Uses of Interface
net.finmath.montecarlo.IndependentIncrements
| Package | Description |
|---|---|
| net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
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| 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.process |
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
|
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Uses of IndependentIncrements in net.finmath.modelling.modelfactory
Constructors in net.finmath.modelling.modelfactory with parameters of type IndependentIncrements Constructor Description AssetModelMonteCarloFactory(IndependentIncrements stochasticDriver)Create the factory.AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver)Create the factory.AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme)Create the factory.BlackScholesModelMonteCarloFactory(RandomVariableFactory abstractRandomVariableFactory, IndependentIncrements brownianMotion)HestonModelMonteCarloFactory(HestonModel.Scheme scheme, RandomVariableFactory abstractRandomVariableFactory, IndependentIncrements brownianMotion) -
Uses of IndependentIncrements in net.finmath.montecarlo
Subinterfaces of IndependentIncrements in net.finmath.montecarlo Modifier and Type Interface Description interfaceBrownianMotionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...Classes in net.finmath.montecarlo that implement IndependentIncrements Modifier and Type Class Description classBrownianBridgeThis class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.classBrownianMotionFromMersenneRandomNumbersImplementation of a time-discrete n-dimensional Brownian motion W = (W1,...classBrownianMotionFromRandomNumberGeneratorImplementation of a time-discrete n-dimensional Brownian motion W = (W1,...classBrownianMotionLazyInitDeprecated.Refactor rename.classBrownianMotionViewA Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.classBrownianMotionWithControlVariateProvides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.classCorrelatedBrownianMotionProvides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.classGammaProcessImplementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j.classIndependentIncrementsFromICDFImplementation of a time-discrete n-dimensional sequence of independent increments W = (W1,...classJumpProcessIncrementsImplementation of a time-discrete n-dimensional jump process J = (J1,...classMertonJumpProcessImplementation of the compound Poisson process for the Merton jump diffusion model.classVarianceGammaProcessImplementation of a time-discrete n-dimensional Variance Gamma process via Brownian subordination through a Gamma Process.Methods in net.finmath.montecarlo that return IndependentIncrements Modifier and Type Method Description IndependentIncrementsGammaProcess. getCloneWithModifiedSeed(int seed)IndependentIncrementsIndependentIncrements. getCloneWithModifiedSeed(int seed)Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.IndependentIncrementsIndependentIncrementsFromICDF. getCloneWithModifiedSeed(int seed)IndependentIncrementsMertonJumpProcess. getCloneWithModifiedSeed(int seed)IndependentIncrementsVarianceGammaProcess. getCloneWithModifiedSeed(int seed)IndependentIncrementsGammaProcess. getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)IndependentIncrementsIndependentIncrements. getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.IndependentIncrementsIndependentIncrementsFromICDF. getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)IndependentIncrementsMertonJumpProcess. getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)IndependentIncrementsVarianceGammaProcess. getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization) -
Uses of IndependentIncrements in net.finmath.montecarlo.assetderivativevaluation
Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type IndependentIncrements Constructor Description MonteCarloAssetModel(ProcessModel model, IndependentIncrements stochasticDriver) -
Uses of IndependentIncrements in net.finmath.montecarlo.process
Methods in net.finmath.montecarlo.process that return IndependentIncrements Modifier and Type Method Description IndependentIncrementsEulerSchemeFromProcessModel. getStochasticDriver()IndependentIncrementsMonteCarloProcess. getStochasticDriver()Constructors in net.finmath.montecarlo.process with parameters of type IndependentIncrements Constructor Description EulerSchemeFromProcessModel(ProcessModel model, IndependentIncrements stochasticDriver)Create an Euler discretization scheme.EulerSchemeFromProcessModel(ProcessModel model, IndependentIncrements stochasticDriver, EulerSchemeFromProcessModel.Scheme scheme)Create an Euler discretization scheme.