarloWeights(double time)
                                    throws CalculationException
```
    Description copied from interface: MonteCarloSimulationModel
    
    This method returns the weights of a weighted Monte Carlo method (the probability density).
    
    Specified by:
    
    getMonteCarloWeights in interface MonteCarloSimulationModel
    
    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.
  - getNumberOfAssets
```
public int getNumberOfAssets()
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Returns the number of asset price processes.
    
    Specified by:
    
    getNumberOfAssets in interface AssetModelMonteCarloSimulationModel
    
    Returns:
    
    The number of asset price processes
  - getCloneWithModifiedData
```
public AssetModelMonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Create a clone of this simulation modifying some of its properties (if any).
    
    Specified by:
    
    getCloneWithModifiedData in interface AssetModelMonteCarloSimulationModel
    
    Specified by:
    
    getCloneWithModifiedData in interface MonteCarloSimulationModel
    
    Parameters:
    
    dataModified - The data which should be changed in the new model
    
    Returns:
    
    Returns a clone of this model, with some data modified (then it is no longer a clone :-)
  - getCloneWithModifiedSeed
```
public AssetModelMonteCarloSimulationModel getCloneWithModifiedSeed(int seed)
```
    Description copied from interface: AssetModelMonteCarloSimulationModel
    
    Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
    
    Specified by:
    
    getCloneWithModifiedSeed in interface AssetModelMonteCarloSimulationModel
    
    Parameters:
    
    seed - The seed of the underlying random number generator.
    
    Returns:
    
    Returns a clone of this model except for a modified Monte-Carlo seed.
  - getNumberOfPaths
```
public int getNumberOfPaths()
```
    Description copied from interface: MonteCarloSimulationModel
    
    Returns the numberOfPaths.
    
    Specified by:
    
    getNumberOfPaths in interface MonteCarloSimulationModel
    
    Returns:
    
    Returns the numberOfPaths.
  - getTimeDiscretization
```
public TimeDiscretization getTimeDiscretization()
```
    Description copied from interface: MonteCarloSimulationModel
    
    Returns the timeDiscretizationFromArray.
    
    Specified by:
    
    getTimeDiscretization in interface MonteCarloSimulationModel
    
    Returns:
    
    Returns the timeDiscretizationFromArray.
  - getTime
```
public double getTime(int timeIndex)
```
    Description copied from interface: MonteCarloSimulationModel
    
    Returns the time for a given time index.
    
    Specified by:
    
    getTime in interface MonteCarloSimulationModel
    
    Parameters:
    
    timeIndex - Time index
    
    Returns:
    
    Returns the time for a given time index.
  - getTimeIndex
```
public int getTimeIndex(double time)
```
    Description copied from interface: MonteCarloSimulationModel
    
    Returns the time index for a given time.
    
    Specified by:
    
    getTimeIndex in interface MonteCarloSimulationModel
    
    Parameters:
    
    time - The time.
    
    Returns:
    
    Returns the time index for a given time.
  - getRandomVariableForConstant
```
public RandomVariable getRandomVariableForConstant(double value)
```
    Description copied from interface: MonteCarloSimulationModel
    
    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.
    
    Specified by:
    
    getRandomVariableForConstant in interface MonteCarloSimulationModel
    
    Parameters:
    
    value - The constant value to be used for initialized the random variable.
    
    Returns:
    
    A new random variable.
  - getMonteCarloWeights
```
public RandomVariable getMonteCarloWeights(int timeIndex)
                                    throws CalculationException
```
    Description copied from interface: MonteCarloSimulationModel
    
    This method returns the weights of a weighted Monte Carlo method (the probability density).
    
    Specified by:
    
    getMonteCarloWeights in interface MonteCarloSimulationModel
    
    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.

Class MonteCarloMertonModel

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Detail

MonteCarloMertonModel

Method Detail

getReferenceDate

getAssetValue

getAssetValue

getNumeraire

getNumeraire

getMonteCarloWeights

getNumberOfAssets

getCloneWithModifiedData

getCloneWithModifiedSeed

getNumberOfPaths

getTimeDiscretization

getTime

getTimeIndex

getRandomVariableForConstant

getMonteCarloWeights