Uses of Interface
net.finmath.timeseries.HistoricalSimulationModel

Packages that use HistoricalSimulationModel

Package	Description
net.finmath.timeseries	Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models.
net.finmath.timeseries.models.parametric

Uses of HistoricalSimulationModel in net.finmath.timeseries

Methods in net.finmath.timeseries that return HistoricalSimulationModel

Modifier and Type	Method and Description
HistoricalSimulationModel	HistoricalSimulationModel.getCloneWithWindow(int windowIndexStart, int windowIndexEnd) Create a new model, using only a window of the times series.

Uses of HistoricalSimulationModel in net.finmath.timeseries.models.parametric

Classes in net.finmath.timeseries.models.parametric that implement HistoricalSimulationModel

Modifier and Type	Class and Description
class	ARMAGARCH Log-normal process with ARMAGARCH(1,1) volatility.
class	DisplacedLognormal Displaced log-normal process with constanst volatility.
class	DisplacedLognormalARMAGARCH Displaced log-normal process with ARMAGARCH(1,1) volatility.
class	DisplacedLognormalGARCH Displaced log-normal process with GARCH(1,1) volatility.
class	DisplacedLognormalGJRGARCH Displaced log-normal process with GJR-GARCH(1,1) volatility.
class	GARCH Log-normal process with GARCH(1,1) volatility.
class	SimpleHistroricalSimulation Implementation of standard historical simulation.

Methods in net.finmath.timeseries.models.parametric that return HistoricalSimulationModel

Modifier and Type	Method and Description
HistoricalSimulationModel	DisplacedLognormalGARCH.getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormal.getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	SimpleHistroricalSimulation.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalGJRGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalARMAGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormal.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	ARMAGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)