Uses of Class
net.finmath.montecarlo.AbstractRandomVariableFactory

Packages that use AbstractRandomVariableFactory

Package	Description
net.finmath.analytic.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.modelling.descriptor	Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.modelfactory	Provides classes to build models from descriptors.
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.automaticdifferentiation	Provides classes adding automatic differentiation capabilities to objects relying on RandomVariableInterface objects.
net.finmath.montecarlo.automaticdifferentiation.backward	Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward	Provides the implementation of forward automatic differentiation.
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.covariancemodels	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.modelplugins	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.

Uses of AbstractRandomVariableFactory in net.finmath.analytic.model

Constructors in net.finmath.analytic.model with parameters of type AbstractRandomVariableFactory

Constructor and Description
AnalyticModel(AbstractRandomVariableFactory randomVariableFactory) Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
AnalyticModel(AbstractRandomVariableFactory randomVariableFactory, CurveInterface[] curves) Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.

Uses of AbstractRandomVariableFactory in net.finmath.modelling.descriptor

Constructors in net.finmath.modelling.descriptor with parameters of type AbstractRandomVariableFactory

Constructor and Description
BlackScholesModelMonteCarloFactory(AbstractRandomVariableFactory randomVariableFactory, IndependentIncrementsInterface brownianMotion)
HestonModelMonteCarloFactory(HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory, IndependentIncrementsInterface brownianMotion)

Uses of AbstractRandomVariableFactory in net.finmath.modelling.modelfactory

Constructors in net.finmath.modelling.modelfactory with parameters of type AbstractRandomVariableFactory

Constructor and Description
BlackScholesModelMonteCarloFactory(AbstractRandomVariableFactory randomVariableFactory, IndependentIncrementsInterface brownianMotion)
HestonModelMonteCarloFactory(HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory, IndependentIncrementsInterface brownianMotion)

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo

Subclasses of AbstractRandomVariableFactory in net.finmath.montecarlo

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

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

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

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo.assetderivativevaluation

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

Constructor and Description
BlackScholesModel(double initialValue, double riskFreeRate, double volatility, AbstractRandomVariableFactory randomVariableFactory) Create a Monte-Carlo simulation using given time discretization.
BlackScholesModel(RandomVariableInterface initialValue, RandomVariableInterface riskFreeRate, RandomVariableInterface volatility, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractModel.
BlackScholesModelWithCurves(Double initialValue, DiscountCurveInterface discountCurveForForwardRate, Double volatility, DiscountCurveInterface discountCurveForDiscountRate, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractModel.
BlackScholesModelWithCurves(RandomVariableInterface initialValue, DiscountCurveInterface discountCurveForForwardRate, RandomVariableInterface volatility, DiscountCurveInterface discountCurveForDiscountRate, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractModel.
HestonModel(double initialValue, double riskFreeRate, double volatility, double discountRate, double theta, double kappa, double xi, double rho, HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory) Create a Heston model.
HestonModel(HestonModelDescriptor descriptor, HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory) Create the model from a descriptor.
HestonModel(RandomVariableInterface initialValue, DiscountCurveInterface discountCurveForForwardRate, RandomVariableInterface volatility, DiscountCurveInterface discountCurveForDiscountRate, RandomVariableInterface theta, RandomVariableInterface kappa, RandomVariableInterface xi, RandomVariableInterface rho, HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory) Create a Heston model.
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 AbstractRandomVariableFactory in net.finmath.montecarlo.automaticdifferentiation

Subclasses of AbstractRandomVariableFactory in net.finmath.montecarlo.automaticdifferentiation

Modifier and Type	Class and Description
class	AbstractRandomVariableDifferentiableFactory A random variable factory extending AbstractRandomVariableFactory providing random variables implementing RandomVariableDifferentiableInterface.

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

Constructor and Description
AbstractRandomVariableDifferentiableFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable) Construct an object extending AbstractRandomVariableDifferentiableFactory with a specific AbstractRandomVariableFactory for the storage of values.

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo.automaticdifferentiation.backward

Subclasses of AbstractRandomVariableFactory in net.finmath.montecarlo.automaticdifferentiation.backward

Modifier and Type	Class and Description
class	RandomVariableDifferentiableAADFactory

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

Constructor and Description
RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable)
RandomVariableDifferentiableAADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable, Map<String,Object> properties)

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo.automaticdifferentiation.forward

Subclasses of AbstractRandomVariableFactory in net.finmath.montecarlo.automaticdifferentiation.forward

Modifier and Type	Class and Description
class	RandomVariableDifferentiableADFactory

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

Constructor and Description
RandomVariableDifferentiableADFactory(AbstractRandomVariableFactory randomVariableFactoryForNonDifferentiable)

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo.interestrate

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

Constructor and Description

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

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

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

Constructor and Description
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurveInterface forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
LIBORVolatilityModelFourParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface a, RandomVariableInterface b, RandomVariableInterface c, RandomVariableInterface d, boolean isCalibrateable) Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d

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

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

Constructor and Description
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurveInterface forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
LIBORVolatilityModelFourParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable) Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFromGivenMatrix(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[][] volatility) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[][] volatility, boolean isCalibrateable) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[][] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstantLegacy(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[][] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstantLegacy(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)