net.finmath.montecarlo.process.component.factordrift

Interface FactorDriftInterface

public interface FactorDriftInterface

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface[]	getFactorDrift(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariableInterface	getFactorDriftDeterminant(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariableInterface[]	getFactorScaling(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.

Method Detail

getFactorScaling

RandomVariableInterface[] getFactorScaling(int timeIndex,
                                           RandomVariableInterface[] realizationPredictor)

The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g. LogNormalProcess). The factor scaling may be used to implement importance sampling or proxy simulation on the level of the discrete process.

Parameters:

timeIndex - The time index (associated with the process time discretization).

realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).

Returns:

The vector of factor scalings.

getFactorDrift

RandomVariableInterface[] getFactorDrift(int timeIndex,
                                         RandomVariableInterface[] realizationPredictor)
                                  throws CalculationException

The interface describes how an additional factor drift may be specified for the generation of a process (see e.g. LogNormalProcess). The factor drift may be used to implement importance sampling or proxy simulation on the level of the discrete process.

Parameters:

timeIndex - The time index (associated with the process time discretization).

realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).

Returns:

A vector of random variables given the factor drift for each factor. If the size is less then the number of factors, then higher order factors have no drift.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getFactorDriftDeterminant

RandomVariableInterface getFactorDriftDeterminant(int timeIndex,
                                                  RandomVariableInterface[] realizationPredictor)

The interface describes how an additional factor drift may be specified for the generation of a process (see e.g. LogNormalProcess). The factor drift may be used to implement importance sampling or proxy simulation on the level of the discrete process.

Parameters:

timeIndex - The time index (associated with the process time discretization).

realizationPredictor - The realization predictor (in case we use a predictor corrector scheme).

Returns:

The determinant of the factor drift.