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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 23.12.2016
 */

package net.finmath.montecarlo.interestrate;

import java.time.LocalDateTime;

import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.BrownianMotion;
import net.finmath.montecarlo.MonteCarloSimulationModel;
import net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider;
import net.finmath.montecarlo.process.MonteCarloProcess;
import net.finmath.stochastic.RandomVariable;
import net.finmath.time.FloatingpointDate;

/**
 * @author Christian Fries
 *
 * @version 1.0
 */
public interface TermStructureMonteCarloSimulationModel extends MonteCarloSimulationModel, IndependentModelParameterProvider {

	/**
	 * Return the forward rate for a given simulation time and a given period start and period end.
	 *
	 * @param date Simulation time
	 * @param periodStartDate Start time of period
	 * @param periodEndDate End time of period
	 * @return The forward rate as a random variable as seen on simulation time for the specified period.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	default RandomVariable getForwardRate(final LocalDateTime date, final LocalDateTime periodStartDate, final LocalDateTime periodEndDate) throws CalculationException {
		final LocalDateTime referenceDate = getReferenceDate();

		final double time = FloatingpointDate.getFloatingPointDateFromDate(referenceDate, date);
		final double periodStart = FloatingpointDate.getFloatingPointDateFromDate(referenceDate, periodStartDate);
		final double periodEnd = FloatingpointDate.getFloatingPointDateFromDate(referenceDate, periodEndDate);

		return getForwardRate(time, periodStart, periodEnd);
	}

	/**
	 * Return the forward rate for a given simulation time and a given period start and period end.
	 *
	 * @param time          Simulation time
	 * @param periodStart   Start time of period
	 * @param periodEnd     End time of period
	 * @return 				The forward rate as a random variable as seen on simulation time for the specified period.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	RandomVariable getForwardRate(double time, double periodStart, double periodEnd) throws CalculationException;

	/**
	 * Return the numeraire at a given time.
	 *
	 * @param date Time at which the process should be observed
	 * @return The numeraire at the specified time as RandomVariableFromDoubleArray
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	default RandomVariable getNumeraire(final LocalDateTime date) throws CalculationException {
		final double time = FloatingpointDate.getFloatingPointDateFromDate(getReferenceDate(), date);
		return getNumeraire(time);
	}

	/**
	 * Return the numeraire at a given time.
	 *
	 * @param time Time at which the process should be observed
	 * @return The numeraire at the specified time as RandomVariableFromDoubleArray
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	RandomVariable getNumeraire(double time) throws CalculationException;

	/**
	 * Return the forward rate for a given simulation time and a given period start and period end.
	 *
	 * @param date Simulation time
	 * @param periodStartDate Start time of period
	 * @param periodEndDate End time of period
	 * @return The forward rate as a random variable as seen on simulation time for the specified period.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	default RandomVariable getLIBOR(final LocalDateTime date, final LocalDateTime periodStartDate, final LocalDateTime periodEndDate) throws CalculationException {
		return getForwardRate(date, periodStartDate, periodEndDate);
	}

	/**
	 * Return the forward rate for a given simulation time and a given period start and period end.
	 *
	 * @param time          Simulation time
	 * @param periodStart   Start time of period
	 * @param periodEnd     End time of period
	 * @return 				The forward rate as a random variable as seen on simulation time for the specified period.
	 * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	default RandomVariable getLIBOR(double time, double periodStart, double periodEnd) throws CalculationException {
		return getForwardRate(time, periodStart, periodEnd);
	}

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

	/**
	 * @return The implementation of the process
	 */
	MonteCarloProcess getProcess();

	/**
	 * @return Returns the numberOfFactors.
	 */
	default int getNumberOfFactors() {
		return getProcess().getNumberOfFactors();
	}

	/**
	 * Returns the Brownian motion used to simulate the curve.
	 *
	 * @return The Brownian motion used to simulate the curve.
	 */
	default BrownianMotion getBrownianMotion() {
		return (BrownianMotion)getProcess().getStochasticDriver();
	}

	/**
	 * 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);
}