Uses of Interface
net.finmath.time.TimeDiscretizationInterface

Packages that use TimeDiscretizationInterface

Package	Description
net.finmath.analytic.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.analytic.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
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.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.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.
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.model	Provides an interface an a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.templatemethoddesign	Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.swing	Provides utilities for Java swing (used in finmath applets).
net.finmath.time	Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.

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

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

Modifier and Type	Method and Description
static DiscountCurveInterface	DiscountCurve.createDiscountFactorsFromForwardRates(String name, TimeDiscretizationInterface tenor, RandomVariableInterface[] forwardRates) Create a discount curve from given time discretization and forward rates.

Uses of TimeDiscretizationInterface in net.finmath.analytic.products

Methods in net.finmath.analytic.products with parameters of type TimeDiscretizationInterface

Modifier and Type	Method and Description
static RandomVariableInterface	Swap.getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve)
static RandomVariableInterface	Swap.getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve)
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.

Uses of TimeDiscretizationInterface in net.finmath.marketdata.model.curves

Methods in net.finmath.marketdata.model.curves with parameters of type TimeDiscretizationInterface

Modifier and Type	Method and Description
static DiscountCurveInterface	DiscountCurve.createDiscountFactorsFromForwardRates(String name, TimeDiscretizationInterface tenor, double[] forwardRates) Create a discount curve from given time discretization and forward rates.

Uses of TimeDiscretizationInterface in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return TimeDiscretizationInterface

Modifier and Type	Method and Description
TimeDiscretizationInterface	SwaptionMarketData.getOptionMaturities()
TimeDiscretizationInterface	AbstractSwaptionMarketData.getOptionMaturities()
TimeDiscretizationInterface	SwaptionMarketData.getTenor()
TimeDiscretizationInterface	AbstractSwaptionMarketData.getTenor()

Constructors in net.finmath.marketdata.model.volatilities with parameters of type TimeDiscretizationInterface

Constructor and Description
CapletVolatilitiesParametricFourParameterPicewiseConstant(String name, LocalDate referenceDate, double a, double b, double c, double d, TimeDiscretizationInterface timeDiscretization) Create a model with parameters a,b,c,d.
SwaptionMarketData(ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve, TimeDiscretizationInterface optionMatruities, TimeDiscretizationInterface tenor, double swapPeriodLength, double[][] impliedVolatilities)

Uses of TimeDiscretizationInterface in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type TimeDiscretizationInterface

Modifier and Type	Method and Description
static double	Swap.getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve)
static double	Swap.getForwardSwapRate(TimeDiscretizationInterface fixTenor, TimeDiscretizationInterface floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve)
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretizationInterface tenor, DiscountCurveInterface discountCurve) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretizationInterface tenor, ForwardCurveInterface forwardCurve) Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

Uses of TimeDiscretizationInterface in net.finmath.montecarlo

Methods in net.finmath.montecarlo that return TimeDiscretizationInterface

Modifier and Type	Method and Description
TimeDiscretizationInterface	JumpProcessIncrements.getTimeDiscretization()
TimeDiscretizationInterface	IndependentIncrementsInterface.getTimeDiscretization() Returns the time discretization used for this set of time-discrete Brownian increments.
TimeDiscretizationInterface	CorrelatedBrownianMotion.getTimeDiscretization()
TimeDiscretizationInterface	BrownianMotionView.getTimeDiscretization()
TimeDiscretizationInterface	BrownianMotion.getTimeDiscretization()
TimeDiscretizationInterface	BrownianBridge.getTimeDiscretization()
TimeDiscretizationInterface	MonteCarloSimulationInterface.getTimeDiscretization() Returns the timeDiscretization.
TimeDiscretizationInterface	GammaProcess.getTimeDiscretization()
TimeDiscretizationInterface	BrownianMotionInterface.getTimeDiscretization() Returns the time discretization used for this set of time-discrete Brownian increments.
TimeDiscretizationInterface	IndependentIncrements.getTimeDiscretization()

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

Modifier and Type	Method and Description
JumpProcessIncrements	JumpProcessIncrements.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
IndependentIncrementsInterface	IndependentIncrementsInterface.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization) Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
BrownianMotionInterface	CorrelatedBrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianMotionView.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianBridge.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
IndependentIncrementsInterface	GammaProcess.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)
BrownianMotionInterface	BrownianMotionInterface.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization) Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
IndependentIncrementsInterface	IndependentIncrements.getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface newTimeDiscretization)

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

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.
BrownianMotion(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed) Construct a Brownian motion.
BrownianMotion(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a Brownian motion.
GammaProcess(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape) Construct a Gamma process with a given shape parameter.
GammaProcess(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape, double scale) Construct a Gamma process with a given shape parameter.
IndependentIncrements(TimeDiscretizationInterface timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, IntFunction<IntFunction<DoubleUnaryOperator>> inverseCumulativeDistributionFunctions) Construct the simulation of independet increments.
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) Construct a jump process.
JumpProcessIncrements(TimeDiscretizationInterface timeDiscretization, double[] jumpIntensities, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a jump process.

Uses of TimeDiscretizationInterface in net.finmath.montecarlo.assetderivativevaluation

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	MonteCarloBlackScholesModel.getTimeDiscretization()
TimeDiscretizationInterface	MonteCarloAssetModel.getTimeDiscretization()
TimeDiscretizationInterface	MonteCarloMertonModel.getTimeDiscretization()

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

Constructor and Description
MonteCarloBlackScholesModel(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility) Create a Monte-Carlo simulation using given time discretization.
MonteCarloMertonModel(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, int seed, double initialValue, double riskFreeRate, double volatility, double jumpIntensity, double jumpSizeMean, double jumpSizeStDev) Create a Monte-Carlo simulation using given time discretization and given parameters.
MonteCarloMultiAssetBlackScholesModel(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, double[] initialValues, double riskFreeRate, double[] volatilities, double[][] correlations) Create a Monte-Carlo simulation using given time discretization.

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

Constructors in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type TimeDiscretizationInterface

Constructor and Description
AsianOption(double maturity, double strike, TimeDiscretizationInterface timesForAveraging) Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double maturity, double strike, TimeDiscretizationInterface timesForAveraging, Integer underlyingIndex) Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationInterface modelUsedForHedging, TimeDiscretizationInterface timeDiscretizationForRebalancing, int numberOfBins) Construction of a variance minimizing hedge portfolio.

Uses of TimeDiscretizationInterface in net.finmath.montecarlo.hybridassetinterestrate

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	HybridAssetLIBORModelMonteCarloSimulation.getLiborPeriodDiscretization()
TimeDiscretizationInterface	HybridAssetLIBORModelMonteCarloSimulation.getTimeDiscretization()

Uses of TimeDiscretizationInterface in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	HullWhiteModelWithDirectSimulation.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORModelInterface.getLiborPeriodDiscretization() The tenor time discretization of the forward rate curve.
TimeDiscretizationInterface	HullWhiteModelWithShiftExtension.getLiborPeriodDiscretization()
TimeDiscretizationInterface	HullWhiteModel.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORModelMonteCarloSimulationInterface.getLiborPeriodDiscretization() Returns the libor period discretization as time discretization representing start and end dates of periods.
TimeDiscretizationInterface	LIBORMarketModel.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORModelMonteCarloSimulation.getLiborPeriodDiscretization()
TimeDiscretizationInterface	TermStructureModelMonteCarloSimulation.getLiborPeriodDiscretization()
TimeDiscretizationInterface	HullWhiteModelWithConstantCoeff.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORMarketModelStandard.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORModelMonteCarloSimulation.getTimeDiscretization()
TimeDiscretizationInterface	TermStructureModelMonteCarloSimulation.getTimeDiscretization()

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

Modifier and Type	Method and Description
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getLIBORForStateVariable(TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[] stateVariables, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getStateVariableForPeriod(TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[] stateVariables, double periodStart, double periodEnd)

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

Constructor and Description
HullWhiteModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, ShortRateVolailityModelInterface volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModelInterface.
HullWhiteModelWithConstantCoeff(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, double meanReversion, double volatility, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModelInterface.
HullWhiteModelWithDirectSimulation(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, ShortRateVolailityModelInterface volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModelInterface.
HullWhiteModelWithShiftExtension(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, ShortRateVolailityModelInterface volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModelInterface.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
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.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModelStandard.CalibrationItem[] calibrationItems) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelWithTenorRefinement(TimeDiscretizationInterface[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervalls, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, TermStructureCovarianceModelInterface covarianceModel, LIBORMarketModelWithTenorRefinement.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a model for given covariance.

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

Methods in net.finmath.montecarlo.interestrate.covariancemodels that return TimeDiscretizationInterface

Modifier and Type	Method and Description
TimeDiscretizationInterface	LIBORVolatilityModel.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORVolatilityModel.getTimeDiscretization()

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

Constructor and Description
AbstractLIBORCovarianceModelParametric(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors) Constructor consuming time discretizations, which are handled by the super class.
LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, RandomVariableInterface[] parameters)
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)
LIBORVolatilityModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization)
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
LIBORVolatilityModelFourParameterExponentialForm(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
LIBORVolatilityModelFromGivenMatrix(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, RandomVariableInterface[][] volatility) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, RandomVariableInterface[][] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, RandomVariableInterface[] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, RandomVariableInterface volatility, boolean isCalibrateable)

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

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	LIBORVolatilityModel.getLiborPeriodDiscretization()
TimeDiscretizationInterface	LIBORCorrelationModel.getLiborPeriodDiscretization()
TimeDiscretizationInterface	AbstractLIBORCovarianceModel.getLiborPeriodDiscretization() The forward rate time discretization associated with this model (defines the components).
TimeDiscretizationInterface	ShortRateVolatilityModelHoLee.getTimeDiscretization()
TimeDiscretizationInterface	ShortRateVolatilityModel.getTimeDiscretization()
TimeDiscretizationInterface	LIBORVolatilityModel.getTimeDiscretization()
TimeDiscretizationInterface	ShortRateVolailityModelInterface.getTimeDiscretization() Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.
TimeDiscretizationInterface	LIBORCorrelationModel.getTimeDiscretization()
TimeDiscretizationInterface	AbstractLIBORCovarianceModel.getTimeDiscretization() The simulation time discretization associated with this model.

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

Modifier and Type	Method and Description
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)

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

Constructor and Description
AbstractLIBORCovarianceModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors) Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORCovarianceModelParametric(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors) Constructor consuming time discretizations, which are handled by the super class.
LIBORCorrelationModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization)
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double a)
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double a, boolean isCalibrateable) Create a correlation model with an exponentially decaying correlation structure and the given number of factors.
LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double a, double b, double c, boolean isCalibrateable)
LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors)
LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double[] parameters)
LIBORCovarianceModelExponentialForm7Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors)
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)
LIBORVolatilityModel(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization)
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
LIBORVolatilityModelFourParameterExponentialForm(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
LIBORVolatilityModelFourParameterExponentialFormIntegrated(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable) Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{
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.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[][] volatility) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double[] a, double[] b, double[] c, double[] d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, double c, double d)
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)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double volatility)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(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)
LIBORVolatilityModelPiecewiseConstantLegacy(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double volatility)
LIBORVolatilityModelPiecewiseConstantLegacy(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility)
LIBORVolatilityModelPiecewiseConstantLegacy(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstantLegacy(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface simulationTimeDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double volatility, boolean isCalibrateable)
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, TimeDiscretizationInterface timeToMaturityDiscretization, double[] volatility) Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b) Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, double a, double b, boolean isCalibrateable) Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
ShortRateVolatilityModel(TimeDiscretizationInterface timeDiscretization, double[] volatility, double[] meanReversion)
TermStructureTenorTimeScalingPicewiseConstant(TimeDiscretizationInterface timeDiscretization, double[] parameters)

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

Methods in net.finmath.montecarlo.interestrate.products with parameters of type TimeDiscretizationInterface

Modifier and Type	Method and Description
static AbstractLIBORMonteCarloProduct	SwaptionFactory.createSwaption(String className, double swaprate, TimeDiscretizationInterface swapTenor, String valueUnitAsString)
Map<String,double[]>	SwaptionAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretizationInterface liborPeriodDiscretization, DiscountCurveInterface discountCurveInterface, ForwardCurveInterface forwardCurveInterface) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getLogSwapRateDerivative(TimeDiscretizationInterface liborPeriodDiscretization, DiscountCurveInterface discountCurveInterface, ForwardCurveInterface forwardCurveInterface) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionAnalyticApproximationRebonato.getLogSwaprateDerivative(TimeDiscretizationInterface liborPeriodDiscretization, DiscountCurveInterface discountCurveInterface, ForwardCurveInterface forwardCurveInterface, double[] swapTenor) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionSingleCurveAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardCurveInterface, double[] swapTenor) This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getSwapRateDerivative(TimeDiscretizationInterface liborPeriodDiscretization, DiscountCurveInterface discountCurveInterface, ForwardCurveInterface forwardCurveInterface)

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type TimeDiscretizationInterface

Constructor and Description
Swaption(double exerciseDate, TimeDiscretizationInterface swapTenor, double swaprate) Creates a swaption using a TimeDiscretization
SwaptionAnalyticApproximation(double swaprate, TimeDiscretizationInterface swapTenor) Create an analytic swaption approximation product for log normal forward rate model.
SwaptionAnalyticApproximationRebonato(double swaprate, TimeDiscretizationInterface swapTenor) Create an analytic swaption approximation product for log normal forward rate model.
SwaptionGeneralizedAnalyticApproximation(double swaprate, TimeDiscretizationInterface swapTenor, SwaptionGeneralizedAnalyticApproximation.StateSpace stateSpace) Create an analytic swaption approximation product for log normal forward rate model.
SwaptionSimple(double swaprate, TimeDiscretizationInterface swapTenor) Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
SwaptionSingleCurve(double exerciseDate, TimeDiscretizationInterface swapTenor, double swaprate) Creates a swaption using a TimeDiscretization
SwaptionSingleCurveAnalyticApproximation(double swaprate, TimeDiscretizationInterface swapTenor) Create an analytic swaption approximation product for log normal forward rate model.

Uses of TimeDiscretizationInterface in net.finmath.montecarlo.model

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	AbstractModelInterface.getTimeDiscretization() Returns the time discretization of the model parameters.
TimeDiscretizationInterface	AbstractModel.getTimeDiscretization() Get the time discretization of the model (simulation time).

Uses of TimeDiscretizationInterface in net.finmath.montecarlo.process

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	LinearInterpolatedTimeDiscreteProcess.getTimeDiscretization()
TimeDiscretizationInterface	ProcessInterface.getTimeDiscretization()
TimeDiscretizationInterface	AbstractProcess.getTimeDiscretization()

Constructors in net.finmath.montecarlo.process with parameters of type TimeDiscretizationInterface

Constructor and Description
AbstractProcess(TimeDiscretizationInterface timeDiscretization) Create a discretization scheme / a time discrete process.

Uses of TimeDiscretizationInterface in net.finmath.montecarlo.templatemethoddesign

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

Modifier and Type	Method and Description
TimeDiscretizationInterface	LogNormalProcess.getTimeDiscretization()

Constructors in net.finmath.montecarlo.templatemethoddesign with parameters of type TimeDiscretizationInterface

Constructor and Description
LogNormalProcess(TimeDiscretizationInterface timeDiscretization, int numberOfComponents, int numberOfPaths) Create a simulation of log normal process.
LogNormalProcess(TimeDiscretizationInterface timeDiscretization, int numberOfComponents, int numberOfFactors, int numberOfPaths, int seed) Create a simulation of log normal process.

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

Constructors in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation with parameters of type TimeDiscretizationInterface

Constructor and Description
MonteCarloBlackScholesModel2(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility) Create a Monte-Carlo simulation using given time discretization.
MonteCarloBlackScholesModel2(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility, int seed) Create a Monte-Carlo simulation using given time discretization.

Uses of TimeDiscretizationInterface in net.finmath.swing

Methods in net.finmath.swing with parameters of type TimeDiscretizationInterface

Modifier and Type	Method and Description
void	JNumberField.setAdmissibleValues(TimeDiscretizationInterface timeDiscretization)

Uses of TimeDiscretizationInterface in net.finmath.time

Classes in net.finmath.time that implement TimeDiscretizationInterface

Modifier and Type	Class and Description
class	Tenor Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.
class	TimeDiscretization This class represents a set of discrete points in time.

Methods in net.finmath.time that return TimeDiscretizationInterface

Modifier and Type	Method and Description
TimeDiscretizationInterface	TimeDiscretization.getTimeShiftedTimeDiscretization(double timeShift)
TimeDiscretizationInterface	TimeDiscretizationInterface.getTimeShiftedTimeDiscretization(double timeShift) Return a new time discretization where all time points have been shifted by a given time shift.
TimeDiscretizationInterface	TimeDiscretization.intersect(TimeDiscretizationInterface that)
TimeDiscretizationInterface	TimeDiscretizationInterface.intersect(TimeDiscretizationInterface that) Returns the intersection of this time discretization with another one.
TimeDiscretizationInterface	TimeDiscretization.union(TimeDiscretizationInterface that)
TimeDiscretizationInterface	TimeDiscretizationInterface.union(TimeDiscretizationInterface that) Returns the union of this time discretization with another one.

Methods in net.finmath.time with parameters of type TimeDiscretizationInterface

Modifier and Type	Method and Description
TimeDiscretizationInterface	TimeDiscretization.intersect(TimeDiscretizationInterface that)
TimeDiscretizationInterface	TimeDiscretizationInterface.intersect(TimeDiscretizationInterface that) Returns the intersection of this time discretization with another one.
TimeDiscretizationInterface	TimeDiscretization.union(TimeDiscretizationInterface that)
TimeDiscretizationInterface	TimeDiscretizationInterface.union(TimeDiscretizationInterface that) Returns the union of this time discretization with another one.

Constructors in net.finmath.time with parameters of type TimeDiscretizationInterface

Constructor and Description
RegularSchedule(TimeDiscretizationInterface timeDiscretization) Create a schedule from a time discretization.