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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 04.02.2016
*/
package net.finmath.montecarlo.interestrate;
import java.util.Map;
import net.finmath.exception.CalculationException;
import net.finmath.marketdata.model.AnalyticModel;
import net.finmath.marketdata.model.curves.DiscountCurve;
import net.finmath.marketdata.model.curves.ForwardCurve;
import net.finmath.montecarlo.model.ProcessModel;
import net.finmath.montecarlo.process.MonteCarloProcess;
import net.finmath.stochastic.RandomVariable;
/**
* @author Christian Fries
*
* @version 1.0
*/
public interface TermStructureModel extends ProcessModel {
/**
* Returns the time \( t \) forward rate on the models forward curve.
*
* Note: It is guaranteed that the random variable returned by this method is \( \mathcal{F}_{t} ) \)-measurable.
*
* @param process The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
* @param time The evaluation time.
* @param periodStart The period start of the forward rate.
* @param periodEnd The period end of the forward rate.
* @return The forward rate.
* @throws CalculationException Thrown if model fails to calculate the random variable.
*/
RandomVariable getForwardRate(MonteCarloProcess process, double time, double periodStart, double periodEnd) throws CalculationException;
/**
* Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \).
*
* Note: It is guaranteed that the random variabble returned by this method is \( \mathcal{F}_{t} ) \)-measurable.
*
* @param process The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
* @param time The evaluation time.
* @param maturity The maturity.
* @return The forward bond P(T;t).
* @throws CalculationException Thrown if model fails to calculate the random variable.
*/
default RandomVariable getForwardDiscountBond(MonteCarloProcess process, final double time, final double maturity) throws CalculationException {
throw new UnsupportedOperationException("The model does not support this method. Note: implemenation will become mandatory is future releases.");
}
/**
* Return the associated analytic model, a collection of market date object like discount curve, forward curve
* and volatility surfaces.
*
* @return The associated analytic model.
*/
AnalyticModel getAnalyticModel();
/**
* Return the discount curve associated the forwards.
*
* @return the discount curve associated the forwards.
*/
DiscountCurve getDiscountCurve();
/**
* Return the initial forward rate curve.
*
* @return the forward rate curve
*/
ForwardCurve getForwardRateCurve();
/*+
* Returns the term structure covariance model.
*
* @return the term structure covariance model.
*/
// TermStructureCovarianceModelInterface getCovarianceModel();
/**
* Create a new object implementing TermStructureModel, using the new data.
*
* @param dataModified A map with values to be used in constructions (keys are identical to parameter names of the constructors).
* @return A new object implementing TermStructureModel, using the new data.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
@Override
TermStructureModel getCloneWithModifiedData(Map dataModified) throws CalculationException;
/**
* Returns the time \( t \) forward rate on the models forward curve.
*
* Note: It is guaranteed that the random variable returned by this method is \( \mathcal{F}_{t} ) \)-measurable.
*
* @param process The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
* @param time The evaluation time.
* @param periodStart The period start of the forward rate.
* @param periodEnd The period end of the forward rate.
* @return The forward rate.
* @throws CalculationException Thrown if model fails to calculate the random variable.
*/
default RandomVariable getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd) throws CalculationException {
return getForwardRate(process, time, periodStart, periodEnd);
}
}