Module net.finmath.lib

Package net.finmath.montecarlo.process

Interface MonteCarloProcess

All Superinterfaces:

Process

All Known Implementing Classes:

EulerSchemeFromProcessModel, MonteCarloProcessFromProcessModel

public interface MonteCarloProcess
extends Process

The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel:

• The value of Y(0) is provided by the method ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).
• The value of μ is provided by the method ProcessModel.getDrift(net.finmath.montecarlo.process.MonteCarloProcess, int, net.finmath.stochastic.RandomVariable[], net.finmath.stochastic.RandomVariable[]).
• The value λ_j is provided by the method ProcessModel.getFactorLoading(net.finmath.montecarlo.process.MonteCarloProcess, int, int, net.finmath.stochastic.RandomVariable[]).
• The function f is provided by the method ProcessModel.applyStateSpaceTransform(net.finmath.montecarlo.process.MonteCarloProcess, int, int, net.finmath.stochastic.RandomVariable).

Here, μ and λ_j may depend on X, which allows to implement stochastic drifts (like in a LIBOR market model) of local volatility models.

Version:

1.0

Author:

Christian Fries

See Also:

• The definition of the model.

Method Summary

Modifier and Type	Method	Description
MonteCarloProcess	clone()	Create and return a clone of this process.
MonteCarloProcess	getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
MonteCarloProcess	getCloneWithModifiedModel(ProcessModel model)	Returns a clone of this model where the specified properties have been modified.
int	getNumberOfFactors()
int	getNumberOfPaths()
IndependentIncrements	getStochasticDriver()

Methods inherited from interface net.finmath.montecarlo.process.Process

getModel, getMonteCarloWeights, getNumberOfComponents, getProcessValue, getProcessValue, getTime, getTimeDiscretization, getTimeIndex

Method Details

getNumberOfPaths

int getNumberOfPaths()

Returns:

Returns the numberOfPaths.

getNumberOfFactors

int getNumberOfFactors()

Returns:

Returns the numberOfFactors.

getStochasticDriver

IndependentIncrements getStochasticDriver()

Returns:

Returns the stochastic driver used to generate this process

getCloneWithModifiedModel

MonteCarloProcess getCloneWithModifiedModel(ProcessModel model)

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:

model - The model to be used.

Returns:

A clone of this model (or this model if no parameter was modified).

getCloneWithModifiedData

MonteCarloProcess getCloneWithModifiedData(Map<String,Object> dataModified)

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).

clone

MonteCarloProcess clone()

Create and return a clone of this process. The clone is not tied to any model, but has the same process specification, that is, if the model is the same, it would generate the same paths.

Specified by:

clone in interface Process

Returns:

Clone of the process