Uses of Class
net.finmath.montecarlo.AbstractRandomVariableFactory

Packages that use AbstractRandomVariableFactory

Package	Description
net.finmath.marketdata2.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
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.models	Equity models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.automaticdifferentiation	Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable 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.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.models.covariance	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.marketdata2.model

Constructors in net.finmath.marketdata2.model with parameters of type AbstractRandomVariableFactory

Constructor and Description
AnalyticModelFromCurvesAndVols(AbstractRandomVariableFactory randomVariableFactory) Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
AnalyticModelFromCurvesAndVols(AbstractRandomVariableFactory randomVariableFactory, Curve[] 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.modelfactory

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

Constructor and Description
AssetModelMonteCarloFactory(AbstractRandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme) Create the factory.
BlackScholesModelMonteCarloFactory(AbstractRandomVariableFactory randomVariableFactory, IndependentIncrements brownianMotion)
HestonModelMonteCarloFactory(HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory, IndependentIncrements 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
BrownianMotionLazyInit(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a Brownian motion.
IndependentIncrementsFromICDF(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, IntFunction<IntFunction<DoubleUnaryOperator>> inverseCumulativeDistributionFunctions, AbstractRandomVariableFactory randomVariableFactory) Construct the simulation of independent increments.
JumpProcessIncrements(TimeDiscretization timeDiscretization, double[] jumpIntensities, int numberOfPaths, int seed, AbstractRandomVariableFactory randomVariableFactory) Construct a jump process.

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

Constructors in net.finmath.montecarlo.assetderivativevaluation.models 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(RandomVariable initialValue, RandomVariable riskFreeRate, RandomVariable volatility, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelWithCurves(Double initialValue, DiscountCurve discountCurveForForwardRate, Double volatility, DiscountCurve discountCurveForDiscountRate, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelWithCurves(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, AbstractRandomVariableFactory randomVariableFactory) Create a Black-Scholes specification implementing AbstractProcessModel.
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(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, RandomVariable theta, RandomVariable kappa, RandomVariable xi, RandomVariable rho, HestonModel.Scheme scheme, AbstractRandomVariableFactory randomVariableFactory) Create a Heston model.
HestonModel(RandomVariable initialValue, RandomVariable riskFreeRate, RandomVariable volatility, RandomVariable discountRate, RandomVariable theta, RandomVariable kappa, RandomVariable xi, RandomVariable 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 RandomVariableDifferentiable.

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.models

Methods in net.finmath.montecarlo.interestrate.models with parameters of type AbstractRandomVariableFactory

Modifier and Type	Method and Description
static HullWhiteModel	HullWhiteModel.of(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

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

Constructor and Description
HullWhiteModel(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.

Uses of AbstractRandomVariableFactory in net.finmath.montecarlo.interestrate.models.covariance

Constructors in net.finmath.montecarlo.interestrate.models.covariance 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, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
LIBORVolatilityModelFourParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization 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(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable a, RandomVariable b, RandomVariable c, RandomVariable d, boolean isCalibrateable) Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFromGivenMatrix(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility, boolean isCalibrateable) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable) Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[] a, double[] b, double[] c, double[] d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d)
LIBORVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double[][] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization 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.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] 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(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, boolean isCalibrateable) Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable a, RandomVariable b, boolean isCalibrateable) Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
ShortRateVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable)