Uses of Interface
net.finmath.montecarlo.process.ProcessInterface

Packages that use ProcessInterface

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

Uses of ProcessInterface in net.finmath.montecarlo.process

Subinterfaces of ProcessInterface in net.finmath.montecarlo.process

Modifier and Type	Interface and Description
interface	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 that implement ProcessInterface

Modifier and Type	Class and Description
class	AbstractProcess This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
class	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 \( t_{i} \leq t \leq t_{i+1} \).
class	ProcessEulerScheme This class implements some numerical schemes for multi-dimensional multi-factor Ito process.

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

Modifier and Type	Method and Description
ProcessInterface	ProcessInterface.clone() Create and return a clone of this process.
ProcessInterface	LinearInterpolatedTimeDiscreteProcess.clone()