net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel Maven / Gradle / Ivy
/*
* (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.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 {
/**
* 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;
}