Package 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.

See: Description

Interface Summary

Interface	Description
BrownianMotionInterface	Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
IndependentIncrementsInterface	Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).
MonteCarloSimulationInterface	The interface implemented by a simulation of an SDE.

Class Summary

Class	Description
AbstractMonteCarloProduct	Base class for products requiring an MonteCarloSimulationInterface for valuation.
AbstractRandomVariableFactory
BrownianBridge	This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
BrownianMotion	Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...
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.
CorrelatedBrownianMotion	Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.
GammaProcess	Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j.
RandomVariable	The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
RandomVariableFactory	A factory (helper class) to create random variables.
RandomVariableLowMemory	The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.

Package net.finmath.montecarlo Description

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.