Uses of Package net.finmath.montecarlo.process (finmath lib 5.0.0 API)

Packages that use net.finmath.montecarlo.process
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.interestrate.products	Provides classes which implement financial products which may be valued using a `net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel`.
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.process used by net.finmath.montecarlo.assetderivativevaluation
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.assetderivativevaluation.models
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.crosscurrency
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.hybridassetinterestrate
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate.models
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate.products
Class	Description
ProcessTimeDiscretizationProvider	An object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.model
Class	Description
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.

Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.process
Class	Description
EulerSchemeFromProcessModel	This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
EulerSchemeFromProcessModel.Scheme
LinearInterpolatedTimeDiscreteProcess	A linear interpolated time discrete process, that is, given a collection of tuples (Double, RandomVariableFromDoubleArray) representing realizations \( X(t_{i}) \) this class implements the `Process` and creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).
MonteCarloProcess	The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing `ProcessModel`: The value of Y(0) is provided by the method `ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess)`.
MonteCarloProcessFromProcessModel	This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
Process	The interface for a stochastic process X.