Uses of Package
net.finmath.montecarlo.assetderivativevaluation.models
| Package | Description |
|---|---|
| net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
|
| 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. |
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Classes in net.finmath.montecarlo.assetderivativevaluation.models used by net.finmath.modelling.modelfactory Class Description HestonModel.Scheme Truncation schemes to be used in the calculation of drift and diffusion coefficients. -
Classes in net.finmath.montecarlo.assetderivativevaluation.models used by net.finmath.montecarlo.assetderivativevaluation Class Description 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). -
Classes in net.finmath.montecarlo.assetderivativevaluation.models used by net.finmath.montecarlo.assetderivativevaluation.models Class Description 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).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).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).DisplacedLognomalModel 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).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).HestonModel.Scheme Truncation schemes to be used in the calculation of drift and diffusion coefficients.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).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).