net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel Maven / Gradle / Ivy
Go to download
Show more of this group Show more artifacts with this name
Show all versions of finmath-lib Show documentation
Show all versions of finmath-lib Show documentation
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 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);
}