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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. Contact: [email protected].
 *
 * Created on 01.03.2008
 */
package net.finmath.montecarlo.interestrate;

import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.BrownianMotion;
import net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.TimeDiscretization;

/**
 * Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
 *
 * @author Christian Fries
 * @version 1.0
 */

public interface LIBORModelMonteCarloSimulationModel extends TermStructureMonteCarloSimulationModel, IndependentModelParameterProvider {

	/**
	 * @return Returns the numberOfFactors.
	 */
	int getNumberOfFactors();

	/**
	 * Returns the libor period discretization as time discretization representing start and end dates of periods.
	 * @return Returns the libor period discretization
	 */
	TimeDiscretization getLiborPeriodDiscretization();

	/**
	 * @return The number of LIBORs in the LIBOR discretization
	 */
	int getNumberOfLibors();

	/**
	 * Returns the period start of the specified forward rate period.
	 *
	 * @param timeIndex The index corresponding to a given time (interpretation is start of period)
	 * @return The period start of the specified forward rate period.
	 */
	double getLiborPeriod(int timeIndex);

	/**
	 * Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
	 * Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.
	 *
	 * @param time The tenor time (fixing of the forward rate) for which the index is requested.
	 * @return The index corresponding to a given time (interpretation is start of period)
	 */
	int getLiborPeriodIndex(double time);

	/**
	 * Return the forward rate for a given simulation time index and a given forward rate index.
	 *
	 * @param timeIndex Simulation time index.
	 * @param liborIndex TenorFromArray time index (index corresponding to the fixing of the forward rate).
	 * @return The forward rate as a random variable.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	RandomVariable getLIBOR(int timeIndex, int liborIndex) throws CalculationException;

	/**
	 * Return the forward rate curve for a given simulation time index.
	 *
	 * @param timeIndex Simulation time index.
	 * @return The forward rate curve for a given simulation time index.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	RandomVariable[] getLIBORs(int timeIndex) throws CalculationException;

	/**
	 * Returns the Brownian motion used to simulate the curve.
	 *
	 * @return The Brownian motion used to simulate the curve.
	 */
	BrownianMotion getBrownianMotion();

	/**
	 * Returns the underlying model.
	 *
	 * The model specifies the measure, the initial value, the drift, the factor loadings (covariance model), etc.
	 *
	 * @return The underlying model
	 */
	@Override
	TermStructureModel getModel();

	/**
	 * Return a clone of this model with a modified Brownian motion using a different seed.
	 *
	 * @param seed The seed
	 * @return Clone of this object, but having a different seed.
	 * @deprecated
	 */
	@Deprecated
	Object getCloneWithModifiedSeed(int seed);
}