Uses of Interface
net.finmath.stochastic.RandomVariableInterface

Packages that use RandomVariableInterface

Package	Description
net.finmath.analytic.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.analytic.interpolation
net.finmath.analytic.model
net.finmath.analytic.model.curves
net.finmath.analytic.products
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.crosscurrency
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.optimizer	This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
net.finmath.stochastic	Interfaces specifying operations on random variables.

Uses of RandomVariableInterface in net.finmath.analytic.calibration

Methods in net.finmath.analytic.calibration that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface[]	ParameterObjectInterface.getParameter() Get the current parameter associated with the state of the objects.
RandomVariableInterface[]	ParameterAggregation.getParameter()
RandomVariableInterface[]	ParameterTransformation.getParameter(RandomVariableInterface[] solverParameter) Return the original parameter for the given (unbounded) solver parameter.
RandomVariableInterface[]	ParameterTransformation.getSolverParameter(RandomVariableInterface[] parameter) Return the (unbounded) solver parameter for the given original parameter.

Methods in net.finmath.analytic.calibration with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
ParameterObjectInterface	ParameterObjectInterface.getCloneForParameter(RandomVariableInterface[] value) Create a clone with a modified parameter.
CurveInterface	ParameterAggregation.getCloneForParameter(RandomVariableInterface[] value)
Map<E,RandomVariableInterface[]>	ParameterAggregation.getObjectsToModifyForParameter(RandomVariableInterface[] parameter)
RandomVariableInterface[]	ParameterTransformation.getParameter(RandomVariableInterface[] solverParameter) Return the original parameter for the given (unbounded) solver parameter.
RandomVariableInterface[]	ParameterTransformation.getSolverParameter(RandomVariableInterface[] parameter) Return the (unbounded) solver parameter for the given original parameter.
void	ParameterObjectInterface.setParameter(RandomVariableInterface[] parameter) Deprecated.
void	ParameterAggregation.setParameter(RandomVariableInterface[] parameter)

Uses of RandomVariableInterface in net.finmath.analytic.interpolation

Methods in net.finmath.analytic.interpolation that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	RationalFunctionInterpolation.getValue(double x) Get an interpolated value for a given argument x.

Constructors in net.finmath.analytic.interpolation with parameters of type RandomVariableInterface

Constructor and Description
RationalFunctionInterpolation(double[] points, RandomVariableInterface[] values) Generate a rational function interpolation from a given set of points.
RationalFunctionInterpolation(double[] points, RandomVariableInterface[] values, RationalFunctionInterpolation.InterpolationMethod interpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod extrapolationMethod) Generate a rational function interpolation from a given set of points using the specified interpolation and extrapolation method.

Uses of RandomVariableInterface in net.finmath.analytic.model

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

Modifier and Type	Method and Description
RandomVariableInterface	AnalyticModelInterface.getRandomVariableForConstant(double value)
RandomVariableInterface	AnalyticModel.getRandomVariableForConstant(double value)

Uses of RandomVariableInterface in net.finmath.analytic.model.curves

Methods in net.finmath.analytic.model.curves that return RandomVariableInterface

Modifier and Type	Method and Description
static RandomVariableInterface[]	DiscountCurve.createZeroRates(double time, double[] maturities, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	DiscountCurveInterface.getDiscountFactor(AnalyticModelInterface model, double maturity) Returns the discount factor for the corresponding maturity.
RandomVariableInterface	DiscountCurveFromForwardCurve.getDiscountFactor(AnalyticModelInterface model, double maturity)
RandomVariableInterface	DiscountCurve.getDiscountFactor(AnalyticModelInterface model, double maturity)
RandomVariableInterface	DiscountCurveInterface.getDiscountFactor(double maturity) Returns the discount factor for the corresponding maturity.
RandomVariableInterface	DiscountCurveFromForwardCurve.getDiscountFactor(double maturity)
RandomVariableInterface	DiscountCurve.getDiscountFactor(double maturity)
RandomVariableInterface	ForwardCurveInterface.getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
RandomVariableInterface	ForwardCurveFromDiscountCurve.getForward(AnalyticModelInterface model, double fixingTime)
RandomVariableInterface	ForwardCurve.getForward(AnalyticModelInterface model, double fixingTime)
RandomVariableInterface	ForwardCurveInterface.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time and paymentOffset.
RandomVariableInterface	ForwardCurveFromDiscountCurve.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset)
RandomVariableInterface	ForwardCurve.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
RandomVariableInterface[]	AbstractForwardCurve.getForwards(AnalyticModelInterface model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
RandomVariableInterface[]	ForwardCurveFromDiscountCurve.getParameter()
RandomVariableInterface[]	DiscountCurveFromForwardCurve.getParameter()
RandomVariableInterface[]	Curve.getParameter()
RandomVariableInterface	ForwardCurveFromDiscountCurve.getValue(AnalyticModelInterface model, double time)
RandomVariableInterface	DiscountCurveFromForwardCurve.getValue(AnalyticModelInterface model, double time)
RandomVariableInterface	CurveInterface.getValue(AnalyticModelInterface model, double time) Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
RandomVariableInterface	Curve.getValue(AnalyticModelInterface model, double time)
RandomVariableInterface	ForwardCurveFromDiscountCurve.getValue(double time)
RandomVariableInterface	CurveInterface.getValue(double time) Returns the value for the time using the interpolation method associated with this curve.
RandomVariableInterface	Curve.getValue(double time)
RandomVariableInterface	AbstractCurve.getValue(double time)
RandomVariableInterface[]	AbstractCurve.getValues(double[] times) Return a vector of values corresponding to a given vector of times.
RandomVariableInterface	DiscountCurve.getZeroRate(double maturity) Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
RandomVariableInterface[]	DiscountCurve.getZeroRates(double[] maturities) Returns the zero rates for a given vector maturities.

Methods in net.finmath.analytic.model.curves with parameters of type RandomVariableInterface

Modifier and Type	Method and Description
protected void	DiscountCurve.addDiscountFactor(double maturity, RandomVariableInterface discountFactor, boolean isParameter)
protected void	ForwardCurve.addPoint(double time, RandomVariableInterface value, boolean isParameter)
CurveBuilderInterface	CurveBuilderInterface.addPoint(double time, RandomVariableInterface value, boolean isParameter) Add a point to the curve.
protected void	Curve.addPoint(double time, RandomVariableInterface value, boolean isParameter) Add a point to this curve.
CurveBuilderInterface	Curve.CurveBuilder.addPoint(double time, RandomVariableInterface value, boolean isParameter)
static DiscountCurve	DiscountCurve.createDiscountCurveFromAnnualizedZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariableInterface[] givenAnnualizedZeroRates, boolean[] isParameter, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromAnnualizedZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariableInterface[] givenAnnualizedZeroRates, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromDiscountFactors(String name, double[] times, RandomVariableInterface[] givenDiscountFactors) Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromDiscountFactors(String name, double[] times, RandomVariableInterface[] givenDiscountFactors, boolean[] isParameter, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromDiscountFactors(String name, double[] times, RandomVariableInterface[] givenDiscountFactors, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromDiscountFactors(String name, LocalDate referenceDate, double[] times, RandomVariableInterface[] givenDiscountFactors, boolean[] isParameter, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromZeroRates(String name, Date referenceDate, double[] times, RandomVariableInterface[] givenZeroRates, boolean[] isParameter, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromZeroRates(String name, double[] times, RandomVariableInterface[] givenZeroRates) Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariableInterface[] givenZeroRates, boolean[] isParameter, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
static DiscountCurve	DiscountCurve.createDiscountCurveFromZeroRates(String name, LocalDate referenceDate, double[] times, RandomVariableInterface[] givenZeroRates, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity) Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
static DiscountCurveInterface	DiscountCurve.createDiscountFactorsFromForwardRates(String name, TimeDiscretizationInterface tenor, RandomVariableInterface[] forwardRates) Create a discount curve from given time discretization and forward rates.
static ForwardCurve	ForwardCurve.createForwardCurveFromDiscountFactors(String name, double[] times, RandomVariableInterface[] givenDiscountFactors, double paymentOffset) Create a forward curve from given times and discount factors.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, double[] times, RandomVariableInterface[] givenForwards, AnalyticModelInterface model, String discountCurveName, double paymentOffset) Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, double[] times, RandomVariableInterface[] givenForwards, double paymentOffset) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
CurveInterface	CurveInterface.getCloneForParameter(RandomVariableInterface[] value)
CurveInterface	Curve.getCloneForParameter(RandomVariableInterface[] parameter)
CurveInterface	AbstractCurve.getCloneForParameter(RandomVariableInterface[] value)
void	DiscountCurveFromForwardCurve.setParameter(RandomVariableInterface[] parameter)
void	Curve.setParameter(RandomVariableInterface[] parameter)

Constructors in net.finmath.analytic.model.curves with parameters of type RandomVariableInterface

Constructor and Description
Curve(String name, LocalDate referenceDate, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity, double[] times, RandomVariableInterface[] values) Create a curve with a given name, reference date and an interpolation method from given points

Uses of RandomVariableInterface in net.finmath.analytic.products

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

Modifier and Type	Method and Description
static RandomVariableInterface	Swap.getForwardSwapRate(ScheduleInterface fixSchedule, ScheduleInterface floatSchedule, ForwardCurveInterface forwardCurve)
static RandomVariableInterface	Swap.getForwardSwapRate(ScheduleInterface fixSchedule, ScheduleInterface floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModelInterface model)
static RandomVariableInterface	Swap.getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve)
static RandomVariableInterface	Swap.getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve)
RandomVariableInterface	ForwardRateAgreement.getRate(AnalyticModelInterface model) Return the par FRA rate for a given curve.
RandomVariableInterface	Deposit.getRate(AnalyticModelInterface model) Return the deposit rate implied by the given model's curve.
static RandomVariableInterface	SwapAnnuity.getSwapAnnuity(double evaluationTime, ScheduleInterface schedule, DiscountCurveInterface discountCurve, AnalyticModelInterface model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static RandomVariableInterface	SwapAnnuity.getSwapAnnuity(ScheduleInterface schedule, DiscountCurveInterface discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static RandomVariableInterface	SwapAnnuity.getSwapAnnuity(ScheduleInterface schedule, ForwardCurveInterface forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
static RandomVariableInterface	SwapAnnuity.getSwapAnnuity(TimeDiscretizationInterface tenor, DiscountCurveInterface discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static RandomVariableInterface	SwapAnnuity.getSwapAnnuity(TimeDiscretizationInterface tenor, ForwardCurveInterface forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
RandomVariableInterface	AbstractAnalyticProduct.getValue(AnalyticModelInterface model)
RandomVariableInterface	SwapLeg.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	SwapAnnuity.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Swap.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Portfolio.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Performance.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	MarketForwardRateAgreement.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	ForwardRateAgreement.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Forward.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Deposit.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Cashflow.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	AnalyticProductInterface.getValue(double evaluationTime, AnalyticModelInterface model) Return the valuation of the product using the given model.

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(DoubleBinaryOperator operatorOuter, DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariable.apply(DoubleBinaryOperator operatorOuter, DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLowMemory.apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariable.apply(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(DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariable.apply(DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariableLowMemory.average()
RandomVariableInterface	RandomVariableLazyEvaluation.average()
RandomVariableInterface	RandomVariable.average()
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)
default RandomVariableInterface[]	IndependentIncrementsInterface.getIncrement(int timeIndex) Return the increment for a given timeIndex.
RandomVariableInterface	JumpProcessIncrements.getIncrement(int timeIndex, int factor)
RandomVariableInterface	IndependentIncrementsInterface.getIncrement(int timeIndex, int factor) Return the increment for a given timeIndex and given factor.
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	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(DoubleBinaryOperator operatorOuter, DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariable.apply(DoubleBinaryOperator operatorOuter, DoubleBinaryOperator operatorInner, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	RandomVariableLowMemory.apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableLazyEvaluation.apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariable.apply(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, 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, 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	DisplacedLognomalModelExperimental.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BlackScholesModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BachelierModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MertonModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogenousBachelierModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HestonModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	DisplacedLognomalModelExperimental.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BlackScholesModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BachelierModel.applyStateSpaceTransformInverse(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[]	DisplacedLognomalModelExperimental.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[]	DisplacedLognomalModelExperimental.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[]	DisplacedLognomalModelExperimental.getInitialState()
RandomVariableInterface[]	BlackScholesModel.getInitialState()
RandomVariableInterface[]	BachelierModel.getInitialState()
RandomVariableInterface[]	BlackScholesModel.getInitialValue() Return the initial value of this model.
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	DisplacedLognomalModelExperimental.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	MertonModel.getRandomVariableForConstant(double value)
RandomVariableInterface	InhomogenousBachelierModel.getRandomVariableForConstant(double value)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.getRandomVariableForConstant(double value)
RandomVariableInterface	HestonModel.getRandomVariableForConstant(double value)
RandomVariableInterface	DisplacedLognomalModelExperimental.getRandomVariableForConstant(double value)
RandomVariableInterface	BlackScholesModel.getRandomVariableForConstant(double value)
RandomVariableInterface	BachelierModel.getRandomVariableForConstant(double value)
RandomVariableInterface	HestonModel.getRiskFreeRate() Returns the risk free rate parameter of this model.
RandomVariableInterface	BlackScholesModel.getRiskFreeRate() Returns the risk free rate parameter of this model.
RandomVariableInterface	HestonModel.getVolatility() Returns the volatility parameter of this model.
RandomVariableInterface	BlackScholesModel.getVolatility() Returns the volatility parameter of this model.

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	DisplacedLognomalModelExperimental.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BlackScholesModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BachelierModel.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	MertonModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogenousBachelierModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	InhomogeneousDisplacedLognomalModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HestonModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	DisplacedLognomalModelExperimental.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BlackScholesModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	BachelierModel.applyStateSpaceTransformInverse(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[]	DisplacedLognomalModelExperimental.getDrift(int timeIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface[]	DisplacedLognomalModelExperimental.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[]	DisplacedLognomalModelExperimental.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)

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

Constructor and Description
BlackScholesModel(RandomVariableInterface initialValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, AbstractRandomVariableFactory randomVariableFactory) Create a Monte-Carlo simulation using given time discretization.
HestonModel(RandomVariableInterface initialValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, RandomVariableInterface discountRate, RandomVariableInterface theta, RandomVariableInterface kappa, RandomVariableInterface xi, RandomVariableInterface rho, HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory) Create a Heston model.

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	BermudanOption.getLastValuationExerciseTime()
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	DigitalOption.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	BermudanDigitalOption.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)

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

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloConditionalExpectationRegression.getConditionalExpectation(RandomVariableInterface randomVariable)
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.crosscurrency

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

Modifier and Type	Method and Description
RandomVariableInterface	CrossCurrencyTermStructureModelMonteCarloSimulationInterface.getExchangeRate(String fromCurve, String toCurve, double time) Return the (cross curve or currency) exchange rate for a given simulation time.
RandomVariableInterface	CrossCurrencyTermStructureModelMonteCarloSimulationInterface.getForwardRate(String curve, double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	CrossCurrencyTermStructureModelMonteCarloSimulationInterface.getNumeraire(double time) Return the numeraire at a given time.

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	LIBORMarketModelWithTenorRefinement.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
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	LIBORMarketModelWithTenorRefinement.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	LIBORMarketModelStandard.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	LIBORMarketModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithShiftExtension.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	LIBORMarketModelWithTenorRefinement.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[]	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[]	LIBORMarketModelWithTenorRefinement.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
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[]	LIBORMarketModelWithTenorRefinement.getInitialState()
RandomVariableInterface[]	LIBORMarketModelStandard.getInitialState()
RandomVariableInterface[]	LIBORMarketModel.getInitialState()
RandomVariableInterface[]	HullWhiteModelWithShiftExtension.getInitialState()
RandomVariableInterface[]	HullWhiteModelWithDirectSimulation.getInitialState()
RandomVariableInterface[]	HullWhiteModelWithConstantCoeff.getInitialState()
RandomVariableInterface[]	HullWhiteModel.getInitialState()
RandomVariableInterface	TermStructureModelMonteCarloSimulationInterface.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	TermStructureModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	TermStructureModelInterface.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelStandard.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModelWithShiftExtension.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getLIBOR(int timeIndex, double periodStart, double periodEnd)
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
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	LIBORMarketModelWithTenorRefinement.getLIBORForStateVariable(TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[] stateVariables, double periodStart, double periodEnd)
RandomVariableInterface[]	TermStructureModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface[]	LIBORModelMonteCarloSimulationInterface.getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
RandomVariableInterface[]	LIBORModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	TermStructureModelMonteCarloSimulationInterface.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getNumeraire(double time) Return the numeraire at a given 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	TermStructureModelMonteCarloSimulation.getRandomVariableForConstant(double value)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getRandomVariableForConstant(double value)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getRandomVariableForConstant(double value)
RandomVariableInterface	LIBORMarketModelStandard.getRandomVariableForConstant(double value)
RandomVariableInterface	LIBORMarketModel.getRandomVariableForConstant(double value)
RandomVariableInterface	HullWhiteModelWithShiftExtension.getRandomVariableForConstant(double value)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getRandomVariableForConstant(double value)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getRandomVariableForConstant(double value)
RandomVariableInterface	HullWhiteModel.getRandomVariableForConstant(double value)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getStateVariable(int timeIndex, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getStateVariableForPeriod(TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[] stateVariables, double periodStart, double periodEnd)

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

Modifier and Type	Method and Description
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable)
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	LIBORMarketModelWithTenorRefinement.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	LIBORMarketModelStandard.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	LIBORMarketModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithShiftExtension.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface	HullWhiteModel.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
RandomVariableInterface[]	LIBORMarketModelWithTenorRefinement.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[]	LIBORMarketModelWithTenorRefinement.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[]	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[]	LIBORMarketModelWithTenorRefinement.getFactorLoading(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex)
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	LIBORMarketModelWithTenorRefinement.getLIBORForStateVariable(TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[] stateVariables, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getStateVariableForPeriod(TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[] stateVariables, double periodStart, double periodEnd)

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[]	TermStructureFactorLoadingsModelInterface.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model) Return the factor loading for a given time and a term structure period.
RandomVariableInterface[]	TermStructCovarianceModelFromLIBORCovarianceModelParametric.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model)
RandomVariableInterface[]	TermStructCovarianceModelFromLIBORCovarianceModel.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model)
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[]	DisplacedLocalVolatilityModel.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	DisplacedLocalVolatilityModel.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	LIBORVolatilityModelTimeHomogenousPiecewiseConstant.getVolatility(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORVolatilityModelPiecewiseConstant.getVolatility(int timeIndex, int liborIndex)
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[]	TermStructureFactorLoadingsModelInterface.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model) Return the factor loading for a given time and a term structure period.
RandomVariableInterface[]	TermStructCovarianceModelFromLIBORCovarianceModelParametric.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model)
RandomVariableInterface[]	TermStructCovarianceModelFromLIBORCovarianceModel.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretizationInterface periodDiscretization, RandomVariableInterface[] realizationAtTimeIndex, TermStructureModelInterface model)
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[]	DisplacedLocalVolatilityModel.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	DisplacedLocalVolatilityModel.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) Applies the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
default RandomVariableInterface	AbstractModelInterface.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
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)
default RandomVariableInterface	AbstractModelInterface.getRandomVariableForConstant(double value) Return a random variable initialized with a constant using the models random variable factory.

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

Modifier and Type	Method and Description
RandomVariableInterface	AbstractModelInterface.applyStateSpaceTransform(int componentIndex, RandomVariableInterface randomVariable) Applies the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
default RandomVariableInterface	AbstractModelInterface.applyStateSpaceTransformInverse(int componentIndex, RandomVariableInterface randomVariable)
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.applyStateSpaceTransformInverse(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.applyStateSpaceTransformInverse(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.optimizer

Methods in net.finmath.optimizer that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface[]	StochasticOptimizerInterface.getBestFitParameters() Get the best fit parameter vector.
RandomVariableInterface[]	StochasticLevenbergMarquardt.getBestFitParameters()
RandomVariableInterface	StochasticLevenbergMarquardt.getMeanSquaredError(RandomVariableInterface[] value)
RandomVariableInterface	StochasticOptimizerInterface.getRootMeanSquaredError()
RandomVariableInterface	StochasticLevenbergMarquardt.getRootMeanSquaredError()

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

Modifier and Type	Method and Description
StochasticLevenbergMarquardt	StochasticLevenbergMarquardt.getCloneWithModifiedTargetValues(RandomVariableInterface[] newTargetVaues, RandomVariableInterface[] newWeights, boolean isUseBestParametersAsInitialParameters) Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
StochasticLevenbergMarquardt	StochasticLevenbergMarquardt.getCloneWithModifiedTargetValues(RandomVariableInterface[] newTargetVaues, RandomVariableInterface[] newWeights, boolean isUseBestParametersAsInitialParameters) Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
RandomVariableInterface	StochasticLevenbergMarquardt.getMeanSquaredError(RandomVariableInterface[] value)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterSteps, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterSteps, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterSteps, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterSteps, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryLevenbergMarquardt.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterSteps, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterStep, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterStep, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterStep, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterStep, RandomVariableInterface[] targetValues)
StochasticOptimizerInterface	StochasticOptimizerFactoryInterface.getOptimizer(StochasticOptimizerInterface.ObjectiveFunction objectiveFunction, RandomVariableInterface[] initialParameters, RandomVariableInterface[] lowerBound, RandomVariableInterface[] upperBound, RandomVariableInterface[] parameterStep, RandomVariableInterface[] targetValues)
void	StochasticLevenbergMarquardt.setDerivatives(RandomVariableInterface[] parameters, RandomVariableInterface[][] derivatives) The derivative of the objective function.
void	StochasticLevenbergMarquardt.setDerivatives(RandomVariableInterface[] parameters, RandomVariableInterface[][] derivatives) The derivative of the objective function.
void	StochasticLevenbergMarquardt.setErrorMeanSquaredCurrent(RandomVariableInterface errorMeanSquaredCurrent)
void	StochasticOptimizerInterface.ObjectiveFunction.setValues(RandomVariableInterface[] parameters, RandomVariableInterface[] values)
void	StochasticOptimizerInterface.ObjectiveFunction.setValues(RandomVariableInterface[] parameters, RandomVariableInterface[] values)
abstract void	StochasticLevenbergMarquardt.setValues(RandomVariableInterface[] parameters, RandomVariableInterface[] values) The objective function.
abstract void	StochasticLevenbergMarquardt.setValues(RandomVariableInterface[] parameters, RandomVariableInterface[] values) The objective function.

Method parameters in net.finmath.optimizer with type arguments of type RandomVariableInterface

Modifier and Type	Method and Description
StochasticLevenbergMarquardt	StochasticLevenbergMarquardt.getCloneWithModifiedTargetValues(List<RandomVariableInterface> newTargetVaues, List<RandomVariableInterface> newWeights, boolean isUseBestParametersAsInitialParameters) Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
StochasticLevenbergMarquardt	StochasticLevenbergMarquardt.getCloneWithModifiedTargetValues(List<RandomVariableInterface> newTargetVaues, List<RandomVariableInterface> newWeights, boolean isUseBestParametersAsInitialParameters) Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.

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

Constructor and Description
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, int maxIteration, int numberOfThreads) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, int maxIteration, int numberOfThreads) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, RandomVariableInterface[] weights, RandomVariableInterface[] parameterSteps, int maxIteration, RandomVariableInterface errorTolerance, ExecutorService executorService) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, RandomVariableInterface[] weights, RandomVariableInterface[] parameterSteps, int maxIteration, RandomVariableInterface errorTolerance, ExecutorService executorService) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, RandomVariableInterface[] weights, RandomVariableInterface[] parameterSteps, int maxIteration, RandomVariableInterface errorTolerance, ExecutorService executorService) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, RandomVariableInterface[] weights, RandomVariableInterface[] parameterSteps, int maxIteration, RandomVariableInterface errorTolerance, ExecutorService executorService) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariableInterface[] initialParameters, RandomVariableInterface[] targetValues, RandomVariableInterface[] weights, RandomVariableInterface[] parameterSteps, int maxIteration, RandomVariableInterface errorTolerance, ExecutorService executorService) Create a Levenberg-Marquardt solver.

Constructor parameters in net.finmath.optimizer with type arguments of type RandomVariableInterface

Constructor and Description
StochasticLevenbergMarquardt(List<RandomVariableInterface> initialParameters, List<RandomVariableInterface> targetValues, int maxIteration, ExecutorService executorService) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(List<RandomVariableInterface> initialParameters, List<RandomVariableInterface> targetValues, int maxIteration, ExecutorService executorService) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(List<RandomVariableInterface> initialParameters, List<RandomVariableInterface> targetValues, int maxIteration, int numberOfThreads) Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(List<RandomVariableInterface> initialParameters, List<RandomVariableInterface> targetValues, int maxIteration, int numberOfThreads) Create a Levenberg-Marquardt solver.

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	Scalar A scalar value implementing the RandomVariableInterface.

Methods in net.finmath.stochastic that return RandomVariableInterface

Modifier and Type	Method and Description
RandomVariableInterface	Scalar.abs()
RandomVariableInterface	RandomVariableInterface.abs() Applies x → Math.abs(x), i.e. x → |x| to this random variable.
RandomVariableInterface	Scalar.accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableInterface.accrue(RandomVariableInterface rate, double periodLength) Applies x → x * (1.0 + rate * periodLength) to this random variable.
RandomVariableInterface	Scalar.add(double value)
RandomVariableInterface	RandomVariableInterface.add(double value) Applies x → x + value to this random variable.
RandomVariableInterface	Scalar.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.add(RandomVariableInterface randomVariable) Applies x → x+randomVariable to this random variable.
RandomVariableInterface	Scalar.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, double factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	Scalar.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	Scalar.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableInterface.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x + numerator / denominator
default RandomVariableInterface	RandomVariableInterface.addSumProduct(List<RandomVariableInterface> factor1, List<RandomVariableInterface> factor2) Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
RandomVariableInterface	Scalar.apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableInterface.apply(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	Scalar.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
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	Scalar.apply(DoubleUnaryOperator operator)
RandomVariableInterface	RandomVariableInterface.apply(DoubleUnaryOperator operator) Applies x → operator(x) to this random variable.
RandomVariableInterface	Scalar.average()
RandomVariableInterface	RandomVariableInterface.average() Returns a random variable which is deterministic and corresponds the expectation of this random variable.
RandomVariableInterface	Scalar.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	Scalar.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	Scalar.cache()
RandomVariableInterface	RandomVariableInterface.cache() Return a cacheable version of this object (often a self-reference).
default RandomVariableInterface	RandomVariableInterface.cap(double cap) Applies x → min(x,cap) to this random variable.
RandomVariableInterface	Scalar.cap(RandomVariableInterface cap)
RandomVariableInterface	RandomVariableInterface.cap(RandomVariableInterface cap) Applies x → min(x,cap) to this random variable.
RandomVariableInterface	Scalar.cos()
RandomVariableInterface	RandomVariableInterface.cos() Applies x → cos(x) to this random variable.
RandomVariableInterface	Scalar.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableInterface.discount(RandomVariableInterface rate, double periodLength) Applies x → x / (1.0 + rate * periodLength) to this random variable.
RandomVariableInterface	Scalar.div(double value)
RandomVariableInterface	RandomVariableInterface.div(double value) Applies x → x / value to this random variable.
RandomVariableInterface	Scalar.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.div(RandomVariableInterface randomVariable) Applies x → x/randomVariable to this random variable.
RandomVariableInterface	Scalar.exp()
RandomVariableInterface	RandomVariableInterface.exp() Applies x → exp(x) to this random variable.
RandomVariableInterface	Scalar.floor(double floor)
RandomVariableInterface	RandomVariableInterface.floor(double floor) Applies x → max(x,floor) to this random variable.
RandomVariableInterface	Scalar.floor(RandomVariableInterface floor)
RandomVariableInterface	RandomVariableInterface.floor(RandomVariableInterface floor) Applies x → max(x,floor) to this random variable.
RandomVariableInterface	RandomVariableAccumulatorInterface.get()
RandomVariableInterface	RandomVariableAccumulatorInterface.get(double fromTime, double toTime)
default RandomVariableInterface	RandomVariableInterface.getConditionalExpectation(ConditionalExpectationEstimatorInterface conditionalExpectationOperator) Returns the conditional expectation using a given conditional expectation estimator.
RandomVariableInterface	ConditionalExpectationEstimatorInterface.getConditionalExpectation(RandomVariableInterface randomVariable) Return the conditional expectation of a given random variable.
RandomVariableInterface	Scalar.invert()
RandomVariableInterface	RandomVariableInterface.invert() Applies x → 1/x to this random variable.
RandomVariableInterface	Scalar.isNaN()
RandomVariableInterface	RandomVariableInterface.isNaN() Applies x → (Double.isNaN(x) ?
RandomVariableInterface	Scalar.log()
RandomVariableInterface	RandomVariableInterface.log() Applies x → log(x) to this random variable.
RandomVariableInterface	Scalar.mult(double value)
RandomVariableInterface	RandomVariableInterface.mult(double value) Applies x → x * value to this random variable.
RandomVariableInterface	Scalar.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.mult(RandomVariableInterface randomVariable) Applies x → x*randomVariable to this random variable.
RandomVariableInterface	Scalar.pow(double exponent)
RandomVariableInterface	RandomVariableInterface.pow(double exponent) Applies x → pow(x,exponent) to this random variable.
RandomVariableInterface	Scalar.sin()
RandomVariableInterface	RandomVariableInterface.sin() Applies x → sin(x) to this random variable.
RandomVariableInterface	Scalar.sqrt()
RandomVariableInterface	RandomVariableInterface.sqrt() Applies x → sqrt(x) to this random variable.
RandomVariableInterface	Scalar.squared()
RandomVariableInterface	RandomVariableInterface.squared() Applies x → x * x to this random variable.
RandomVariableInterface	Scalar.sub(double value)
RandomVariableInterface	RandomVariableInterface.sub(double value) Applies x → x - value to this random variable.
RandomVariableInterface	Scalar.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.sub(RandomVariableInterface randomVariable) Applies x → x-randomVariable to this random variable.
RandomVariableInterface	Scalar.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
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	Scalar.accrue(RandomVariableInterface rate, double periodLength)
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	Scalar.add(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.add(RandomVariableInterface randomVariable) Applies x → x+randomVariable to this random variable.
RandomVariableInterface	Scalar.addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, double factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	Scalar.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	RandomVariableInterface.addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2) Applies x → x + factor1 * factor2
RandomVariableInterface	Scalar.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableInterface.addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x + numerator / denominator
RandomVariableInterface	Scalar.apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	RandomVariableInterface.apply(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	Scalar.apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
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	Scalar.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	Scalar.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	RandomVariableInterface.barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative) Applies x → (trigger ≥ 0 ?
RandomVariableInterface	Scalar.cap(RandomVariableInterface cap)
RandomVariableInterface	RandomVariableInterface.cap(RandomVariableInterface cap) Applies x → min(x,cap) to this random variable.
RandomVariableInterface	Scalar.discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	RandomVariableInterface.discount(RandomVariableInterface rate, double periodLength) Applies x → x / (1.0 + rate * periodLength) to this random variable.
RandomVariableInterface	Scalar.div(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.div(RandomVariableInterface randomVariable) Applies x → x/randomVariable to this random variable.
boolean	Scalar.equals(RandomVariableInterface randomVariable)
boolean	RandomVariableInterface.equals(RandomVariableInterface randomVariable) Compare this random variable with a given one
RandomVariableInterface	Scalar.floor(RandomVariableInterface floor)
RandomVariableInterface	RandomVariableInterface.floor(RandomVariableInterface floor) Applies x → max(x,floor) to this random variable.
double	Scalar.getAverage(RandomVariableInterface probabilities)
double	RandomVariableInterface.getAverage(RandomVariableInterface probabilities) Returns the expectation of this random variable for a given probability measure (weight).
RandomVariableInterface	ConditionalExpectationEstimatorInterface.getConditionalExpectation(RandomVariableInterface randomVariable) Return the conditional expectation of a given random variable.
double	Scalar.getQuantile(double quantile, RandomVariableInterface probabilities)
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	Scalar.getStandardDeviation(RandomVariableInterface probabilities)
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	Scalar.getStandardError(RandomVariableInterface probabilities)
double	RandomVariableInterface.getStandardError(RandomVariableInterface probabilities) Returns the standard error (discretization error) of this random variable.
double	Scalar.getVariance(RandomVariableInterface probabilities)
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	Scalar.mult(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.mult(RandomVariableInterface randomVariable) Applies x → x*randomVariable to this random variable.
RandomVariableInterface	Scalar.sub(RandomVariableInterface randomVariable)
RandomVariableInterface	RandomVariableInterface.sub(RandomVariableInterface randomVariable) Applies x → x-randomVariable to this random variable.
RandomVariableInterface	Scalar.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	RandomVariableInterface.subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator) Applies x → x - numerator / denominator

Method parameters in net.finmath.stochastic with type arguments of type RandomVariableInterface

Modifier and Type	Method and Description
default RandomVariableInterface	RandomVariableInterface.addSumProduct(List<RandomVariableInterface> factor1, List<RandomVariableInterface> factor2) Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
default RandomVariableInterface	RandomVariableInterface.addSumProduct(List<RandomVariableInterface> factor1, List<RandomVariableInterface> factor2) Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}