Uses of Package
net.finmath.montecarlo
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Packages that use net.finmath.montecarlo Package Description net.finmath.marketdata2.model Provides interface specification and implementation of a model, which is essentially a collection of curves.net.finmath.modelling.modelfactory Provides classes to build models from descriptors.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 implementingProcessModele.g.net.finmath.montecarlo.assetderivativevaluation.products Products which may be valued using anAssetModelMonteCarloSimulationModel.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 fromnet.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 anet.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.net.finmath.montecarlo.interestrate Provides classes needed to generate a LIBOR market model (using numerical algorithms fromnet.finmath.montecarlo.process.net.finmath.montecarlo.interestrate.models Interest rate models implementingProcessModele.g.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 anet.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.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.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. -
Classes in net.finmath.montecarlo used by net.finmath.marketdata2.model Class Description RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.modelling.modelfactory Class Description IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.modelling.productfactory Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo Class Description AbstractRandomVariableFactory BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.BrownianMotionFromMersenneRandomNumbers Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion and Wi, Wj are independent for i not equal j.GammaProcess Implementation 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.IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).JumpProcessIncrements Implementation of a time-discrete n-dimensional jump process J = (J1,...,Jn) where Ji is a Poisson jump process and Ji, Jj are independent for i not equal j.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE.RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable.RandomVariableFromDoubleArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.RandomVariableFromFloatArray The class RandomVariableFromFloatArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation Class Description BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).MonteCarloSimulationModel The interface implemented by a simulation of an SDE.RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.models Class Description RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.products Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE.RandomVariableFromDoubleArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation Class Description AbstractRandomVariableFactory RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation.backward Class Description AbstractRandomVariableFactory RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation.forward Class Description AbstractRandomVariableFactory RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.conditionalexpectation Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.crosscurrency Class Description MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.hybridassetinterestrate Class Description BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.hybridassetinterestrate.products Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate Class Description BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.models Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.models.covariance Class Description BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.RandomVariableFactory A factory for creating objects implementingnet.finmath.stochastic.RandomVariable.RandomVariableFromDoubleArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.components Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.indices Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.process Class Description IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \). -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.process.component.barrier Class Description RandomVariableFromDoubleArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.products Class Description AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.MonteCarloSimulationModel The interface implemented by a simulation of an SDE. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesign Class Description BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation Class Description MonteCarloSimulationModel The interface implemented by a simulation of an SDE.