finMath lib documentation
net.finmath.montecarlo

Interface MonteCarloSimulationModel

• Method Summary

All Methods
Modifier and Type Method and Description
MonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
Create a clone of this simulation modifying some of its properties (if any).
RandomVariable getMonteCarloWeights(double time)
This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariable getMonteCarloWeights(int timeIndex)
This method returns the weights of a weighted Monte Carlo method (the probability density).
int getNumberOfPaths()
Returns the numberOfPaths.
RandomVariable getRandomVariableForConstant(double value)
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
default LocalDateTime getReferenceDate()
Returns the model's date corresponding to the time discretization's $$t = 0$$.
double getTime(int timeIndex)
Returns the time for a given time index.
TimeDiscretization getTimeDiscretization()
Returns the timeDiscretizationFromArray.
int getTimeIndex(double time)
Returns the time index for a given time.
• Method Detail

• getNumberOfPaths

int getNumberOfPaths()
Returns the numberOfPaths.
Returns:
Returns the numberOfPaths.
• getReferenceDate

default LocalDateTime getReferenceDate()
Returns the model's date corresponding to the time discretization's $$t = 0$$.
Returns:
The model's date corresponding to the time discretization's $$t = 0$$.
• getTimeDiscretization

TimeDiscretization getTimeDiscretization()
Returns the timeDiscretizationFromArray.
Returns:
Returns the timeDiscretizationFromArray.
• getTime

double getTime(int timeIndex)
Returns the time for a given time index.
Parameters:
timeIndex - Time index
Returns:
Returns the time for a given time index.
• getTimeIndex

int getTimeIndex(double time)
Returns the time index for a given time.
Parameters:
time - The time.
Returns:
Returns the time index for a given time.
• getRandomVariableForConstant

RandomVariable getRandomVariableForConstant(double value)
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
Parameters:
value - The constant value to be used for initialized the random variable.
Returns:
A new random variable.
• getMonteCarloWeights

RandomVariable getMonteCarloWeights(int timeIndex)
throws CalculationException
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 which sums up to one
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
• getMonteCarloWeights

RandomVariable getMonteCarloWeights(double time)
throws CalculationException
This method returns the weights of a weighted Monte Carlo method (the probability density).
Parameters:
time - Time at which the process should be observed
Returns:
A vector of positive weights which sums up to one
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
• getCloneWithModifiedData

MonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)
throws CalculationException
Create a clone of this simulation modifying some of its properties (if any).
Parameters:
dataModified - The data which should be changed in the new model
Returns:
Returns a clone of this model, with some data modified (then it is no longer a clone :-)
Throws:
CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.