Package | Description |
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net.finmath.montecarlo.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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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.
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Modifier and Type | Method and Description |
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AbstractProcessInterface |
HybridAssetLIBORModelMonteCarloSimulation.getProcess() |
Modifier and Type | Method and Description |
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AbstractProcessInterface |
LIBORModelMonteCarloSimulationInterface.getProcess() |
AbstractProcessInterface |
LIBORModelMonteCarloSimulation.getProcess() |
Modifier and Type | Method and Description |
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AbstractProcessInterface |
AbstractModelInterface.getProcess()
Get the numerical scheme used to generate the stochastic process.
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AbstractProcessInterface |
AbstractModel.getProcess() |
Modifier and Type | Method and Description |
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void |
AbstractModelInterface.setProcess(AbstractProcessInterface process)
Set the numerical scheme used to generate the stochastic process.
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void |
AbstractModel.setProcess(AbstractProcessInterface process) |
Modifier and Type | Class and Description |
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class |
AbstractProcess
This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
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class |
ProcessEulerScheme
This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
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Modifier and Type | Method and Description |
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AbstractProcessInterface |
AbstractProcessInterface.clone()
Create and return a clone of this process.
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