Interface TermStructureMonteCarloSimulationModel

    • Method Detail

      • 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

        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.
      • 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.
      • getModel

        ProcessModel 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