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

Interface FactorTransform

public interface FactorTransform
Version:
1.0
Author:
Christian Fries

  • Method Summary

    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 Details

    • 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.