Uses of Package
net.finmath.montecarlo

Packages that use net.finmath.montecarlo

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.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationInterface.
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.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate.products.components
net.finmath.montecarlo.interestrate.products.indices
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Classes in net.finmath.montecarlo used by net.finmath.montecarlo

Class and Description
AbstractRandomVariableFactory
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.
RandomVariable The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
RandomVariableLowMemory The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation

Class and Description
BrownianMotionInterface Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.products

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationInterface for valuation.
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.hybridassetinterestrate

Class and Description
BrownianMotionInterface Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate

Class and Description
BrownianMotionInterface Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.modelplugins

Class and Description
BrownianMotionInterface Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
RandomVariable The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationInterface for valuation.
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.components

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationInterface for valuation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.indices

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationInterface for valuation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.process

Class and Description
BrownianMotion Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...
BrownianMotionInterface Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.products

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationInterface for valuation.
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesign

Class and Description
BrownianMotionInterface Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Class and Description
MonteCarloSimulationInterface The interface implemented by a simulation of an SDE.