## Interface FactorTransform

• public interface FactorTransform
Version:
1.0
Author:
Christian Fries
• ### Method Summary

All Methods
Modifier and Type Method Description
RandomVariable[] getFactorDrift​(int timeIndex, RandomVariable[] realizationPredictor)
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariable getFactorDriftDeterminant​(int timeIndex, RandomVariable[] realizationPredictor)
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariable[] getFactorScaling​(int timeIndex, RandomVariable[] realizationPredictor)
The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.
• ### Method Detail

• #### getFactorScaling

RandomVariable[] getFactorScaling​(int timeIndex,
RandomVariable[] realizationPredictor)
The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g. LogNormalProcess). The factor scaling may be used to implement importance sampling or proxy simulation on the level of the discrete process.
Parameters:
timeIndex - The time index (associated with the process time discretization).
realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).
Returns:
The vector of factor scalings.
• #### getFactorDrift

RandomVariable[] getFactorDrift​(int timeIndex,
RandomVariable[] realizationPredictor)
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g. LogNormalProcess). The factor drift may be used to implement importance sampling or proxy simulation on the level of the discrete process.
Parameters:
timeIndex - The time index (associated with the process time discretization).
realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).
Returns:
A vector of random variables given the factor drift for each factor. If the size is less then the number of factors, then higher order factors have no drift.
• #### getFactorDriftDeterminant

RandomVariable getFactorDriftDeterminant​(int timeIndex,
RandomVariable[] realizationPredictor)
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g. LogNormalProcess). The factor drift may be used to implement importance sampling or proxy simulation on the level of the discrete process.
Parameters:
timeIndex - The time index (associated with the process time discretization).
realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).
Returns:
The determinant of the factor drift.