Interface ProcessModel

    • Method Detail

      • getReferenceDate

        LocalDateTime getReferenceDate()
        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.
        Returns:
        The model's date corresponding to the time discretization's \( t = 0 \).
      • getTimeDiscretization

        TimeDiscretization getTimeDiscretization()
        Returns the time discretization of the model parameters. It is not necessary that this time discretization agrees with the discretization of the stochactic process used in Abstract Process implementation.
        Returns:
        The time discretization
      • getNumberOfComponents

        int getNumberOfComponents()
        Returns the number of components
        Returns:
        The number of components
      • applyStateSpaceTransform

        RandomVariable applyStateSpaceTransform​(int componentIndex,
                                                RandomVariable randomVariable)
        Applies the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
        Parameters:
        componentIndex - The component index i.
        randomVariable - The state random variable Yi.
        Returns:
        New random variable holding the result of the state space transformation.
      • applyStateSpaceTransformInverse

        default RandomVariable applyStateSpaceTransformInverse​(int componentIndex,
                                                               RandomVariable randomVariable)
      • getInitialState

        default RandomVariable[] getInitialState​(MonteCarloProcess process)
        Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.
        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 state variable of the process Y(t=0).
      • getInitialState

        @Deprecated
        RandomVariable[] getInitialState()
        Deprecated.
        Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.
        Returns:
        The initial value of the state variable of the process Y(t=0).
      • getNumeraire

        default RandomVariable getNumeraire​(MonteCarloProcess process,
                                            double time)
                                     throws CalculationException
        Return the numeraire at a given time index. Note: The random variable returned is a defensive copy and may be modified.
        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.
        time - The time t for which the numeraire N(t) should be returned.
        Returns:
        The numeraire at the specified time as RandomVariable
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
      • getNumeraire

        @Deprecated
        default RandomVariable getNumeraire​(double time)
                                     throws CalculationException
        Deprecated.
        Will be removed. Please use getNumeraire(process).get(time).
        Return the numeraire at a given time index. Note: The random variable returned is a defensive copy and may be modified.
        Parameters:
        time - The time t for which the numeraire N(t) should be returned.
        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.
      • getDrift

        default RandomVariable[] getDrift​(MonteCarloProcess process,
                                          int timeIndex,
                                          RandomVariable[] realizationAtTimeIndex,
                                          RandomVariable[] realizationPredictor)
        This method has to be implemented to return the drift, i.e. the coefficient vector
        μ = (μ1, ..., μn) such that X = f(Y) and
        dYj = μj dt + λ1,j dW1 + ... + λm,j dWm
        in an m-factor model. Here j denotes index of the component of the resulting process. Since the model is provided only on a time discretization, the method may also (should try to) return the drift as \( \frac{1}{t_{i+1}-t_{i}} \int_{t_{i}}^{t_{i+1}} \mu(\tau) \mathrm{d}\tau \).
        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.
        timeIndex - The time index (related to the model times discretization).
        realizationAtTimeIndex - The given realization at timeIndex
        realizationPredictor - The given realization at timeIndex+1 or null if no predictor is available.
        Returns:
        The drift or average drift from timeIndex to timeIndex+1, i.e. \( \frac{1}{t_{i+1}-t_{i}} \int_{t_{i}}^{t_{i+1}} \mu(\tau) \mathrm{d}\tau \) (or a suitable approximation).
      • getDrift

        @Deprecated
        default RandomVariable[] getDrift​(int timeIndex,
                                          RandomVariable[] realizationAtTimeIndex,
                                          RandomVariable[] realizationPredictor)
        Deprecated.
        Will be removed. Please use getDrift(process, ...).
        This method has to be implemented to return the drift, i.e. the coefficient vector
        μ = (μ1, ..., μn) such that X = f(Y) and
        dYj = μj dt + λ1,j dW1 + ... + λm,j dWm
        in an m-factor model. Here j denotes index of the component of the resulting process. Since the model is provided only on a time discretization, the method may also (should try to) return the drift as \( \frac{1}{t_{i+1}-t_{i}} \int_{t_{i}}^{t_{i+1}} \mu(\tau) \mathrm{d}\tau \).
        Parameters:
        timeIndex - The time index (related to the model times discretization).
        realizationAtTimeIndex - The given realization at timeIndex
        realizationPredictor - The given realization at timeIndex+1 or null if no predictor is available.
        Returns:
        The drift or average drift from timeIndex to timeIndex+1, i.e. \( \frac{1}{t_{i+1}-t_{i}} \int_{t_{i}}^{t_{i+1}} \mu(\tau) \mathrm{d}\tau \) (or a suitable approximation).
      • getNumberOfFactors

        int getNumberOfFactors()
        Returns the number of factors m, i.e., the number of independent Brownian drivers.
        Returns:
        The number of factors.
      • getFactorLoading

        default RandomVariable[] getFactorLoading​(MonteCarloProcess process,
                                                  int timeIndex,
                                                  int componentIndex,
                                                  RandomVariable[] realizationAtTimeIndex)
        This method has to be implemented to return the factor loadings, i.e. the coefficient vector
        λj = (λ1,j, ..., λm,j) such that X = f(Y) and
        dYj = μj dt + λ1,j dW1 + ... + λm,j dWm
        in an m-factor model. Here j denotes index of the component of the resulting process.
        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.
        timeIndex - The time index (related to the model times discretization).
        componentIndex - The index j of the driven component.
        realizationAtTimeIndex - The realization of X at the time corresponding to timeIndex (in order to implement local and stochastic volatlity models).
        Returns:
        The factor loading for given factor and component.
      • getFactorLoading

        @Deprecated
        default RandomVariable[] getFactorLoading​(int timeIndex,
                                                  int componentIndex,
                                                  RandomVariable[] realizationAtTimeIndex)
        Deprecated.
        Will be removed. Please use getFactorLoading(process, ...).
        This method has to be implemented to return the factor loadings, i.e. the coefficient vector
        λj = (λ1,j, ..., λm,j) such that X = f(Y) and
        dYj = μj dt + λ1,j dW1 + ... + λm,j dWm
        in an m-factor model. Here j denotes index of the component of the resulting process.
        Parameters:
        timeIndex - The time index (related to the model times discretization).
        componentIndex - The index j of the driven component.
        realizationAtTimeIndex - The realization of X at the time corresponding to timeIndex (in order to implement local and stochastic volatlity models).
        Returns:
        The factor loading for given factor and component.
      • getRandomVariableForConstant

        default RandomVariable getRandomVariableForConstant​(double value)
        Return a random variable initialized with a constant using the models random variable factory.
        Parameters:
        value - The constant value.
        Returns:
        A new random variable initialized with a constant value.
      • setProcess

        @Deprecated
        void setProcess​(MonteCarloProcess process)
        Deprecated.
        Models will no longer hold references to processes.
        Set the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.
        Parameters:
        process - The process.
      • getProcess

        @Deprecated
        MonteCarloProcess getProcess()
        Deprecated.
        Models will no longer hold references to processes.
        Get the numerical scheme used to generate the stochastic process. The model needs the numerical scheme to calculate, e.g., the numeraire.
        Returns:
        the process
      • getCloneWithModifiedData

        ProcessModel getCloneWithModifiedData​(Map<String,​Object> dataModified)
                                       throws CalculationException
        Returns a clone of this model where the specified properties have been modified. Note that there is no guarantee that a model reacts on a specification of a properties in the parameter map dataModified. If data is provided which is ignored by the model no exception may be thrown.
        Parameters:
        dataModified - Key-value-map of parameters to modify.
        Returns:
        A clone of this model (or this model if no parameter was modified).
        Throws:
        CalculationException - Thrown when the model could not be created.