net.finmath.montecarlo.process.component.factordrift

Interface FactorDriftInterface

public interface FactorDriftInterface

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method and Description
RandomVariable[]	getFactorDrift(int timeIndex, RandomVariable[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariable	getFactorDriftDeterminant(int timeIndex, RandomVariable[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariable[]	getFactorScaling(int timeIndex, RandomVariable[] realizationPredictor) The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.

Method Detail

getFactorScaling

RandomVariable[] getFactorScaling(int timeIndex,
                                  RandomVariable[] realizationPredictor)

The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g. LogNormalProcess). The factor scaling may be used to implement importance sampling or proxy simulation on the level of the discrete process.

Parameters:

timeIndex - The time index (associated with the process time discretization).

realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).

Returns:

The vector of factor scalings.

getFactorDrift

RandomVariable[] getFactorDrift(int timeIndex,
                                RandomVariable[] realizationPredictor)
                         throws CalculationException

The interface describes how an additional factor drift may be specified for the generation of a process (see e.g. LogNormalProcess). The factor drift may be used to implement importance sampling or proxy simulation on the level of the discrete process.

Parameters:

timeIndex - The time index (associated with the process time discretization).

realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).

Returns:

A vector of random variables given the factor drift for each factor. If the size is less then the number of factors, then higher order factors have no drift.

Throws:

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

getFactorDriftDeterminant

RandomVariable getFactorDriftDeterminant(int timeIndex,
                                         RandomVariable[] realizationPredictor)

The interface describes how an additional factor drift may be specified for the generation of a process (see e.g. LogNormalProcess). The factor drift may be used to implement importance sampling or proxy simulation on the level of the discrete process.

Parameters:

timeIndex - The time index (associated with the process time discretization).

realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).

Returns:

The determinant of the factor drift.