Uses of Package
net.finmath.montecarlo.model
| 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.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
|
| 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.
|
-
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.assetderivativevaluation Class Description AbstractProcessModel This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.assetderivativevaluation.models Class Description AbstractProcessModel This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.crosscurrency Class Description ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.hybridassetinterestrate Class Description ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.interestrate Class Description ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.interestrate.models Class Description AbstractProcessModel This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.model Class Description ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.model used by net.finmath.montecarlo.process Class Description ProcessModel The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).