Uses of Package
net.finmath.montecarlo.process

Packages that use net.finmath.montecarlo.process

Package	Description
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.model
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.

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

Class and Description
AbstractProcess This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.

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

Class and Description
AbstractProcessInterface The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing AbstractModelInterface: The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().

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

Class and Description
AbstractProcess This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
AbstractProcessInterface The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing AbstractModelInterface: The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().

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

Class and Description
AbstractProcessInterface The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing AbstractModelInterface: The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().

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

Class and Description
AbstractProcess This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
AbstractProcessInterface The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing AbstractModelInterface: The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().
LinearInterpolatedTimeDiscreteProcess A linear interpolated time discrete process, that is, given a collection of tuples (Double, RandomVariable) representing realizations \( X(t_{i}) \) this class implements the ProcessInterface and creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).
ProcessEulerScheme This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
ProcessEulerScheme.Scheme
ProcessInterface The interface for a stochastic process X.