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

Interface ProcessTimeDiscretizationProvider

All Known Implementing Classes:
BermudanSwaptionFromSwapSchedules, SwaptionFromSwapSchedules
public interface ProcessTimeDiscretizationProvider
An object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object. Examples are:
  • a European option can implement this interface and provide a time discretization with a single point, its exercise date.
Author:
Christian Fries

  • Method Summary

    Modifier and Type
    Method
    Description
    TimeDiscretization
    getProcessTimeDiscretization(LocalDateTime referenceDate)
    Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.

  • Method Details

    • getProcessTimeDiscretization

      TimeDiscretization getProcessTimeDiscretization(LocalDateTime referenceDate)
      Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.
      Parameters:
      referenceDate - A reference date relative to which the discretization is generated.
      Returns:
      A time discretization.