## Interface MonteCarloSimulationModel

• All Superinterfaces:
Model
All Known Subinterfaces:
AssetModelMonteCarloSimulationModel, CrossCurrencyTermStructureMonteCarloSimulationModel, HybridAssetLIBORModelMonteCarloSimulation, HybridAssetMonteCarloSimulation, LIBORModelMonteCarloSimulationModel, TermStructureMonteCarloSimulationModel
All Known Implementing Classes:
CrossCurrencyLIBORMarketModelFromModels, HybridAssetLIBORModelMonteCarloSimulationFromModels, LIBORMonteCarloSimulationFromLIBORModel, LIBORMonteCarloSimulationFromTermStructureModel, MonteCarloAssetModel, MonteCarloBlackScholesModel, MonteCarloBlackScholesModel2, MonteCarloMertonModel, MonteCarloMultiAssetBlackScholesModel, MonteCarloVarianceGammaModel, TermStructureMonteCarloSimulationFromTermStructureModel

public interface MonteCarloSimulationModel
extends Model
The interface implemented by a simulation of an SDE. Provides the dimension of the SDE and the the time discretization of the simulation.
Version:
1.0
Author:
Christian Fries
• ### Method Summary

All Methods
Modifier and Type Method Description
MonteCarloSimulationModel getCloneWithModifiedData​(Map<String,​Object> dataModified)
Create a clone of this simulation modifying some of its properties (if any).
RandomVariable getMonteCarloWeights​(double time)
This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariable getMonteCarloWeights​(int timeIndex)
This method returns the weights of a weighted Monte Carlo method (the probability density).
int getNumberOfPaths()
Returns the numberOfPaths.
RandomVariable getRandomVariableForConstant​(double value)
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
default LocalDateTime getReferenceDate()
Returns the model's date corresponding to the time discretization's $$t = 0$$.
double getTime​(int timeIndex)
Returns the time for a given time index.
TimeDiscretization getTimeDiscretization()
Returns the timeDiscretizationFromArray.
int getTimeIndex​(double time)
Returns the time index for a given time.
• ### Method Detail

• #### getNumberOfPaths

int getNumberOfPaths()
Returns the numberOfPaths.
Returns:
Returns the numberOfPaths.
• #### getReferenceDate

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

TimeDiscretization getTimeDiscretization()
Returns the timeDiscretizationFromArray.
Returns:
Returns the timeDiscretizationFromArray.
• #### getTime

double getTime​(int timeIndex)
Returns the time for a given time index.
Parameters:
timeIndex - Time index
Returns:
Returns the time for a given time index.
• #### getTimeIndex

int getTimeIndex​(double time)
Returns the time index for a given time.
Parameters:
time - The time.
Returns:
Returns the time index for a given time.
• #### getRandomVariableForConstant

RandomVariable getRandomVariableForConstant​(double value)
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
Parameters:
value - The constant value to be used for initialized the random variable.
Returns:
A new random variable.
• #### getMonteCarloWeights

RandomVariable getMonteCarloWeights​(int timeIndex)
throws CalculationException
This method returns the weights of a weighted Monte Carlo method (the probability density).
Parameters:
timeIndex - Time index at which the process should be observed
Returns:
A vector of positive weights which sums up to one
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
• #### getMonteCarloWeights

RandomVariable getMonteCarloWeights​(double time)
throws CalculationException
This method returns the weights of a weighted Monte Carlo method (the probability density).
Parameters:
time - Time at which the process should be observed
Returns:
A vector of positive weights which sums up to one
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
• #### getCloneWithModifiedData

MonteCarloSimulationModel getCloneWithModifiedData​(Map<String,​Object> dataModified)
throws CalculationException
Create a clone of this simulation modifying some of its properties (if any). The properties that should be modified correspond to arguments of constructors. A constructor is then called with where all arguments that are not found in the key value map are being set to this objects values.
Parameters:
dataModified - The data which should be changed in the new model. This is a key value may, where the key corresponds to the name of a property in one of the objects constructors.
Returns:
Returns a clone of this object, with some data modified (then it is no longer a clone :-)
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.