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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.
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/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: [email protected].
 *
 * Created on 09.02.2004
 */
package net.finmath.montecarlo.interestrate;

import java.util.HashMap;
import java.util.Map;

import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.BrownianMotionInterface;
import net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel;
import net.finmath.montecarlo.process.AbstractProcess;
import net.finmath.montecarlo.process.AbstractProcessInterface;
import net.finmath.stochastic.RandomVariableInterface;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * Implements convenient methods for a libor market model,
 * based on a given LIBORMarketModel model
 * and AbstractLogNormalProcess process.
 * 
 * @author Christian Fries
 * @version 0.6
 */
public class LIBORModelMonteCarloSimulation implements LIBORModelMonteCarloSimulationInterface {

	private final LIBORMarketModelInterface model;

	/**
	 * Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel and an AbstractProcess.
	 * 
	 * @param model The LIBORMarketModel.
	 * @param process The process.
	 */
	public LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model, AbstractProcess process) {
		super();
		this.model		= model;
		
		this.model.setProcess(process);
		process.setModel(model);
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface#getMonteCarloWeights(int)
	 */
	@Override
    public RandomVariableInterface getMonteCarloWeights(int timeIndex) throws CalculationException {
		return model.getProcess().getMonteCarloWeights(timeIndex);
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface#getMonteCarloWeights(double)
	 */
	@Override
    public RandomVariableInterface getMonteCarloWeights(double time) throws CalculationException {
		return model.getProcess().getMonteCarloWeights(getTimeIndex(time));
	}
	
	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface#getNumberOfFactors()
	 */
	@Override
    public int getNumberOfFactors() {
		return model.getProcess().getNumberOfFactors();
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.MonteCarloSimulationInterface#getNumberOfPaths()
	 */
	@Override
    public int getNumberOfPaths() {
		return model.getProcess().getNumberOfPaths();
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.MonteCarloSimulationInterface#getTime(int)
	 */
	@Override
    public double getTime(int timeIndex) {
		return model.getProcess().getTime(timeIndex);
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.MonteCarloSimulationInterface#getTimeDiscretization()
	 */
	@Override
    public TimeDiscretizationInterface getTimeDiscretization() {
		return model.getProcess().getTimeDiscretization();
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.MonteCarloSimulationInterface#getTimeIndex(double)
	 */
	@Override
    public int getTimeIndex(double time) {
		return model.getProcess().getTimeIndex(time);
	}

    @Override
    public RandomVariableInterface getRandomVariableForConstant(double value) {
        return model.getProcess().getBrownianMotion().getRandomVariableForConstant(value);
    }

    /* (non-Javadoc)
     * @see net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface#getBrownianMotion()
     */
	@Override
    public BrownianMotionInterface getBrownianMotion() {
		return model.getProcess().getBrownianMotion();
	}

	/* (non-Javadoc)
	 * @see net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface#getLIBOR(int, int)
	 */
	@Override
    public RandomVariableInterface getLIBOR(int timeIndex, int liborIndex) throws CalculationException {
		return model.getLIBOR(timeIndex, liborIndex);
	}

    /* (non-Javadoc)
     * @see net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface#getLIBORs(int)
     */
    @Override
    public RandomVariableInterface[] getLIBORs(int timeIndex) throws CalculationException
    {
    	RandomVariableInterface[] randomVariableVector = new RandomVariableInterface[getNumberOfComponents()];
    	for(int componentIndex=0; componentIndex dataModified) throws CalculationException {
    	LIBORMarketModelInterface modelClone = model.getCloneWithModifiedData(dataModified);
    	return new LIBORModelMonteCarloSimulation(modelClone, (AbstractProcess) getProcess().clone());
    }

	/**
	 * Create a clone of this simulation modifying one of its properties (if any).
	 * 
     * @param entityKey The entity to modify.
	 * @param dataModified The data which should be changed in the new model
	 * @return Returns a clone of this model, where the specified part of the data is modified data (then it is no longer a clone :-)
     * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
    public LIBORModelMonteCarloSimulationInterface getCloneWithModifiedData(String entityKey, Object dataModified) throws CalculationException
	{
    	Map dataModifiedMap = new HashMap();
    	dataModifiedMap.put(entityKey, dataModified);
    	return getCloneWithModifiedData(dataModifiedMap);
    }
}