Interface CharacteristicFunctionModel

All Superinterfaces:
Model
All Known Implementing Classes:
BatesModel, BlackScholesModel, HestonModel, MertonModel, VarianceGammaModel
public interface CharacteristicFunctionModel extends Model
Interface which has to be implemented by models providing the characteristic functions of stochastic processes.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • apply

      CharacteristicFunction apply(double time)
      Returns the characteristic function of X(t), where X is this stochastic process.
      Parameters:
      time - The time at which the stochastic process is observed.
      Returns:
      The characteristic function of X(t).

    • getReferenceDate

      LocalDate getReferenceDate()
      Returns:
      the reference date

    • getInitialValue

      double getInitialValue()
      Returns:
      the initial value of the stock

    • getDiscountCurveForForwardRate

      DiscountCurve getDiscountCurveForForwardRate()
      Returns:
      the discountCurveForForwardRate

    • getRiskFreeRate

      double getRiskFreeRate()
      Returns:
      the riskFreeRate

    • getDiscountCurveForDiscountRate

      DiscountCurve getDiscountCurveForDiscountRate()
      Returns:
      the discountCurveForDiscountRate

    • getDiscountRate

      double getDiscountRate()
      Returns:
      the discountRate