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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 20.05.2006
*/
package net.finmath.montecarlo;
import java.util.Map;
import net.finmath.exception.CalculationException;
import net.finmath.modelling.Model;
import net.finmath.modelling.Product;
import net.finmath.stochastic.RandomVariable;
/**
* Interface for products requiring an MonteCarloSimulationModel for valuation.
*
* @author Christian Fries
* @version 1.0
*/
public interface MonteCarloProduct extends Product {
/**
* Returns the currency string of this product.
*
* @return the currency
*/
String getCurrency();
@Override
Object getValue(double evaluationTime, Model model);
@Override
Map getValues(double evaluationTime, Model model);
/**
* This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
*
* For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time.
*
* More generally: The value random variable is a random variable V*(t) such that
* the time-t conditional expectation of V*(t) is equal
* to the value of the financial product in time t.
*
* An example for V*(t) is the sum of t-discounted payoffs.
*
* Cashflows prior evaluationTime are not considered.
*
* @param evaluationTime The time on which this products value should be observed.
* @param model The model used to price the product.
* @return The random variable representing the value of the product discounted to evaluation time
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
RandomVariable getValue(double evaluationTime, MonteCarloSimulationModel model) throws CalculationException;
/**
* This method returns the value of the product under the specified model.
*
* @param model A model used to evaluate the product.
* @return The value of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
double getValue(MonteCarloSimulationModel model) throws CalculationException;
/**
* This method returns the value of the product under the specified model and other information in a key-value map.
*
* @param evaluationTime The time on which this products value should be observed.
* @param model A model used to evaluate the product.
* @return The values of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
Map getValues(double evaluationTime, MonteCarloSimulationModel model) throws CalculationException;
/**
* This method returns the value under shifted market data (or model parameters).
* In its default implementation it does bump (creating a new model) and revalue.
* Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
*
* @param evaluationTime The time on which this products value should be observed.
* @param model The model used to price the product, except for the market data to modify
* @param dataModified The new market data object to use (could be of different types)
*
* @return The values of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
Map getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model,
Map dataModified) throws CalculationException;
/**
* This method returns the value under shifted market data (or model parameters).
* In its default implementation it does bump (creating a new model) and revalue.
* Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
*
* @param evaluationTime The time on which this products value should be observed.
* @param model The model used to price the product, except for the market data to modify
* @param entityKey The entity to change, it depends on the model if the model reacts to this key.
* @param dataModified The new market data object to use (could be of different types)
*
* @return The values of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
Map getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model,
String entityKey, Object dataModified) throws CalculationException;
/**
* This method returns the value of the product under the specified model and other information in a key-value map.
*
* @param model A model used to evaluate the product.
* @return The values of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
Map getValues(MonteCarloSimulationModel model) throws CalculationException;
/**
* This method returns the value under shifted market data (or model parameters).
* In its default implementation it does bump (creating a new model) and revalue.
* Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
*
* @param model The model used to price the product, except for the market data to modify
* @param dataModified The new market data object to use (could be of different types)
*
* @return The values of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
Map getValuesForModifiedData(MonteCarloSimulationModel model, Map dataModified)
throws CalculationException;
/**
* This method returns the value under shifted market data (or model parameters).
* In its default implementation it does bump (creating a new model) and revalue.
* Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
*
* @param model The model used to price the product, except for the market data to modify
* @param entityKey The entity to change, it depends on the model if the model reacts to this key.
* @param dataModified The new market data object to use (could be of different types)
*
* @return The values of the product.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
Map getValuesForModifiedData(MonteCarloSimulationModel model, String entityKey, Object dataModified)
throws CalculationException;
}