Class AbstractProcessModel

    • Constructor Detail

      • AbstractProcessModel

        public AbstractProcessModel()
    • Method Detail

      • getInitialValue

        public RandomVariable[] getInitialValue()
        Returns the initial value of the model.
        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 \( t = 0 \).
      • setProcess

        @Deprecated
        public void setProcess​(MonteCarloProcess process)
        Deprecated.
        Description copied from interface: ProcessModel
        Set the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.
        Specified by:
        setProcess in interface ProcessModel
        Parameters:
        process - The process.
      • getProcess

        @Deprecated
        public MonteCarloProcess getProcess()
        Deprecated.
        Description copied from interface: ProcessModel
        Get the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.
        Specified by:
        getProcess in interface ProcessModel
        Returns:
        the process
      • getNumberOfFactors

        public int getNumberOfFactors()
        Description copied from interface: ProcessModel
        Returns the number of factors m, i.e., the number of independent Brownian drivers.
        Specified by:
        getNumberOfFactors in interface ProcessModel
        Returns:
        The number of factors.
      • getProcessValue

        @Deprecated
        public RandomVariable getProcessValue​(int timeIndex,
                                              int componentIndex)
                                       throws CalculationException
        Deprecated.
        Parameters:
        timeIndex - The time index of evaluation time (using this models time discretization)
        componentIndex - The component of the process vector
        Returns:
        Process realization as a random variable
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
        See Also:
        Process.getProcessValue(int, int)
      • getTime

        public final double getTime​(int timeIndex)
        Return the simulation time for a given time index.
        Parameters:
        timeIndex - Time index
        Returns:
        Returns the time for a given time index.
        See Also:
        MonteCarloProcessFromProcessModel.getTime(int)
      • getTimeIndex

        public final int getTimeIndex​(double time)
        Return the time index associated for the given simulation time.
        Parameters:
        time - A given time.
        Returns:
        The time index corresponding to the given time.
        See Also:
        MonteCarloProcessFromProcessModel.getTimeIndex(double)