Module net.finmath.lib
Package net.finmath.montecarlo.process

Interface Process

All Known Subinterfaces:
MonteCarloProcess
All Known Implementing Classes:
EulerSchemeFromProcessModel, LinearInterpolatedTimeDiscreteProcess, MonteCarloProcessFromProcessModel
public interface Process
The interface for a (time-discrete) stochastic process X. Provides a family of random vectors (vectors of RandomVariable (via getProcessValue(int) and an associated time discretization. May be associated with a ProcessModel.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getModel

      default ProcessModel getModel()
      Returns the model that is used to generate this process, null if no model was used.
      Returns:
      The model that is used to generate this process, null if no model was used.

    • getProcessValue

      default RandomVariable[] getProcessValue​(int timeIndex) throws CalculationException
      This method returns the realization of the process for a given time index.
      Parameters:
      timeIndex - Time index at which the process should be observed
      Returns:
      The process realizations (given as array of RandomVariable)
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getProcessValue

      RandomVariable getProcessValue​(int timeIndex, int componentIndex) throws CalculationException
      This method returns the realization of a component of the process for a given time index.
      Parameters:
      timeIndex - Time index at which the process should be observed.
      componentIndex - Component index of the process.
      Returns:
      The process component realizations (given as RandomVariableFromDoubleArray)
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • 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.

    • getNumberOfComponents

      int getNumberOfComponents()
      Returns:
      Returns the numberOfComponents.

    • getTimeDiscretization

      TimeDiscretization getTimeDiscretization()
      Returns:
      Returns the timeDiscretizationFromArray.

    • getTime

      double getTime​(int timeIndex)
      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 simulation time.
      Parameters:
      time - The given simulation time.
      Returns:
      Returns the time index for a given time

    • clone

      Process 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.
      Returns:
      Clone of the process