Module net.finmath.lib

Package net.finmath.montecarlo.crosscurrency

Interface CrossCurrencyTermStructureMonteCarloSimulationModel

All Superinterfaces:

Model, MonteCarloSimulationModel

public interface CrossCurrencyTermStructureMonteCarloSimulationModel
extends MonteCarloSimulationModel

Interface for cross currency term structure models.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
RandomVariable	getExchangeRate(String fromCurve, String toCurve, double time)	Return the (cross curve or currency) exchange rate for a given simulation time.
RandomVariable	getForwardRate(String curve, double time, double periodStart, double periodEnd)	Return the forward rate for a given simulation time and a given period start and period end.
ProcessModel	getModel()	Returns the underlying model.
RandomVariable	getNumeraire(double time)	Return the numeraire at a given time.
MonteCarloProcess	getProcess()

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

getCloneWithModifiedData, getMonteCarloWeights, getMonteCarloWeights, getNumberOfPaths, getRandomVariableForConstant, getReferenceDate, getTime, getTimeDiscretization, getTimeIndex

Method Details

getForwardRate

RandomVariable getForwardRate(String curve,
 double time,
 double periodStart,
 double periodEnd)
                       throws CalculationException

Return the forward rate for a given simulation time and a given period start and period end.

Parameters:

curve - The identifier specifying the curve or currency.

time - Simulation time

periodStart - Start time of period

periodEnd - End time of period

Returns:

The forward rate as a random variable as seen on simulation time for the specified period.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getExchangeRate

RandomVariable getExchangeRate(String fromCurve,
 String toCurve,
 double time)
                        throws CalculationException

Return the (cross curve or currency) exchange rate for a given simulation time.

Parameters:

fromCurve - The identifier specifying the curve or currency for the denominator.

toCurve - The identifier specifying the curve or currency for the numerator.

time - Simulation time

Returns:

The (cross curve or currency) exchange rate for a given simulation time.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getNumeraire

RandomVariable getNumeraire(double time)
                     throws CalculationException

Return the numeraire at a given time.

Parameters:

time - Time at which the process should be observed

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.

getModel

ProcessModel getModel()

Returns the underlying model. The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.

Returns:

The underlying model

getProcess

MonteCarloProcess getProcess()

Returns:

The implementation of the process