Uses of Package
net.finmath.stochastic
| Package | Description |
|---|---|
| net.finmath.functions |
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
|
| net.finmath.marketdata2.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
|
| net.finmath.marketdata2.interpolation |
Basic methodologies to interpolate of curves and surfaces are provided here.
|
| net.finmath.marketdata2.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
|
| net.finmath.marketdata2.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
|
| net.finmath.marketdata2.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.modelling.productfactory |
Provides classes to build products from descriptors.
|
| 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.assetderivativevaluation.models |
Equity models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.montecarlo.assetderivativevaluation.products |
Products which may be valued using an
AssetModelMonteCarloSimulationModel. |
| net.finmath.montecarlo.automaticdifferentiation |
Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
|
| net.finmath.montecarlo.automaticdifferentiation.backward |
Provides the implementation of backward automatic differentiation.
|
| net.finmath.montecarlo.automaticdifferentiation.forward |
Provides the implementation of forward automatic differentiation.
|
| net.finmath.montecarlo.conditionalexpectation |
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
|
| 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.hybridassetinterestrate.products |
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation. |
| 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.models.covariance |
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
|
| 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.interestrate.products.components |
Provides a set product components which allow to build financial products by composition.
|
| net.finmath.montecarlo.interestrate.products.indices |
Provides a set of indices which can be used as part of a period.
|
| 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.
|
| net.finmath.montecarlo.process.component.barrier |
Components providing the barrier in the Monte-Carlo simulation with barrier.
|
| net.finmath.montecarlo.process.component.factordrift |
Components providing the factor drift in the simulation of a proxy simulation scheme.
|
| net.finmath.montecarlo.products |
Products which are model independent, but assume a Monte-Carlo simulation.
|
| net.finmath.montecarlo.templatemethoddesign |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
| net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
| net.finmath.optimizer |
This package provides classes with numerical algorithm for optimization of
an objective function and a factory to easy construction of the optimizers.
|
| net.finmath.stochastic |
Interfaces specifying operations on random variables.
|
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Classes in net.finmath.stochastic used by net.finmath.functions Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.marketdata2.calibration Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.marketdata2.interpolation Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.marketdata2.model Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.marketdata2.model.curves Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.marketdata2.products Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.modelling.productfactory Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo Class Description ConditionalExpectationEstimator The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.assetderivativevaluation Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.assetderivativevaluation.models Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.assetderivativevaluation.products Class Description RandomVariable This interface describes the methods implemented by an immutable random variable.RandomVariableAccumulator The interface implemented by a mutable random variable accumulator. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.automaticdifferentiation Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.automaticdifferentiation.backward Class Description ConditionalExpectationEstimator The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.automaticdifferentiation.forward Class Description ConditionalExpectationEstimator The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.conditionalexpectation Class Description ConditionalExpectationEstimator The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.crosscurrency Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.hybridassetinterestrate Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.hybridassetinterestrate.products Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.interestrate Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.interestrate.models Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.interestrate.models.covariance Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.interestrate.products Class Description ConditionalExpectationEstimator The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.interestrate.products.components Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.interestrate.products.indices Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.model Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.process Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.process.component.barrier Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.process.component.factordrift Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.products Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.templatemethoddesign Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.optimizer Class Description RandomVariable This interface describes the methods implemented by an immutable random variable. -
Classes in net.finmath.stochastic used by net.finmath.stochastic Class Description ConditionalExpectationEstimator The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.RandomOperator RandomVariable This interface describes the methods implemented by an immutable random variable.RandomVariableArray An array ofRandomVariableobjects, implementing theRandomVariableinterface.Scalar A scalar value implementing the RandomVariable.