Uses of Class
net.finmath.montecarlo.AbstractRandomVariableFactory

Packages that use AbstractRandomVariableFactory

Package	Description
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.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.

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo

Subclasses of AbstractRandomVariableFactory in net.finmath.montecarlo

Modifier and Type	Class and Description
class	RandomVariableFactory A factory (helper class) to create random variables.
class	RandomVariableLazyEvaluationFactory

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

Constructor and Description
BrownianMotion(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a Brownian motion.
IndependentIncrements(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, IntFunction<IntFunction<DoubleUnaryOperator>> inverseCumulativeDistributionFunctions, AbstractRandomVariableFactory randomVariableFactory) Construct the simulation of independent increments.
JumpProcessIncrements(TimeDiscretizationInterface timeDiscretization, double[] jumpIntensities, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a jump process.

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo.interestrate

Constructors in net.finmath.montecarlo.interestrate with parameters of type AbstractRandomVariableFactory

Constructor and Description

LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.

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

Constructors in net.finmath.montecarlo.interestrate.modelplugins with parameters of type AbstractRandomVariableFactory

Constructor and Description
LIBORVolatilityModelFourParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable) Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFromGivenMatrix(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[][] volatility) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)