Documentation of 'net.finmath.montecarlo.process.ProcessEulerScheme' Java class
ProcessEulerScheme
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net.finmath.montecarlo.process

Class ProcessEulerScheme

  • All Implemented Interfaces:
    java.lang.Cloneable, AbstractProcessInterface, ProcessInterface

    public class ProcessEulerScheme
extends AbstractProcess
    This class implements some numerical schemes for multi-dimensional multi-factor Ito process. It features the standard Euler scheme and the standard predictor-corrector Euler scheme for Y, then applies the state space transform \( X = f(Y) \). For the standard Euler scheme the process Y is discretized as \[ Y(t_{i+1}) = Y(t_{i}) + \mu(t_{i}) \Delta t_{i} + \sigma(t_{i}) \Delta W(t_{i}) \text{.} \] Hence, using the state space transform, it is possible to create a log-Eurler scheme, i.e., \[ X(t_{i+1}) = X(t_{i}) \cdot \exp\left( (\mu(t_{i}) - \frac{1}{2} sigma(t_{i})^2) \Delta t_{i} + \sigma(t_{i}) \Delta W(t_{i}) \right) \text{.} \] The dimension is called numberOfComponents here. The default for numberOfFactors is 1.
    See Also:
    The interface definition contains more details.

    • Constructor Detail

      • ProcessEulerScheme

        public ProcessEulerScheme(BrownianMotionInterface brownianMotion)
        Parameters:
        brownianMotion - The Brownian driver of the process

    • Method Detail

      • getProcessValue

        public RandomVariableInterface getProcessValue(int timeIndex,
                                               int componentIndex)
        This method returns the realization of the process at a certain time index.
        Parameters:
        timeIndex - Time index at which the process should be observed
        componentIndex - Component index of the process
        Returns:
        A vector of process realizations (on path)

      • getMonteCarloWeights

        public RandomVariableInterface getMonteCarloWeights(int timeIndex)
        This method returns the weights of a weighted Monte Carlo method (the probability density).
        Parameters:
        timeIndex - Time index at which the process should be observed
        Returns:
        A vector of positive weights

      • getNumberOfPaths

        public int getNumberOfPaths()
        Returns:
        Returns the numberOfPaths.

      • getNumberOfFactors

        public int getNumberOfFactors()
        Returns:
        Returns the numberOfFactors.

      • setSeed

        @Deprecated
public void setSeed(int seed)
        Deprecated. The class will soon be changed to be immutable
        Parameters:
        seed - The seed to set.

      • getBrownianMotion

        public BrownianMotionInterface getBrownianMotion()
        Returns:
        Returns the Brownian motion used in the generation of the process

      • setBrownianMotion

        @Deprecated
public void setBrownianMotion(BrownianMotion brownianMotion)
        Deprecated. Do not use anymore. Processes should be immutable.
        Parameters:
        brownianMotion - The brownianMotion to set.

      • setScheme

        @Deprecated
public void setScheme(ProcessEulerScheme.Scheme scheme)
        Deprecated. Do not use anymore. Processes should be immutable.
        Parameters:
        scheme - The scheme to set.
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