Uses of Package
net.finmath.montecarlo.process
-
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 implementingProcessModel
e.g.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.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 implementingProcessModel
e.g.net.finmath.montecarlo.interestrate.products Provides classes which implement financial products which may be valued using anet.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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
,RandomVariable
) representing realizations \( X(t_{i}) \) this class implements theProcess
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 implementingProcessModel
: The value of Y(0) is provided by the methodProcessModel.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.