net.finmath.montecarlo.hybridassetinterestrate.HybridAssetMonteCarloSimulation Maven / Gradle / Ivy
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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 03.04.2015
*/
package net.finmath.montecarlo.hybridassetinterestrate;
import net.finmath.exception.CalculationException;
import net.finmath.montecarlo.MonteCarloSimulationModel;
import net.finmath.stochastic.RandomVariable;
/**
* Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
*
* @author Christian Fries
* @version 1.0
*/
public interface HybridAssetMonteCarloSimulation extends MonteCarloSimulationModel {
/**
* Return the (default) numeraire at a given time.
*
* @param time The time for which the numeraire is returned.
* @return The numeraire at a given time.
* @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 numeraire associated with a given (collateral or funding) account at a given time.
*
* @param account The account associated with this numeraire.
* @param time The time for which the numeraire is returned.
* @return The numeraire at a given time.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
RandomVariable getNumeraire(String account, double time) throws CalculationException;
/**
* Return the random variable of a risk factor with a given name at a given observation time index.
*
* @param riskFactorIdentifyer The identifier of the risk factor.
* @param time The time at which the risk factor is observed.
* @return Random variable representing the corresponding risk factor.
* @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
*/
RandomVariable getValue(RiskFactorID riskFactorIdentifyer, double time) throws CalculationException;
}