Package | Description |
---|---|
net.finmath.montecarlo.interestrate |
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process . |
net.finmath.montecarlo.model | |
net.finmath.montecarlo.process |
Numerical schemes for stochastic processes (SDE), like the Euler scheme.
|
Modifier and Type | Method and Description |
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AbstractProcessInterface |
LIBORModelMonteCarloSimulationInterface.getProcess() |
AbstractProcessInterface |
LIBORModelMonteCarloSimulation.getProcess() |
Modifier and Type | Method and Description |
---|---|
AbstractProcessInterface |
AbstractModelInterface.getProcess()
Get the numerical scheme used to generate the stochastic process.
|
AbstractProcessInterface |
AbstractModel.getProcess() |
Modifier and Type | Method and Description |
---|---|
void |
AbstractModelInterface.setProcess(AbstractProcessInterface process)
Set the numerical scheme used to generate the stochastic process.
|
void |
AbstractModel.setProcess(AbstractProcessInterface process) |
Modifier and Type | Class and Description |
---|---|
class |
AbstractProcess
This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
|
class |
ProcessEulerScheme
This class implements the numerical scheme for multi-dimensional multi-factor Ito process.
|
Modifier and Type | Method and Description |
---|---|
AbstractProcessInterface |
AbstractProcessInterface.clone()
Create and return a clone of this process.
|
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