net.finmath.montecarlo.MonteCarloSimulationInterface Maven / Gradle / Ivy

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 20.05.2005
 */
package net.finmath.montecarlo;

import java.util.Map;

import net.finmath.exception.CalculationException;
import net.finmath.stochastic.RandomVariableInterface;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * The interface implemented by a simulation of an SDE.
 * Provides the dimension of the SDE and the the time discretization of the
 * simulation.
 * 
 * @author Christian Fries
 */
public interface MonteCarloSimulationInterface {
	
	/**
	 * Returns the numberOfPaths.
	 * 
	 * @return Returns the numberOfPaths.
	 */
	int getNumberOfPaths();

	/**
	 * Returns the timeDiscretization.
	 * 
	 * @return Returns the timeDiscretization.
	 */
	TimeDiscretizationInterface getTimeDiscretization();

	/**
	 * Returns the time for a given time index.
	 * 
	 * @param timeIndex Time index
	 * @return Returns the time for a given time index.
	 */
	double getTime(int timeIndex);

	/**
	 * Returns the time index for a given time.
	 * 
	 * @param time The time.
	 * @return Returns the time index for a given time.
	 */
	int getTimeIndex(double time);

	/**
	 * Returns a random variable which is initialized to a constant,
	 * but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
	 *
	 * @param value The constant value to be used for initialized the random variable.
	 * @return A new random variable.
	 */
	RandomVariableInterface getRandomVariableForConstant(double value);

	/**
	 * This method returns the weights of a weighted Monte Carlo method (the probability density).
	 * 
	 * @param timeIndex Time index at which the process should be observed
	 * @return A vector of positive weights which sums up to one
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	RandomVariableInterface getMonteCarloWeights(int timeIndex) throws CalculationException;

	/**
	 * This method returns the weights of a weighted Monte Carlo method (the probability density).
	 * 
	 * @param time Time at which the process should be observed
	 * @return A vector of positive weights which sums up to one
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	RandomVariableInterface getMonteCarloWeights(double time) throws CalculationException;

	/**
	 * Create a clone of this simulation modifying some of its properties (if any).
	 * 
	 * @param dataModified The data which should be changed in the new model
	 * @return Returns a clone of this model, with some data modified (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.
	 */
	MonteCarloSimulationInterface getCloneWithModifiedData(Map dataModified) throws CalculationException;
}