Uses of Class
net.finmath.montecarlo.model.AbstractProcessModel

Packages that use AbstractProcessModel

Package	Description
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models	Equity models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.

Uses of AbstractProcessModel in net.finmath.montecarlo.assetderivativevaluation

Subclasses of AbstractProcessModel in net.finmath.montecarlo.assetderivativevaluation

Modifier and Type	Class and Description
class	MonteCarloMultiAssetBlackScholesModel This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel.

Uses of AbstractProcessModel in net.finmath.montecarlo.assetderivativevaluation.models

Subclasses of AbstractProcessModel in net.finmath.montecarlo.assetderivativevaluation.models

Modifier and Type	Class and Description
class	BachelierModel This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	BlackScholesModel This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	BlackScholesModelWithCurves This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	DisplacedLognomalModelExperimental This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	HestonModel This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	InhomogeneousDisplacedLognomalModel This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	InhomogenousBachelierModel This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	MertonModel This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class	VarianceGammaModel This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).

Uses of AbstractProcessModel in net.finmath.montecarlo.interestrate.models

Subclasses of AbstractProcessModel in net.finmath.montecarlo.interestrate.models

Modifier and Type	Class and Description
class	HullWhiteModel Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithConstantCoeff Implements a Hull-White model with constant coefficients.
class	HullWhiteModelWithDirectSimulation Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithShiftExtension Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	LIBORMarketModelFromCovarianceModel Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class	LIBORMarketModelStandard Implements a basic LIBOR market model with some drift approximation methods.
class	LIBORMarketModelWithTenorRefinement Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see Skip navigation links Overview Package Class Use Tree Deprecated Index Help Copyright © 2019 Christian P. Fries. Prev Next Frames No Frames All Classes Copyright © 2019. All rights reserved.