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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 20.05.2016
*/
package net.finmath.montecarlo;
import net.finmath.stochastic.RandomVariable;
/**
* A factory for creating objects implementing net.finmath.stochastic.RandomVariable.
*
* Use this interface in your implementations to allow dependency injection, i.e. to allow the use
* of different implementations of net.finmath.stochastic.RandomVariable whenever random variables
* need to be constructed.
*
* @see net.finmath.stochastic.RandomVariable
*
* @author Christian Fries
* @version 1.0
*/
public interface RandomVariableFactory {
/**
* Static method for creating random variables from Objects.
*
* @param randomVariableFactory The RandomVariableFactory used to construct the random variable, if needed.
* @param value The value used to construct the random variable, if needed.
* @param defaultValue The default value to be used if value is null.
* @return A RandomVariable with the given value (or the defaultValue).
*/
static RandomVariable getRandomVariableOrDefault(RandomVariableFactory randomVariableFactory, Object value, RandomVariable defaultValue) {
if(value == null) {
return defaultValue;
}
else if(value instanceof RandomVariable) {
return (RandomVariable)value;
}
else if(value instanceof Number) {
if(randomVariableFactory == null) {
throw new NullPointerException("Object value of type Number but nor randomVariableFactory given.");
}
return randomVariableFactory.createRandomVariable(((Number)value).doubleValue());
}
else {
throw new IllegalArgumentException("Object value must be of type Number or RandomVariable.");
}
}
/**
* Create a (deterministic) random variable from a constant.
*
* @param value A constant value.
* @return The RandomVariable.
*/
RandomVariable createRandomVariable(double value);
/**
* Create a (deterministic) random variable from a constant using a specific filtration time.
*
* @param time The filtration time of the random variable.
* @param value A constant value.
* @return The RandomVariable.
*/
RandomVariable createRandomVariable(double time, double value);
/**
* Create a random variable from an array using a specific filtration time.
*
* @param time The filtration time of the random variable.
* @param values Array representing values of the random variable at the sample paths.
* @return The RandomVariable.
*/
RandomVariable createRandomVariable(double time, double[] values);
default RandomVariable createRandomVariable(double[] values) {
return createRandomVariable(0.0, values);
}
/**
* Create an array of (deterministic) random variables from an array of constants.
*
* @param values Array representing constants.
* @return The RandomVariable.
*/
RandomVariable[] createRandomVariableArray(double[] values);
/**
* Create a matrix of (deterministic) random variables from an matrix of constants.
*
* @param values Matrix representing constants.
* @return The RandomVariable.
*/
RandomVariable[][] createRandomVariableMatrix(double[][] values);
}