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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
package net.finmath.montecarlo.model;
import java.time.LocalDateTime;
import net.finmath.montecarlo.process.MonteCarloProcess;
import net.finmath.stochastic.RandomVariable;
/**
* This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
*
* Manages the delegation to MonteCarloProcess.
*
* For details see {@link net.finmath.montecarlo.model.ProcessModel}.
*
* @author Christian Fries
* @see ProcessModel The interface definition contains more details.
* @version 1.3
*/
public abstract class AbstractProcessModel implements ProcessModel {
/**
* Returns the initial value of the model.
*
* @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.
* @return The initial value of the model.
*/
public RandomVariable[] getInitialValue(MonteCarloProcess process) {
final RandomVariable[] initialState = getInitialState(process);
final RandomVariable[] value = new RandomVariable[initialState.length];
for(int i= 0; i