Uses of Interface
net.finmath.stochastic.RandomVariableInterface

Packages that use RandomVariableInterface

Package	Description
net.finmath.functions	Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
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.conditionalexpectation	Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
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.model
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.process.component.factordrift
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation
net.finmath.stochastic	Interfaces specifying operations on random variables.

Uses of RandomVariableInterface in net.finmath.functions

Methods in net.finmath.functions that return RandomVariableInterface

Modifier and Type	Method and Description
static RandomVariableInterface	AnalyticFormulas.bachelierOptionValue(RandomVariableInterface forward, RandomVariableInterface volatility, double optionMaturity, double optionStrike, RandomVariableInterface payoffUnit) Calculates the option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Bachelier model.
static RandomVariableInterface	AnalyticFormulas.blackScholesGeneralizedOptionValue(RandomVariableInterface forward, RandomVariableInterface volatility, double optionMaturity, double optionStrike, RandomVariableInterface payoffUnit) Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
static RandomVariableInterface	AnalyticFormulas.blackScholesOptionDelta(RandomVariableInterface initialStockValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, double optionMaturity, double optionStrike) Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
static RandomVariableInterface	AnalyticFormulas.blackScholesOptionDelta(RandomVariableInterface initialStockValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, double optionMaturity, RandomVariableInterface optionStrike) Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
static RandomVariableInterface	AnalyticFormulas.blackScholesOptionGamma(RandomVariableInterface initialStockValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, double optionMaturity, double optionStrike) This static method calculated the gamma of a call option under a Black-Scholes model

Methods in net.finmath.functions with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
static RandomVariableInterface	AnalyticFormulas.bachelierOptionValue(RandomVariableInterface forward, RandomVariableInterface volatility, double optionMaturity, double optionStrike, RandomVariableInterface payoffUnit) Calculates the option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Bachelier model.
static RandomVariableInterface	AnalyticFormulas.blackScholesGeneralizedOptionValue(RandomVariableInterface forward, RandomVariableInterface volatility, double optionMaturity, double optionStrike, RandomVariableInterface payoffUnit) Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
static RandomVariableInterface	AnalyticFormulas.blackScholesOptionDelta(RandomVariableInterface initialStockValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, double optionMaturity, double optionStrike) Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
static RandomVariableInterface	AnalyticFormulas.blackScholesOptionDelta(RandomVariableInterface initialStockValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, double optionMaturity, RandomVariableInterface optionStrike) Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
static RandomVariableInterface	AnalyticFormulas.blackScholesOptionGamma(RandomVariableInterface initialStockValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, double optionMaturity, double optionStrike) This static method calculated the gamma of a call option under a Black-Scholes model
double	JarqueBeraTest.test(RandomVariableInterface randomVariable) Return the test statistic of the Jarque-Bera test for a given random variable.

Uses of RandomVariableInterface in net.finmath.montecarlo

Classes in net.finmath.montecarlo that implement RandomVariableInterface

Modifier and Type	Class and Description
class	RandomVariable The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
class	RandomVariableLazyEvaluation Implements a Monte-Carlo random variable (like RandomVariable using late evaluation of Java 8 streams Accesses performed exclusively through the interface RandomVariableInterface is thread safe (and does not mutate the class).
class	RandomVariableLowMemory The class RandomVariable represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.

Methods in net.finmath.montecarlo that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	RandomVariableLowMemory.abs()
RandomVariableInterface	RandomVariableLazyEvaluation.abs()
RandomVariableInterface	RandomVariable.abs()
RandomVariableInterface	RandomVariableLowMemory.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLazyEvaluation.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariable.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLowMemory.add(double value)
RandomVariableInterface	RandomVariableLazyEvaluation.add(double value)
RandomVariableInterface	RandomVariable.add(double value)
RandomVariableInterface	RandomVariableLowMemory.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariableLazyEvaluation.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariable.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariableLowMemory.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariableLazyEvaluation.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariable.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariableLowMemory.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableLazyEvaluation.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariable.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(java.util.function.DoubleBinaryOperator operatorOuter, java.util.function.DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariable.apply(java.util.function.DoubleBinaryOperator operatorOuter, java.util.function.DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLowMemory.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariable.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableLowMemory.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariable.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLowMemory.apply(java.util.function.DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(java.util.function.DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariable.apply(java.util.function.DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariableLowMemory.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLazyEvaluation.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariable.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLowMemory.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLazyEvaluation.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariable.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLowMemory.cache()
RandomVariableInterface	RandomVariableLazyEvaluation.cache()
RandomVariableInterface	RandomVariable.cache()
RandomVariableInterface	RandomVariableLowMemory.cap(double cap)
RandomVariableInterface	RandomVariableLazyEvaluation.cap(double cap)
RandomVariableInterface	RandomVariable.cap(double cap)
RandomVariableInterface	RandomVariableLowMemory.cap(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.cap(RandomVariableInterface cap)
RandomVariableInterface	RandomVariable.cap(RandomVariableInterface cap)
RandomVariableInterface	RandomVariableLowMemory.cos()
RandomVariableInterface	RandomVariableLazyEvaluation.cos()
RandomVariableInterface	RandomVariable.cos()
RandomVariableInterface	AbstractRandomVariableFactory.createRandomVariable(double value)
RandomVariableInterface	RandomVariableLazyEvaluationFactory.createRandomVariable(double time, double value)
RandomVariableInterface	RandomVariableFactory.createRandomVariable(double time, double value)
abstract RandomVariableInterface	AbstractRandomVariableFactory.createRandomVariable(double time, double value)
RandomVariableInterface	RandomVariableLazyEvaluationFactory.createRandomVariable(double time, double[] values)
RandomVariableInterface	RandomVariableFactory.createRandomVariable(double time, double[] values)
abstract RandomVariableInterface	AbstractRandomVariableFactory.createRandomVariable(double time, double[] values)
RandomVariableInterface	RandomVariableLowMemory.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLazyEvaluation.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariable.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLowMemory.div(double value)
RandomVariableInterface	RandomVariableLazyEvaluation.div(double value)
RandomVariableInterface	RandomVariable.div(double value)
RandomVariableInterface	RandomVariableLowMemory.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.exp()
RandomVariableInterface	RandomVariable.exp()
RandomVariableInterface	RandomVariableLowMemory.expand(int numberOfPaths)
RandomVariableInterface	RandomVariableLazyEvaluation.expand(int numberOfPaths)
RandomVariableInterface	RandomVariable.expand(int numberOfPaths)
RandomVariableInterface	RandomVariableLowMemory.floor(double floor)
RandomVariableInterface	RandomVariableLazyEvaluation.floor(double floor)
RandomVariableInterface	RandomVariable.floor(double floor)
RandomVariableInterface	RandomVariableLowMemory.floor(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.floor(RandomVariableInterface floor)
RandomVariableInterface	RandomVariable.floor(RandomVariableInterface floor)
RandomVariableInterface	CorrelatedBrownianMotion.getBrownianIncrement(int timeIndex, int factor)
RandomVariableInterface	BrownianMotionView.getBrownianIncrement(int timeIndex, int factor)
RandomVariableInterface	BrownianMotionInterface.getBrownianIncrement(int timeIndex, int factor) Return the Brownian increment for a given timeIndex.
RandomVariableInterface	BrownianMotion.getBrownianIncrement(int timeIndex, int factor)
RandomVariableInterface	BrownianBridge.getBrownianIncrement(int timeIndex, int factor)
RandomVariableInterface	JumpProcessIncrements.getIncrement(int timeIndex, int factor)
RandomVariableInterface	IndependentIncrementsInterface.getIncrement(int timeIndex, int factor) Return the increment for a given timeIndex.
RandomVariableInterface	IndependentIncrements.getIncrement(int timeIndex, int factor)
RandomVariableInterface	GammaProcess.getIncrement(int timeIndex, int factor)
RandomVariableInterface	CorrelatedBrownianMotion.getIncrement(int timeIndex, int factor)
RandomVariableInterface	BrownianMotionView.getIncrement(int timeIndex, int factor)
RandomVariableInterface	BrownianMotion.getIncrement(int timeIndex, int factor)
RandomVariableInterface	BrownianBridge.getIncrement(int timeIndex, int factor)
RandomVariableInterface	MonteCarloSimulationInterface.getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	MonteCarloSimulationInterface.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	RandomVariableLazyEvaluation.getMutableCopy() Deprecated.
RandomVariableInterface	MonteCarloSimulationInterface.getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
RandomVariableInterface	JumpProcessIncrements.getRandomVariableForConstant(double value)
RandomVariableInterface	IndependentIncrementsInterface.getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotionInterface.
RandomVariableInterface	IndependentIncrements.getRandomVariableForConstant(double value)
RandomVariableInterface	GammaProcess.getRandomVariableForConstant(double value)
RandomVariableInterface	CorrelatedBrownianMotion.getRandomVariableForConstant(double value)
RandomVariableInterface	BrownianMotionView.getRandomVariableForConstant(double value)
RandomVariableInterface	BrownianMotionInterface.getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotionInterface.
RandomVariableInterface	BrownianMotion.getRandomVariableForConstant(double value)
RandomVariableInterface	BrownianBridge.getRandomVariableForConstant(double value)
abstract RandomVariableInterface	AbstractMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	RandomVariableLowMemory.invert()
RandomVariableInterface	RandomVariableLazyEvaluation.invert()
RandomVariableInterface	RandomVariable.invert()
RandomVariableInterface	RandomVariableLowMemory.isNaN()
RandomVariableInterface	RandomVariableLazyEvaluation.isNaN()
RandomVariableInterface	RandomVariable.isNaN()
RandomVariableInterface	RandomVariableLazyEvaluation.log()
RandomVariableInterface	RandomVariable.log()
RandomVariableInterface	RandomVariableLowMemory.mult(double value)
RandomVariableInterface	RandomVariableLazyEvaluation.mult(double value)
RandomVariableInterface	RandomVariable.mult(double value)
RandomVariableInterface	RandomVariableLowMemory.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.pow(double exponent)
RandomVariableInterface	RandomVariableLazyEvaluation.pow(double exponent)
RandomVariableInterface	RandomVariable.pow(double exponent)
RandomVariableInterface	RandomVariableLowMemory.sin()
RandomVariableInterface	RandomVariableLazyEvaluation.sin()
RandomVariableInterface	RandomVariable.sin()
RandomVariableInterface	RandomVariableLowMemory.sqrt()
RandomVariableInterface	RandomVariableLazyEvaluation.sqrt()
RandomVariableInterface	RandomVariable.sqrt()
RandomVariableInterface	RandomVariableLowMemory.squared()
RandomVariableInterface	RandomVariableLazyEvaluation.squared()
RandomVariableInterface	RandomVariable.squared()
RandomVariableInterface	RandomVariableLowMemory.sub(double value)
RandomVariableInterface	RandomVariableLazyEvaluation.sub(double value)
RandomVariableInterface	RandomVariable.sub(double value)
RandomVariableInterface	RandomVariableLowMemory.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableLazyEvaluation.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariable.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)

Methods in net.finmath.montecarlo with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	RandomVariableLowMemory.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLazyEvaluation.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariable.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLowMemory.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariableLazyEvaluation.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariable.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariableLowMemory.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariableLazyEvaluation.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariable.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariableLowMemory.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableLazyEvaluation.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariable.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(java.util.function.DoubleBinaryOperator operatorOuter, java.util.function.DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariable.apply(java.util.function.DoubleBinaryOperator operatorOuter, java.util.function.DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLowMemory.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariable.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableLowMemory.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariable.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLowMemory.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLazyEvaluation.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariable.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLowMemory.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLazyEvaluation.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariable.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariableLowMemory.cap(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.cap(RandomVariableInterface cap)
RandomVariableInterface	RandomVariable.cap(RandomVariableInterface cap)
RandomVariableInterface	RandomVariableLowMemory.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLazyEvaluation.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariable.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableLowMemory.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.div(RandomVariableInterface randomVariable)
boolean	RandomVariableLowMemory.equals(RandomVariableInterface randomVariable)
boolean	RandomVariableLazyEvaluation.equals(RandomVariableInterface randomVariable)
boolean	RandomVariable.equals(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.floor(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.floor(RandomVariableInterface floor)
RandomVariableInterface	RandomVariable.floor(RandomVariableInterface floor)
double	RandomVariableLowMemory.getAverage(RandomVariableInterface probabilities)
double	RandomVariableLazyEvaluation.getAverage(RandomVariableInterface probabilities)
double	RandomVariable.getAverage(RandomVariableInterface probabilities)
double	RandomVariableLowMemory.getQuantile(double quantile, RandomVariableInterface probabilities)
double	RandomVariableLazyEvaluation.getQuantile(double quantile, RandomVariableInterface probabilities)
double	RandomVariable.getQuantile(double quantile, RandomVariableInterface probabilities)
double	RandomVariableLowMemory.getStandardDeviation(RandomVariableInterface probabilities)
double	RandomVariableLazyEvaluation.getStandardDeviation(RandomVariableInterface probabilities)
double	RandomVariable.getStandardDeviation(RandomVariableInterface probabilities)
double	RandomVariableLowMemory.getStandardError(RandomVariableInterface probabilities)
double	RandomVariableLazyEvaluation.getStandardError(RandomVariableInterface probabilities)
double	RandomVariable.getStandardError(RandomVariableInterface probabilities)
double	RandomVariableLowMemory.getVariance(RandomVariableInterface probabilities)
double	RandomVariableLazyEvaluation.getVariance(RandomVariableInterface probabilities)
double	RandomVariable.getVariance(RandomVariableInterface probabilities)
RandomVariableInterface	RandomVariableLowMemory.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLazyEvaluation.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariable.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableLowMemory.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableLazyEvaluation.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariable.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)

Constructors in net.finmath.montecarlo with parameters of type RandomVariableInterface

Constructor and Description
BrownianBridge(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, int seed, RandomVariableInterface[] start, RandomVariableInterface[] end) Construct a Brownian bridge, bridging from a given start to a given end.
BrownianBridge(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, int seed, RandomVariableInterface[] start, RandomVariableInterface[] end) Construct a Brownian bridge, bridging from a given start to a given end.
BrownianBridge(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, int seed, RandomVariableInterface start, RandomVariableInterface end) Construct a Brownian bridge, bridging from a given start to a given end.
RandomVariable(RandomVariableInterface value) Create a random variable from a given other implementation of RandomVariableInterface.
RandomVariable(RandomVariableInterface value, java.util.function.DoubleUnaryOperator function) Create a random variable by applying a function to a given other implementation of RandomVariableInterface.
RandomVariableLazyEvaluation(RandomVariableInterface value) Create a random variable from a given other implementation of RandomVariableInterface.
RandomVariableLazyEvaluation(RandomVariableInterface value, java.util.function.DoubleUnaryOperator function) Create a random variable by applying a function to a given other implementation of RandomVariableInterface.
RandomVariableLowMemory(RandomVariableInterface value) Create a random variable from a given other implementation of RandomVariableInterface.

Uses of RandomVariableInterface in net.finmath.montecarlo.assetderivativevaluation

Methods in net.finmath.montecarlo.assetderivativevaluation that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MertonModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogenousBachelierModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HestonModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BlackScholesModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BachelierModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloMertonModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloAssetModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getAssetValue(double time, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloMertonModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloAssetModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getAssetValue(int timeIndex, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariableInterface[]	MonteCarloMultiAssetBlackScholesModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	MertonModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	InhomogenousBachelierModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	InhomogeneousDisplacedLognomalModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HestonModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	BlackScholesModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	BachelierModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	MonteCarloMultiAssetBlackScholesModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	MertonModel.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	InhomogenousBachelierModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	InhomogeneousDisplacedLognomalModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HestonModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	BlackScholesModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	BachelierModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	MonteCarloMultiAssetBlackScholesModel.getInitialState()
RandomVariableInterface[]	MertonModel.getInitialState()
RandomVariableInterface[]	InhomogenousBachelierModel.getInitialState()
RandomVariableInterface[]	InhomogeneousDisplacedLognomalModel.getInitialState()
RandomVariableInterface[]	HestonModel.getInitialState()
RandomVariableInterface[]	BlackScholesModel.getInitialState()
RandomVariableInterface[]	BachelierModel.getInitialState()
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloMertonModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloBlackScholesModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloAssetModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloMertonModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	MonteCarloAssetModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getNumeraire(double time)
RandomVariableInterface	MonteCarloMertonModel.getNumeraire(double time)
RandomVariableInterface	MonteCarloBlackScholesModel.getNumeraire(double time)
RandomVariableInterface	MonteCarloAssetModel.getNumeraire(double time)
RandomVariableInterface	MertonModel.getNumeraire(double time)
RandomVariableInterface	InhomogenousBachelierModel.getNumeraire(double time)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.getNumeraire(double time)
RandomVariableInterface	HestonModel.getNumeraire(double time)
RandomVariableInterface	BlackScholesModel.getNumeraire(double time)
RandomVariableInterface	BachelierModel.getNumeraire(double time)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getNumeraire(double time) Returns the numeraire associated with the valuation measure used by this model.
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getNumeraire(int timeIndex)
RandomVariableInterface	MonteCarloMertonModel.getNumeraire(int timeIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getNumeraire(int timeIndex)
RandomVariableInterface	MonteCarloAssetModel.getNumeraire(int timeIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getNumeraire(int timeIndex) Returns the numeraire associated with the valuation measure used by this model.
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getRandomVariableForConstant(double value)
RandomVariableInterface	MonteCarloMertonModel.getRandomVariableForConstant(double value)
RandomVariableInterface	MonteCarloBlackScholesModel.getRandomVariableForConstant(double value)
RandomVariableInterface	MonteCarloAssetModel.getRandomVariableForConstant(double value)
RandomVariableInterface	InhomogenousBachelierModel.getRandomVariableForConstant(double value)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.getRandomVariableForConstant(double value)
RandomVariableInterface	HestonModel.getRandomVariableForConstant(double value)
RandomVariableInterface	BlackScholesModel.getRandomVariableForConstant(double value)
RandomVariableInterface	BachelierModel.getRandomVariableForConstant(double value)

Methods in net.finmath.montecarlo.assetderivativevaluation with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MertonModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogenousBachelierModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HestonModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BlackScholesModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BachelierModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	MonteCarloMultiAssetBlackScholesModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	MonteCarloMultiAssetBlackScholesModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	MertonModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	MertonModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	InhomogenousBachelierModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	InhomogenousBachelierModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	InhomogeneousDisplacedLognomalModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	InhomogeneousDisplacedLognomalModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HestonModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HestonModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	BlackScholesModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	BlackScholesModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	BachelierModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	BachelierModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	MonteCarloMultiAssetBlackScholesModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	MertonModel.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	InhomogenousBachelierModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	InhomogeneousDisplacedLognomalModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HestonModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	BlackScholesModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	BachelierModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)

Uses of RandomVariableInterface in net.finmath.montecarlo.assetderivativevaluation.products

Methods in net.finmath.montecarlo.assetderivativevaluation.products that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	LocalRiskMinimizingHedgePortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	FiniteDifferenceDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	EuropeanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BlackScholesHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	BlackScholesDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	BermudanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BasketOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	AsianOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)

Uses of RandomVariableInterface in net.finmath.montecarlo.conditionalexpectation

Methods in net.finmath.montecarlo.conditionalexpectation that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloConditionalExpectationRegression.getConditionalExpectation(RandomVariableInterface randomVariable)
RandomVariableInterface	MonteCarloConditionalExpectation.getConditionalExpectation(RandomVariableInterface randomVariable) Return the conditional expectation of a given random variable.

Methods in net.finmath.montecarlo.conditionalexpectation with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloConditionalExpectationRegression.getConditionalExpectation(RandomVariableInterface randomVariable)
RandomVariableInterface	MonteCarloConditionalExpectation.getConditionalExpectation(RandomVariableInterface randomVariable) Return the conditional expectation of a given random variable.
double[]	MonteCarloConditionalExpectationRegression.getLinearRegressionParameters(RandomVariableInterface dependents) Return the solution x of XTX x = XT y for a given y.

Constructors in net.finmath.montecarlo.conditionalexpectation with parameters of type RandomVariableInterface

Constructor and Description
MonteCarloConditionalExpectationRegression(RandomVariableInterface[] basisFunctions) Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegression(RandomVariableInterface[] basisFunctionsEstimator, RandomVariableInterface[] basisFunctionsPredictor) Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegression(RandomVariableInterface[] basisFunctionsEstimator, RandomVariableInterface[] basisFunctionsPredictor) Creates a class for conditional expectation estimation.

Uses of RandomVariableInterface in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getAssetValue(double time, int assetIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface[]	HybridAssetLIBORModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getNumeraire(int timeIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getRandomVariableForConstant(double value)

Uses of RandomVariableInterface in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	LIBORMarketModelStandard.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	LIBORMarketModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithShiftExtension.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	LIBORMarketModelStandard.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariableInterface[]	LIBORMarketModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
protected RandomVariableInterface	LIBORMarketModelStandard.getDriftEuler(int timeIndex, int componentIndex, RandomVariableInterface[] liborVectorStart)
RandomVariableInterface[]	LIBORMarketModelStandard.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORMarketModel.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModel.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORMarketModelStandard.getInitialState()
RandomVariableInterface[]	LIBORMarketModel.getInitialState()
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getInitialState()
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getInitialState()
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getInitialState()
RandomVariableInterface[]	HullWhiteModel.getInitialState()
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getLIBOR(double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getLIBOR(int timeIndex, int liborIndex) Return the forward rate for a given simulation time index and a given forward rate index.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORModelInterface.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORMarketModelStandard.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORMarketModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModelWithShiftExtension.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface[]	LIBORModelMonteCarloSimulationInterface.getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
RandomVariableInterface[]	LIBORModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	LIBORMarketModelStandard.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	LIBORMarketModel.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	HullWhiteModelWithShiftExtension.getNumeraire(double time)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getNumeraire(double time)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getNumeraire(double time)
RandomVariableInterface	HullWhiteModel.getNumeraire(double time)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getRandomVariableForConstant(double value)

Methods in net.finmath.montecarlo.interestrate with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	LIBORMarketModelStandard.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	LIBORMarketModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithShiftExtension.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	LIBORMarketModelStandard.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariableInterface[]	LIBORMarketModelStandard.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariableInterface[]	LIBORMarketModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariableInterface[]	LIBORMarketModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	HullWhiteModel.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
protected RandomVariableInterface	LIBORMarketModelStandard.getDriftEuler(int timeIndex, int componentIndex, RandomVariableInterface[] liborVectorStart)
RandomVariableInterface[]	LIBORMarketModelStandard.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORMarketModel.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteModel.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)

Uses of RandomVariableInterface in net.finmath.montecarlo.interestrate.modelplugins

Methods in net.finmath.montecarlo.interestrate.modelplugins that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	AbstractLIBORCovarianceModel.getCovariance(double time, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface	LIBORCovarianceModelFromVolatilityAndCorrelation.getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	AbstractLIBORCovarianceModel.getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface[]	AbstractLIBORCovarianceModel.getFactorLoading(double time, double component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time and a given component.
RandomVariableInterface[]	AbstractLIBORCovarianceModel.getFactorLoading(double time, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time and component index.
RandomVariableInterface[]	LIBORCovarianceModelStochasticVolatility.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORCovarianceModelFromVolatilityAndCorrelation.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORCovarianceModelExponentialForm7Param.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORCovarianceModelExponentialForm5Param.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteLocalVolatilityModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	BlendedLocalVolatilityModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
abstract RandomVariableInterface[]	AbstractLIBORCovarianceModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
RandomVariableInterface	LIBORCovarianceModelStochasticVolatility.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	LIBORCovarianceModelFromVolatilityAndCorrelation.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	HullWhiteLocalVolatilityModel.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	BlendedLocalVolatilityModel.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
abstract RandomVariableInterface	AbstractLIBORCovarianceModel.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex) Returns the pseudo inverse of the factor matrix.
RandomVariableInterface	LIBORVolatilityModelMaturityDependentFourParameterExponentialForm.getVolatility(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORVolatilityModelFromGivenMatrix.getVolatility(int timeIndex, int component)
RandomVariableInterface	LIBORVolatilityModelFourParameterExponentialFormIntegrated.getVolatility(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORVolatilityModelFourParameterExponentialForm.getVolatility(int timeIndex, int liborIndex)
abstract RandomVariableInterface	LIBORVolatilityModel.getVolatility(int timeIndex, int component) Implement this method to complete the implementation.

Methods in net.finmath.montecarlo.interestrate.modelplugins with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	AbstractLIBORCovarianceModel.getCovariance(double time, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface	LIBORCovarianceModelFromVolatilityAndCorrelation.getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	AbstractLIBORCovarianceModel.getCovariance(int timeIndex, int component1, int component2, RandomVariableInterface[] realizationAtTimeIndex) Returns the instantaneous covariance calculated from factor loadings.
RandomVariableInterface[]	AbstractLIBORCovarianceModel.getFactorLoading(double time, double component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time and a given component.
RandomVariableInterface[]	AbstractLIBORCovarianceModel.getFactorLoading(double time, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time and component index.
RandomVariableInterface[]	LIBORCovarianceModelStochasticVolatility.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORCovarianceModelFromVolatilityAndCorrelation.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORCovarianceModelExponentialForm7Param.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	LIBORCovarianceModelExponentialForm5Param.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	HullWhiteLocalVolatilityModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	BlendedLocalVolatilityModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
abstract RandomVariableInterface[]	AbstractLIBORCovarianceModel.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) Return the factor loading for a given time index and component index.
RandomVariableInterface	LIBORCovarianceModelStochasticVolatility.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	LIBORCovarianceModelFromVolatilityAndCorrelation.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariable	LIBORCovarianceModelExponentialForm7Param.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariable	LIBORCovarianceModelExponentialForm5Param.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	HullWhiteLocalVolatilityModel.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface	BlendedLocalVolatilityModel.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex)
abstract RandomVariableInterface	AbstractLIBORCovarianceModel.getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex) Returns the pseudo inverse of the factor matrix.

Uses of RandomVariableInterface in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, LIBORMarketModel model) Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	SwaptionSingleCurveAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SwaptionSingleCurve.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaptionSimple.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaptionAnalyticApproximationRebonato.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SwaptionAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Swaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwapLeg.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Swap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SimpleZeroSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SimpleSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SimpleCappedFlooredFloatingRateBond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Portfolio.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	MoneyMarketAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ForwardRateVolatilitySurfaceCurvature.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FlexiCap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	DigitalCaplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	CMSOption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Caplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Bond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BermudanSwaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValueForModifiedData(double evaluationTime, MonteCarloSimulationInterface monteCarloSimulationInterface, Map<String,Object> dataModified)
RandomVariableInterface	SwaptionSingleCurveAnalyticApproximation.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	SwaptionAnalyticApproximationRebonato.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	SwaptionAnalyticApproximation.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	ForwardRateVolatilitySurfaceCurvature.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the squared curvature of the LIBOR instantaneous variance.

Uses of RandomVariableInterface in net.finmath.montecarlo.interestrate.products.components

Methods in net.finmath.montecarlo.interestrate.products.components that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	Period.getCoupon(LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractPeriod.getCoupon(LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Notional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AccruingNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the end of a period, given a period.
RandomVariableInterface	Notional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AccruingNotional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the start of a period, given a period.
RandomVariableInterface	ProductCollection.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Period.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Option.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Numeraire.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	IndexedValue.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	ExposureEstimator.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Cashflow.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	AccrualAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractPeriod.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

Uses of RandomVariableInterface in net.finmath.montecarlo.interestrate.products.indices

Methods in net.finmath.montecarlo.interestrate.products.indices that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	FixedCoupon.getCoupon() Returns the coupon.
RandomVariableInterface	UnsupportedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TriggerIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TimeDiscreteEndOfMonthIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ProductIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	PowIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	PerformanceIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	MinIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	MaxIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LinearCombinationIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LIBORIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LaggedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FowardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FixedCoupon.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	DateIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ConstantMaturitySwaprate.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	CappedFlooredIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AnalyticModelIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AnalyticModelForwardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AccruedInterest.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)

Uses of RandomVariableInterface in net.finmath.montecarlo.model

Methods in net.finmath.montecarlo.model that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	AbstractModelInterface.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable) Applied the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
RandomVariableInterface[]	AbstractModelInterface.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) This method has to be implemented to return the drift, i.e.
RandomVariableInterface[]	AbstractModelInterface.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex) This method has to be implemented to return the factor loadings, i.e.
RandomVariableInterface[]	AbstractModelInterface.getInitialState() Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.
RandomVariableInterface[]	AbstractModel.getInitialValue() Returns the initial value of the model.
RandomVariableInterface	AbstractModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	AbstractModelInterface.getNumeraire(double time) Return the numeraire at a given time index.
RandomVariableInterface	AbstractModel.getProcessValue(int timeIndex, int componentIndex)

Methods in net.finmath.montecarlo.model with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	AbstractModelInterface.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable) Applied the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
RandomVariableInterface[]	AbstractModelInterface.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) This method has to be implemented to return the drift, i.e.
RandomVariableInterface[]	AbstractModelInterface.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) This method has to be implemented to return the drift, i.e.
RandomVariableInterface[]	AbstractModelInterface.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex) This method has to be implemented to return the factor loadings, i.e.

Uses of RandomVariableInterface in net.finmath.montecarlo.process

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

Modifier and Type	Method and Description
RandomVariableInterface	AbstractProcess.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	AbstractProcess.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	AbstractProcess.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	AbstractProcess.getInitialState()
RandomVariableInterface	ProcessInterface.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	ProcessEulerScheme.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	LinearInterpolatedTimeDiscreteProcess.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	LinearInterpolatedTimeDiscreteProcess.getProcessValue(double time, int component) Returns the (possibly interpolated) value of this stochastic process at a given time \( t \).
RandomVariableInterface	ProcessInterface.getProcessValue(int timeIndex, int component) This method returns the realization of a component of the process for a given time index.
RandomVariableInterface	ProcessEulerScheme.getProcessValue(int timeIndex, int componentIndex) This method returns the realization of the process at a certain time index.
RandomVariableInterface	LinearInterpolatedTimeDiscreteProcess.getProcessValue(int timeIndex, int component)

Methods in net.finmath.montecarlo.process with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	AbstractProcess.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	AbstractProcess.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	AbstractProcess.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	AbstractProcess.getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex)

Constructor parameters in net.finmath.montecarlo.process with type arguments of type RandomVariableInterface

Constructor and Description
LinearInterpolatedTimeDiscreteProcess(Map<Double,RandomVariableInterface> realizations) Create a time discrete process by linear interpolation of random variables.

Uses of RandomVariableInterface in net.finmath.montecarlo.process.component.factordrift

Methods in net.finmath.montecarlo.process.component.factordrift that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface[]	FactorDriftInterface.getFactorDrift(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariableInterface	FactorDriftInterface.getFactorDriftDeterminant(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariableInterface[]	FactorDriftInterface.getFactorScaling(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.

Methods in net.finmath.montecarlo.process.component.factordrift with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface[]	FactorDriftInterface.getFactorDrift(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariableInterface	FactorDriftInterface.getFactorDriftDeterminant(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
RandomVariableInterface[]	FactorDriftInterface.getFactorScaling(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.

Uses of RandomVariableInterface in net.finmath.montecarlo.products

Methods in net.finmath.montecarlo.products that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	PortfolioMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)

Uses of RandomVariableInterface in net.finmath.montecarlo.templatemethoddesign

Methods in net.finmath.montecarlo.templatemethoddesign that return RandomVariableInterface

Modifier and Type	Method and Description
abstract RandomVariableInterface	LogNormalProcess.getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	LogNormalProcess.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Get the the drift.
abstract RandomVariableInterface	LogNormalProcess.getFactorLoading(int timeIndex, int factor, int component, RandomVariableInterface[] realizationAtTimeIndex) This method should be overwritten and return the factor loading, i.e.
abstract RandomVariableInterface[]	LogNormalProcess.getInitialValue()
RandomVariableInterface	LogNormalProcess.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface[]	LogNormalProcess.getProcessValue(int timeIndex) This method returns the realization of the process at a certain time index.
RandomVariableInterface	LogNormalProcess.getProcessValue(int timeIndex, int componentIndex) This method returns the realization of the process at a certain time index.

Methods in net.finmath.montecarlo.templatemethoddesign with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
abstract RandomVariableInterface	LogNormalProcess.getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
abstract RandomVariableInterface	LogNormalProcess.getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	LogNormalProcess.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Get the the drift.
RandomVariableInterface[]	LogNormalProcess.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) Get the the drift.
abstract RandomVariableInterface	LogNormalProcess.getFactorLoading(int timeIndex, int factor, int component, RandomVariableInterface[] realizationAtTimeIndex) This method should be overwritten and return the factor loading, i.e.

Uses of RandomVariableInterface in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Methods in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloBlackScholesModel2.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel2.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel2.getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface	MonteCarloBlackScholesModel2.getFactorLoading(int timeIndex, int factor, int component, RandomVariableInterface[] realizationAtTimeIndex)
RandomVariableInterface[]	MonteCarloBlackScholesModel2.getInitialValue()
RandomVariableInterface	MonteCarloBlackScholesModel2.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloBlackScholesModel2.getNumeraire(double time)
RandomVariableInterface	MonteCarloBlackScholesModel2.getNumeraire(int timeIndex)
RandomVariableInterface	MonteCarloBlackScholesModel2.getRandomVariableForConstant(double value)

Methods in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloBlackScholesModel2.getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface	MonteCarloBlackScholesModel2.getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface	MonteCarloBlackScholesModel2.getFactorLoading(int timeIndex, int factor, int component, RandomVariableInterface[] realizationAtTimeIndex)

Uses of RandomVariableInterface in net.finmath.stochastic

Subinterfaces of RandomVariableInterface in net.finmath.stochastic

Modifier and Type	Interface and Description
interface	RandomVariableAccumulatorInterface The interface implemented by a mutable random variable accumulator.

Classes in net.finmath.stochastic that implement RandomVariableInterface

Modifier and Type	Class and Description
class	RandomVariableMutableClone Deprecated.

Methods in net.finmath.stochastic that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	RandomVariableMutableClone.abs() Deprecated.
RandomVariableInterface	RandomVariableInterface.abs() Applies x → Math.abs(x), i.e. x → |x| to this random variable.
RandomVariableInterface	RandomVariableMutableClone.accrue(RandomVariableInterface rate, double periodLength) Deprecated.
RandomVariableInterface	RandomVariableInterface.accrue(RandomVariableInterface rate, double periodLength) Applies x → x * (1.0 + rate * periodLength) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.add(double value) Deprecated.
RandomVariableInterface	RandomVariableInterface.add(double value) Applies x → x + value to this random variable.
RandomVariableInterface	RandomVariableMutableClone.add(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.add(RandomVariableInterface randomVariable) Applies x → x+randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.addProduct(RandomVariableInterface factor1, double factor2) Deprecated.
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, double factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	RandomVariableMutableClone.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2) Deprecated.
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	RandomVariableMutableClone.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Deprecated.
RandomVariableInterface	RandomVariableInterface.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x + numerator / denominator
RandomVariableInterface	RandomVariableMutableClone.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument) Deprecated.
RandomVariableInterface	RandomVariableInterface.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument) Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable.
RandomVariableInterface	RandomVariableMutableClone.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2) Deprecated.
RandomVariableInterface	RandomVariableInterface.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2) Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable.
RandomVariableInterface	RandomVariableMutableClone.apply(java.util.function.DoubleUnaryOperator operator) Deprecated.
RandomVariableInterface	RandomVariableInterface.apply(java.util.function.DoubleUnaryOperator operator) Applies x → operator(x) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative) Deprecated.
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	RandomVariableMutableClone.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative) Deprecated.
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	RandomVariableMutableClone.cache() Deprecated.
RandomVariableInterface	RandomVariableInterface.cache() Return a cacheable version of this object (often a self-reference).
RandomVariableInterface	RandomVariableMutableClone.cap(double cap) Deprecated.
default RandomVariableInterface	RandomVariableInterface.cap(double cap) Applies x → min(x,cap) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.cap(RandomVariableInterface cap) Deprecated.
RandomVariableInterface	RandomVariableInterface.cap(RandomVariableInterface cap) Applies x → min(x,cap) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.cos() Deprecated.
RandomVariableInterface	RandomVariableInterface.cos() Applies x → cos(x) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.discount(RandomVariableInterface rate, double periodLength) Deprecated.
RandomVariableInterface	RandomVariableInterface.discount(RandomVariableInterface rate, double periodLength) Applies x → x / (1.0 + rate * periodLength) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.div(double value) Deprecated.
RandomVariableInterface	RandomVariableInterface.div(double value) Applies x → x / value to this random variable.
RandomVariableInterface	RandomVariableMutableClone.div(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.div(RandomVariableInterface randomVariable) Applies x → x/randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.exp() Deprecated.
RandomVariableInterface	RandomVariableInterface.exp() Applies x → exp(x) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.floor(double floor) Deprecated.
RandomVariableInterface	RandomVariableInterface.floor(double floor) Applies x → max(x,floor) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.floor(RandomVariableInterface floor) Deprecated.
RandomVariableInterface	RandomVariableInterface.floor(RandomVariableInterface floor) Applies x → max(x,floor) to this random variable.
RandomVariableInterface	RandomVariableAccumulatorInterface.get()
RandomVariableInterface	RandomVariableAccumulatorInterface.get(double fromTime, double toTime)
RandomVariableInterface	RandomVariableMutableClone.getMutableCopy() Deprecated.
RandomVariableInterface	RandomVariableInterface.getMutableCopy() Deprecated.
RandomVariableInterface	RandomVariableMutableClone.invert() Deprecated.
RandomVariableInterface	RandomVariableInterface.invert() Applies x → 1/x to this random variable.
RandomVariableInterface	RandomVariableMutableClone.isNaN() Deprecated.
RandomVariableInterface	RandomVariableInterface.isNaN() Applies x → (Double.isNaN(x) ?
RandomVariableInterface	RandomVariableMutableClone.log() Deprecated.
RandomVariableInterface	RandomVariableInterface.log() Applies x → log(x) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.mult(double value) Deprecated.
RandomVariableInterface	RandomVariableInterface.mult(double value) Applies x → x * value to this random variable.
RandomVariableInterface	RandomVariableMutableClone.mult(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.mult(RandomVariableInterface randomVariable) Applies x → x*randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.pow(double exponent) Deprecated.
RandomVariableInterface	RandomVariableInterface.pow(double exponent) Applies x → pow(x,exponent) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.sin() Deprecated.
RandomVariableInterface	RandomVariableInterface.sin() Applies x → sin(x) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.sqrt() Deprecated.
RandomVariableInterface	RandomVariableInterface.sqrt() Applies x → sqrt(x) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.squared() Deprecated.
RandomVariableInterface	RandomVariableInterface.squared() Applies x → x * x to this random variable.
RandomVariableInterface	RandomVariableMutableClone.sub(double value) Deprecated.
RandomVariableInterface	RandomVariableInterface.sub(double value) Applies x → x - value to this random variable.
RandomVariableInterface	RandomVariableMutableClone.sub(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.sub(RandomVariableInterface randomVariable) Applies x → x-randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Deprecated.
RandomVariableInterface	RandomVariableInterface.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x - numerator / denominator

Methods in net.finmath.stochastic with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	RandomVariableMutableClone.accrue(RandomVariableInterface rate, double periodLength) Deprecated.
RandomVariableInterface	RandomVariableInterface.accrue(RandomVariableInterface rate, double periodLength) Applies x → x * (1.0 + rate * periodLength) to this random variable.
void	RandomVariableAccumulatorInterface.accumulate(double time, RandomVariableInterface randomVariable)
void	RandomVariableAccumulatorInterface.accumulate(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableMutableClone.add(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.add(RandomVariableInterface randomVariable) Applies x → x+randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.addProduct(RandomVariableInterface factor1, double factor2) Deprecated.
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, double factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	RandomVariableMutableClone.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2) Deprecated.
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	RandomVariableMutableClone.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Deprecated.
RandomVariableInterface	RandomVariableInterface.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x + numerator / denominator
RandomVariableInterface	RandomVariableMutableClone.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument) Deprecated.
RandomVariableInterface	RandomVariableInterface.apply(java.util.function.DoubleBinaryOperator operator, RandomVariableInterface argument) Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable.
RandomVariableInterface	RandomVariableMutableClone.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2) Deprecated.
RandomVariableInterface	RandomVariableInterface.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2) Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable.
RandomVariableInterface	RandomVariableMutableClone.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative) Deprecated.
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	RandomVariableMutableClone.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative) Deprecated.
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	RandomVariableMutableClone.cap(RandomVariableInterface cap) Deprecated.
RandomVariableInterface	RandomVariableInterface.cap(RandomVariableInterface cap) Applies x → min(x,cap) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.discount(RandomVariableInterface rate, double periodLength) Deprecated.
RandomVariableInterface	RandomVariableInterface.discount(RandomVariableInterface rate, double periodLength) Applies x → x / (1.0 + rate * periodLength) to this random variable.
RandomVariableInterface	RandomVariableMutableClone.div(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.div(RandomVariableInterface randomVariable) Applies x → x/randomVariable to this random variable.
boolean	RandomVariableMutableClone.equals(RandomVariableInterface randomVariable) Deprecated.
boolean	RandomVariableInterface.equals(RandomVariableInterface randomVariable) Compare this random variable with a given one
RandomVariableInterface	RandomVariableMutableClone.floor(RandomVariableInterface floor) Deprecated.
RandomVariableInterface	RandomVariableInterface.floor(RandomVariableInterface floor) Applies x → max(x,floor) to this random variable.
double	RandomVariableMutableClone.getAverage(RandomVariableInterface probabilities) Deprecated.
double	RandomVariableInterface.getAverage(RandomVariableInterface probabilities) Returns the expectation of this random variable for a given probability measure (weight).
double	RandomVariableMutableClone.getQuantile(double quantile, RandomVariableInterface probabilities) Deprecated.
double	RandomVariableInterface.getQuantile(double quantile, RandomVariableInterface probabilities) Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
double	RandomVariableMutableClone.getStandardDeviation(RandomVariableInterface probabilities) Deprecated.
double	RandomVariableInterface.getStandardDeviation(RandomVariableInterface probabilities) Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
double	RandomVariableMutableClone.getStandardError(RandomVariableInterface probabilities) Deprecated.
double	RandomVariableInterface.getStandardError(RandomVariableInterface probabilities) Returns the standard error (discretization error) of this random variable.
double	RandomVariableMutableClone.getVariance(RandomVariableInterface probabilities) Deprecated.
double	RandomVariableInterface.getVariance(RandomVariableInterface probabilities) Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
RandomVariableInterface	RandomVariableMutableClone.mult(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.mult(RandomVariableInterface randomVariable) Applies x → x*randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.sub(RandomVariableInterface randomVariable) Deprecated.
RandomVariableInterface	RandomVariableInterface.sub(RandomVariableInterface randomVariable) Applies x → x-randomVariable to this random variable.
RandomVariableInterface	RandomVariableMutableClone.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Deprecated.
RandomVariableInterface	RandomVariableInterface.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x - numerator / denominator

Constructors in net.finmath.stochastic with parameters of type RandomVariableInterface

Constructor and Description
RandomVariableMutableClone(RandomVariableInterface randomVariable) Deprecated.