Interface FactorTransform


  • public interface FactorTransform
    Version:
    1.0
    Author:
    Christian Fries
    • 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)
        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.
      • 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.