net.finmath.fouriermethod.models.ProcessCharacteristicFunctionInterface Maven / Gradle / Ivy

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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 24.03.2014
 */

package net.finmath.fouriermethod.models;

import net.finmath.fouriermethod.CharacteristicFunctionInterface;

/**
 * Interface which has to be implemented by models providing the
 * characteristic functions of stochastic processes.
 * 
 * @author Christian Fries
 */
public interface ProcessCharacteristicFunctionInterface {

	/**
	 * Returns the characteristic function of X(t), where X is this stochastic process.
	 * 
	 * @param time The time at which the stochastic process is observed.
	 * @return The characteristic function of X(t).
	 */
	CharacteristicFunctionInterface apply(double time);
}