Uses of Interface
net.finmath.montecarlo.process.MonteCarloProcess

Packages that use MonteCarloProcess

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.

Uses of MonteCarloProcess in net.finmath.montecarlo.assetderivativevaluation

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

Modifier and Type	Method	Description
MonteCarloProcess	MonteCarloAssetModel.getProcess()	Returns the MonteCarloProcess used for this Monte-Carlo simulation.
MonteCarloProcess	MonteCarloBlackScholesModel.getProcess()	Returns the MonteCarloProcess used for this Monte-Carlo simulation.

Methods in net.finmath.montecarlo.assetderivativevaluation with parameters of type MonteCarloProcess

Modifier and Type	Method	Description
RandomVariable	MonteCarloMultiAssetBlackScholesModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	MonteCarloMultiAssetBlackScholesModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable[]	MonteCarloMultiAssetBlackScholesModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	MonteCarloMultiAssetBlackScholesModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	MonteCarloMultiAssetBlackScholesModel.getInitialState(MonteCarloProcess process)
RandomVariable	MonteCarloMultiAssetBlackScholesModel.getNumeraire(MonteCarloProcess process, double time)

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

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

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

Methods in net.finmath.montecarlo.assetderivativevaluation.models with parameters of type MonteCarloProcess

Modifier and Type	Method	Description
RandomVariable	BachelierModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	BlackScholesModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	BlackScholesModelWithCurves.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	DisplacedLognomalModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HestonModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	InhomogeneousDisplacedLognomalModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	InhomogenousBachelierModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	MertonModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	VarianceGammaModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	BachelierModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	BlackScholesModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	BlackScholesModelWithCurves.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	DisplacedLognomalModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HestonModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	InhomogeneousDisplacedLognomalModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	InhomogenousBachelierModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	MertonModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	VarianceGammaModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable[]	BachelierModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	BlackScholesModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	BlackScholesModelWithCurves.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	DisplacedLognomalModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	HestonModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	InhomogeneousDisplacedLognomalModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	InhomogenousBachelierModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	MertonModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	VarianceGammaModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	BachelierModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	BlackScholesModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	BlackScholesModelWithCurves.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	DisplacedLognomalModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	HestonModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	InhomogeneousDisplacedLognomalModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	InhomogenousBachelierModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	MertonModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	VarianceGammaModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	BachelierModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	BlackScholesModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	BlackScholesModelWithCurves.getInitialState(MonteCarloProcess process)
RandomVariable[]	DisplacedLognomalModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	HestonModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	InhomogeneousDisplacedLognomalModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	InhomogenousBachelierModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	MertonModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	VarianceGammaModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	BlackScholesModel.getInitialValue(MonteCarloProcess process)	Return the initial value of this model.
RandomVariable[]	BlackScholesModelWithCurves.getInitialValue(MonteCarloProcess process)	Return the initial value of this model.
RandomVariable	BachelierModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	BlackScholesModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	BlackScholesModelWithCurves.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	DisplacedLognomalModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	HestonModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	InhomogeneousDisplacedLognomalModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	InhomogenousBachelierModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	MertonModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	VarianceGammaModel.getNumeraire(MonteCarloProcess process, double time)

Uses of MonteCarloProcess in net.finmath.montecarlo.crosscurrency

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

Modifier and Type	Method	Description
MonteCarloProcess	CrossCurrencyTermStructureMonteCarloSimulationModel.getProcess()

Uses of MonteCarloProcess in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return MonteCarloProcess

Modifier and Type	Method	Description
MonteCarloProcess	HybridAssetLIBORModelMonteCarloSimulationFromModels.getProcess()

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type MonteCarloProcess

Modifier and Type	Method	Description
RandomVariable[]	ConvexityAdjustedModel.getDrift(RandomVariable[] driftUnadjusted, MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type MonteCarloProcess

Constructor	Description
ConvexityAdjustedModel(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,Integer> factorLoadingMap)

Uses of MonteCarloProcess in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method	Description
MonteCarloProcess	LIBORMonteCarloSimulationFromLIBORModel.getProcess()
MonteCarloProcess	LIBORMonteCarloSimulationFromTermStructureModel.getProcess()
MonteCarloProcess	TermStructureMonteCarloSimulationModel.getProcess()

Methods in net.finmath.montecarlo.interestrate with parameters of type MonteCarloProcess

Modifier and Type	Method	Description
default RandomVariable	TermStructureModel.getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)	Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \).
RandomVariable	LIBORModel.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)	Return the forward rate at a given timeIndex and for a given liborIndex.
RandomVariable	TermStructureModel.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)	Returns the time \( t \) forward rate on the models forward curve.

Constructors in net.finmath.montecarlo.interestrate with parameters of type MonteCarloProcess

Constructor	Description
LIBORMonteCarloSimulationFromLIBORModel(LIBORModel model, MonteCarloProcess process)	Deprecated.
LIBORMonteCarloSimulationFromLIBORModel(MonteCarloProcess process)
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model, MonteCarloProcess process)	Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.
LIBORMonteCarloSimulationFromTermStructureModel(MonteCarloProcess process)	Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.

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

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

Modifier and Type	Method	Description
RandomVariable	HullWhiteModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModelWithConstantCoeff.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModelWithDirectSimulation.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModelWithShiftExtension.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	LIBORMarketModelFromCovarianceModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	LIBORMarketModelStandard.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	LIBORMarketModelWithTenorRefinement.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModelWithConstantCoeff.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModelWithDirectSimulation.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	HullWhiteModelWithShiftExtension.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	LIBORMarketModelFromCovarianceModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	LIBORMarketModelStandard.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable	LIBORMarketModelWithTenorRefinement.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable[]	HullWhiteModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	HullWhiteModelWithConstantCoeff.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	HullWhiteModelWithDirectSimulation.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	HullWhiteModelWithShiftExtension.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]	LIBORMarketModelFromCovarianceModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)	Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariable[]	LIBORMarketModelStandard.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)	Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
RandomVariable[]	LIBORMarketModelWithTenorRefinement.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)	Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
protected RandomVariable	LIBORMarketModelStandard.getDriftEuler(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] liborVectorStart)
RandomVariable[]	HullWhiteModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	HullWhiteModelWithConstantCoeff.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	HullWhiteModelWithDirectSimulation.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	HullWhiteModelWithShiftExtension.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	LIBORMarketModelFromCovarianceModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	LIBORMarketModelStandard.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]	LIBORMarketModelWithTenorRefinement.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable	HullWhiteModel.getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)
RandomVariable	LIBORMarketModelFromCovarianceModel.getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)
RandomVariable[]	HullWhiteModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	HullWhiteModelWithConstantCoeff.getInitialState(MonteCarloProcess process)
RandomVariable[]	HullWhiteModelWithDirectSimulation.getInitialState(MonteCarloProcess process)
RandomVariable[]	HullWhiteModelWithShiftExtension.getInitialState(MonteCarloProcess process)
RandomVariable[]	LIBORMarketModelFromCovarianceModel.getInitialState(MonteCarloProcess process)
RandomVariable[]	LIBORMarketModelStandard.getInitialState(MonteCarloProcess process)
RandomVariable[]	LIBORMarketModelWithTenorRefinement.getInitialState(MonteCarloProcess process)
RandomVariable	HullWhiteModel.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModel.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable	HullWhiteModelWithConstantCoeff.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModelWithConstantCoeff.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable	HullWhiteModelWithDirectSimulation.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModelWithDirectSimulation.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable	HullWhiteModelWithShiftExtension.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModelWithShiftExtension.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable	LIBORMarketModelFromCovarianceModel.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	LIBORMarketModelFromCovarianceModel.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable	LIBORMarketModelStandard.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	LIBORMarketModelStandard.getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable	LIBORMarketModelWithTenorRefinement.getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable	LIBORMarketModelWithTenorRefinement.getLIBOR(MonteCarloProcess process, int timeIndex, double periodStart, double periodEnd)
RandomVariable	HullWhiteModel.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	HullWhiteModelWithConstantCoeff.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	HullWhiteModelWithDirectSimulation.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	HullWhiteModelWithShiftExtension.getNumeraire(MonteCarloProcess process, double time)
RandomVariable	LIBORMarketModelFromCovarianceModel.getNumeraire(MonteCarloProcess process, double time)	Return the numeraire at a given time.
RandomVariable	LIBORMarketModelStandard.getNumeraire(MonteCarloProcess process, double time)	Return the numeraire at a given time.
RandomVariable	LIBORMarketModelWithTenorRefinement.getNumeraire(MonteCarloProcess process, double time)	Return the numeraire at a given time.
protected RandomVariable	LIBORMarketModelFromCovarianceModel.getNumerairetUnAdjusted(MonteCarloProcess process, double time)
protected RandomVariable	LIBORMarketModelFromCovarianceModel.getNumerairetUnAdjustedAtLIBORIndex(MonteCarloProcess process, int liborTimeIndex)
RandomVariable	LIBORMarketModelWithTenorRefinement.getStateVariable(MonteCarloProcess process, int timeIndex, double periodStart, double periodEnd)

Uses of MonteCarloProcess in net.finmath.montecarlo.model

Methods in net.finmath.montecarlo.model with parameters of type MonteCarloProcess

Modifier and Type	Method	Description
RandomVariable	ProcessModel.applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)	Applies the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
default RandomVariable	ProcessModel.applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)	Applies the inverse state space transform f-1i to the given random variable such that Xi → f-1i(Xi) =: Yi.
RandomVariable[]	ProcessModel.getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)	This method has to be implemented to return the drift, i.e.
RandomVariable[]	ProcessModel.getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)	This method has to be implemented to return the factor loadings, i.e.
RandomVariable[]	ProcessModel.getInitialState(MonteCarloProcess process)	Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.
RandomVariable[]	AbstractProcessModel.getInitialValue(MonteCarloProcess process)	Returns the initial value of the model.
RandomVariable	ProcessModel.getNumeraire(MonteCarloProcess process, double time)	Return the numeraire at a given time index.

Uses of MonteCarloProcess in net.finmath.montecarlo.process

Classes in net.finmath.montecarlo.process that implement MonteCarloProcess

Modifier and Type	Class	Description
class	EulerSchemeFromProcessModel	This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
class	MonteCarloProcessFromProcessModel	This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.

Methods in net.finmath.montecarlo.process that return MonteCarloProcess

Modifier and Type	Method	Description
MonteCarloProcess	MonteCarloProcess.clone()	Create and return a clone of this process.
MonteCarloProcess	EulerSchemeFromProcessModel.getCloneWithModifiedData(Map<String,Object> dataModified)
MonteCarloProcess	MonteCarloProcess.getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
MonteCarloProcess	EulerSchemeFromProcessModel.getCloneWithModifiedModel(ProcessModel model)
MonteCarloProcess	MonteCarloProcess.getCloneWithModifiedModel(ProcessModel model)	Returns a clone of this model where the specified properties have been modified.