Uses of Interface
net.finmath.montecarlo.BrownianMotionInterface

Packages that use BrownianMotionInterface

Package	Description
net.finmath.montecarlo	Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.modelplugins	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.templatemethoddesign

Uses of BrownianMotionInterface in net.finmath.montecarlo

Classes in net.finmath.montecarlo that implement BrownianMotionInterface

Modifier and Type	Class and Description
class	BrownianBridge This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
class	BrownianMotion Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...
class	BrownianMotionView A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.
class	CorrelatedBrownianMotion Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.

Methods in net.finmath.montecarlo that return BrownianMotionInterface

Modifier and Type	Method and Description
BrownianMotionInterface	CorrelatedBrownianMotion.getCloneWithModifiedSeed(int seed)
BrownianMotionInterface	BrownianMotionView.getCloneWithModifiedSeed(int seed)
BrownianMotionInterface	BrownianMotionInterface.getCloneWithModifiedSeed(int seed) Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different seed for the random number generator.
BrownianMotionInterface	BrownianMotion.getCloneWithModifiedSeed(int seed)
BrownianMotionInterface	BrownianBridge.getCloneWithModifiedSeed(int seed)
BrownianMotionInterface	CorrelatedBrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianMotionView.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianMotionInterface.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization) Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
BrownianMotionInterface	BrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianBridge.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)

Constructors in net.finmath.montecarlo with parameters of type BrownianMotionInterface

Constructor and Description
BrownianMotionView(BrownianMotionInterface brownianMotion, Integer[] factors) Create a sub-view on a Brownian motion.
CorrelatedBrownianMotion(BrownianMotionInterface uncollelatedFactors, double[][] factorLoadings) Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.

Uses of BrownianMotionInterface in net.finmath.montecarlo.assetderivativevaluation

Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type BrownianMotionInterface

Constructor and Description
MonteCarloMultiAssetBlackScholesModel(BrownianMotionInterface brownianMotion, double[] initialValues, double riskFreeRate, double[] volatilities, double[][] correlations) Create a Monte-Carlo simulation using given time discretization.

Uses of BrownianMotionInterface in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return BrownianMotionInterface

Modifier and Type	Method and Description
BrownianMotionInterface	HybridAssetLIBORModelMonteCarloSimulation.getBrownianMotion()

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type BrownianMotionInterface

Modifier and Type

Method and Description

HybridAssetLIBORModelMonteCarloSimulationInterface

ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface baseModel, BrownianMotionInterface brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurveInterface discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Uses of BrownianMotionInterface in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return BrownianMotionInterface

Modifier and Type	Method and Description
BrownianMotionInterface	LIBORModelMonteCarloSimulationInterface.getBrownianMotion() Returns the Brownian motion used to simulate the curve.
BrownianMotionInterface	LIBORModelMonteCarloSimulation.getBrownianMotion()

Uses of BrownianMotionInterface in net.finmath.montecarlo.interestrate.modelplugins

Constructors in net.finmath.montecarlo.interestrate.modelplugins with parameters of type BrownianMotionInterface

Constructor and Description
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotionInterface brownianMotion, double nu, double rho, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.

Uses of BrownianMotionInterface in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that return BrownianMotionInterface

Modifier and Type	Method and Description
BrownianMotionInterface	ProcessEulerScheme.getBrownianMotion()
BrownianMotionInterface	AbstractProcessInterface.getBrownianMotion()

Constructors in net.finmath.montecarlo.process with parameters of type BrownianMotionInterface

Constructor and Description
ProcessEulerScheme(BrownianMotionInterface brownianMotion)

Uses of BrownianMotionInterface in net.finmath.montecarlo.templatemethoddesign

Methods in net.finmath.montecarlo.templatemethoddesign that return BrownianMotionInterface

Modifier and Type	Method and Description
BrownianMotionInterface	LogNormalProcess.getBrownianMotion()

Methods in net.finmath.montecarlo.templatemethoddesign with parameters of type BrownianMotionInterface

Modifier and Type	Method and Description
protected void	LogNormalProcess.setBrownianMotion(BrownianMotionInterface brownianMotion) A derived class may change the Brownian motion.

Constructors in net.finmath.montecarlo.templatemethoddesign with parameters of type BrownianMotionInterface

Constructor and Description
LogNormalProcess(int numberOfComponents, BrownianMotionInterface brownianMotion) Create a log normal process.