Class AbstractProcessModel

java.lang.Object
net.finmath.montecarlo.model.AbstractProcessModel
All Implemented Interfaces:
ProcessModel
Direct Known Subclasses:
BachelierModel, BlackScholesModel, BlackScholesModelWithCurves, DisplacedLognomalModel, HestonModel, HullWhiteModel, HullWhiteModelWithConstantCoeff, HullWhiteModelWithDirectSimulation, HullWhiteModelWithShiftExtension, InhomogeneousDisplacedLognomalModel, InhomogenousBachelierModel, LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard, LIBORMarketModelWithTenorRefinement, MertonModel, MonteCarloMultiAssetBlackScholesModel, MultiAssetBlackScholesModel, VarianceGammaModel

public abstract class AbstractProcessModel extends Object implements ProcessModel
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel. Manages the delegation to MonteCarloProcess. For details see ProcessModel.
Version:
1.3
Author:
Christian Fries
See Also:
  • Constructor Details

    • AbstractProcessModel

      public AbstractProcessModel()
  • Method Details

    • getInitialValue

      public RandomVariable[] getInitialValue(MonteCarloProcess process)
      Returns the initial value of the model.
      Parameters:
      process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
      Returns:
      The initial value of the model.
    • getReferenceDate

      public LocalDateTime getReferenceDate()
      Description copied from interface: ProcessModel
      Returns the model's date corresponding to the time discretization's \( t = 0 \). Note: Currently not all models provide a reference date. This will change in future versions.
      Specified by:
      getReferenceDate in interface ProcessModel
      Returns:
      The model's date corresponding to the time discretization's \( t = 0 \).