Uses of Interface
net.finmath.montecarlo.model.ProcessModel

Packages that use ProcessModel

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.crosscurrency	Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
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.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.model	Provides an interface and 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.

Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation

Classes in net.finmath.montecarlo.assetderivativevaluation that implement ProcessModel

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.

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

Modifier and Type	Method and Description
ProcessModel	MonteCarloAssetModel.getModel() Returns the AbstractProcessModel used for this Monte-Carlo simulation.

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

Constructor and Description
MonteCarloAssetModel(ProcessModel model, MonteCarloProcess process) Create a Monte-Carlo simulation using given process discretization scheme.

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

Classes in net.finmath.montecarlo.assetderivativevaluation.models that implement ProcessModel

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).

Methods in net.finmath.montecarlo.assetderivativevaluation.models that return ProcessModel

Modifier and Type	Method and Description
ProcessModel	MertonModel.getCloneWithModifiedData(Map<String,Object> dataModified)
ProcessModel	VarianceGammaModel.getCloneWithModifiedData(Map<String,Object> dataModified)

Uses of ProcessModel in net.finmath.montecarlo.crosscurrency

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

Modifier and Type	Method and Description
ProcessModel	CrossCurrencyTermStructureMonteCarloSimulationModel.getModel() Returns the underlying model.

Uses of ProcessModel in net.finmath.montecarlo.interestrate

Subinterfaces of ProcessModel in net.finmath.montecarlo.interestrate

Modifier and Type	Interface and Description
interface	LIBORMarketModel Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
interface	LIBORModel
interface	TermStructureModel

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

Modifier and Type	Method and Description
ProcessModel	TermStructureMonteCarloSimulationModel.getModel() Returns the underlying model.

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

Classes in net.finmath.montecarlo.interestrate.models that implement ProcessModel

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 Uses of ProcessModel in net.finmath.montecarlo.model Classes in net.finmath.montecarlo.model that implement ProcessModel Modifier and Type Class and Description class AbstractProcessModel This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel. Methods in net.finmath.montecarlo.model that return ProcessModel Modifier and Type Method and Description ProcessModel ProcessModel.getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified. Uses of ProcessModel in net.finmath.montecarlo.process Methods in net.finmath.montecarlo.process with parameters of type ProcessModel Modifier and Type Method and Description void MonteCarloProcess.setModel(ProcessModel model) Sets the model to be used. void MonteCarloProcessFromProcessModel.setModel(ProcessModel model) Skip navigation links Overview Package Class Use Tree Deprecated Index Help Copyright © 2019 Christian P. Fries. Prev Next Frames No Frames All Classes Copyright © 2020. All rights reserved.