Uses of Interface
net.finmath.modelling.Model

Packages that use Model

Package	Description
net.finmath.finitedifference.models	Models provided for finite difference solvers.
net.finmath.finitedifference.products	Product valuation code for models using backward propagation.
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata2.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling	Provides interface separating models and products.
net.finmath.modelling.modelfactory	Provides classes to build models 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.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
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.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Uses of Model in net.finmath.finitedifference.models

Subinterfaces of Model in net.finmath.finitedifference.models

Modifier and Type	Interface	Description
interface	FiniteDifference1DModel	Interface one dimensional finite difference models.

Classes in net.finmath.finitedifference.models that implement Model

Modifier and Type	Class	Description
class	FDMBlackScholesModel	Black Scholes model using finite difference method.
class	FDMConstantElasticityOfVarianceModel	CEV model using finite difference method.

Uses of Model in net.finmath.finitedifference.products

Methods in net.finmath.finitedifference.products with parameters of type Model

Modifier and Type	Method	Description
default Object	FiniteDifference1DProduct.getValue(double evaluationTime, Model model)

Uses of Model in net.finmath.fouriermethod.models

Subinterfaces of Model in net.finmath.fouriermethod.models

Modifier and Type	Interface	Description
interface	CharacteristicFunctionModel	Interface which has to be implemented by models providing the characteristic functions of stochastic processes.

Classes in net.finmath.fouriermethod.models that implement Model

Modifier and Type	Class	Description
class	BatesModel	Implements the characteristic function of a Bates model.
class	BlackScholesModel	Implements the characteristic function of a Black Scholes model.
class	HestonModel	Implements the characteristic function of a Heston model.
class	MertonModel	Implements the characteristic function of a Merton jump diffusion model.
class	VarianceGammaModel	Implements the characteristic function of a Variance Gamma model.

Uses of Model in net.finmath.fouriermethod.products

Methods in net.finmath.fouriermethod.products with parameters of type Model

Modifier and Type	Method	Description
Double	AbstractFourierTransformProduct.getValue(double evaluationTime, Model model)
Double	FourierTransformProduct.getValue(double evaluationTime, Model model)
Map<String,Object>	AbstractFourierTransformProduct.getValues(double evaluationTime, Model model)
Map<String,Object>	FourierTransformProduct.getValues(double evaluationTime, Model model)

Uses of Model in net.finmath.marketdata.model

Subinterfaces of Model in net.finmath.marketdata.model

Modifier and Type	Interface	Description
interface	AnalyticModel	A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

Classes in net.finmath.marketdata.model that implement Model

Modifier and Type	Class	Description
class	AnalyticModelFromCurvesAndVols	Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").

Uses of Model in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type Model

Modifier and Type	Method	Description
Object	AbstractAnalyticProduct.getValue(double evaluationTime, Model model)

Uses of Model in net.finmath.marketdata2.model

Subinterfaces of Model in net.finmath.marketdata2.model

Modifier and Type	Interface	Description
interface	AnalyticModel	A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

Classes in net.finmath.marketdata2.model that implement Model

Modifier and Type	Class	Description
class	AnalyticModelFromCurvesAndVols	Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").

Uses of Model in net.finmath.marketdata2.products

Methods in net.finmath.marketdata2.products with parameters of type Model

Modifier and Type	Method	Description
Object	AbstractAnalyticProduct.getValue(double evaluationTime, Model model)

Uses of Model in net.finmath.modelling

Subinterfaces of Model in net.finmath.modelling

Modifier and Type	Interface	Description
interface	DescribedModel<M extends ModelDescriptor>	Interface for models which can provide a complete description of their model parameters (independent of the implementation of the numerical method).

Methods in net.finmath.modelling with parameters of type Model

Modifier and Type	Method	Description
Object	Product.getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.
Object	UnsupportedProduct.getValue(double evaluationTime, Model model)
default Map<String,Object>	Product.getValues(double evaluationTime, Model model)	Return the valuation of the product using the given model.
Map<String,Object>	UnsupportedProduct.getValues(double evaluationTime, Model model)

Uses of Model in net.finmath.modelling.modelfactory

Classes in net.finmath.modelling.modelfactory that implement Model

Modifier and Type	Class	Description
static class	AnalyticModelFactory.DescribedAnalyticModel	Class extending AnalyticModelFromCurvesAndVols with the functionality of a described model.

Uses of Model in net.finmath.montecarlo

Subinterfaces of Model in net.finmath.montecarlo

Modifier and Type	Interface	Description
interface	MonteCarloSimulationModel	The interface implemented by a simulation of an SDE.

Methods in net.finmath.montecarlo with parameters of type Model

Modifier and Type	Method	Description
Object	AbstractMonteCarloProduct.getValue(double evaluationTime, Model model)
Object	MonteCarloProduct.getValue(double evaluationTime, Model model)
Map<String,Object>	AbstractMonteCarloProduct.getValues(double evaluationTime, Model model)
Map<String,Object>	MonteCarloProduct.getValues(double evaluationTime, Model model)

Uses of Model in net.finmath.montecarlo.assetderivativevaluation

Subinterfaces of Model in net.finmath.montecarlo.assetderivativevaluation

Modifier and Type	Interface	Description
interface	AssetModelMonteCarloSimulationModel	Basic interface which has to be implemented by Monte Carlo models for asset processes.

Classes in net.finmath.montecarlo.assetderivativevaluation that implement Model

Modifier and Type	Class	Description
class	MonteCarloAssetModel	This class glues together an AbstractProcessModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and implements AssetModelMonteCarloSimulationModel.
class	MonteCarloBlackScholesModel	This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel.
class	MonteCarloMertonModel	This class glues together a MertonModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel, namely EulerSchemeFromProcessModel, and forms a Monte-Carlo implementation of the Merton model by implementing AssetModelMonteCarloSimulationModel.
class	MonteCarloMultiAssetBlackScholesModel	This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementing AssetModelMonteCarloSimulationModel.
class	MonteCarloVarianceGammaModel	This class glues together a VarianceGammaModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Variance Gamma Model by implementing AssetModelMonteCarloSimulationModel.

Uses of Model in net.finmath.montecarlo.assetderivativevaluation.products

Methods in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type Model

Modifier and Type	Method	Description
Map<String,Object>	EuropeanOption.getValues(double evaluationTime, Model model)
Map<String,Object>	ForwardAgreement.getValues(double evaluationTime, Model model)
Map<String,Object>	ForwardAgreementWithFundingRequirement.getValues(double evaluationTime, Model model)

Uses of Model in net.finmath.montecarlo.crosscurrency

Subinterfaces of Model in net.finmath.montecarlo.crosscurrency

Modifier and Type	Interface	Description
interface	CrossCurrencyTermStructureMonteCarloSimulationModel	Interface for cross currency term structure models.

Uses of Model in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of Model in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface	Description
interface	HybridAssetLIBORModelMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
interface	HybridAssetMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.

Classes in net.finmath.montecarlo.hybridassetinterestrate that implement Model

Modifier and Type	Class	Description
class	CrossCurrencyLIBORMarketModelFromModels	Cross Currency LIBOR Market Model with Black-Scholes FX Model.
class	HybridAssetLIBORModelMonteCarloSimulationFromModels	An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Uses of Model in net.finmath.montecarlo.hybridassetinterestrate.products

Methods in net.finmath.montecarlo.hybridassetinterestrate.products with parameters of type Model

Modifier and Type	Method	Description
Object	WorstOfExpressCertificate.getValue(double evaluationTime, Model model)

Uses of Model in net.finmath.montecarlo.interestrate

Subinterfaces of Model in net.finmath.montecarlo.interestrate

Modifier and Type	Interface	Description
interface	LIBORModelMonteCarloSimulationModel	Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
interface	TermStructureMonteCarloSimulationModel

Classes in net.finmath.montecarlo.interestrate that implement Model

Modifier and Type	Class	Description
class	LIBORMonteCarloSimulationFromLIBORModel	Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g.
class	LIBORMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.

Uses of Model in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Classes in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation that implement Model

Modifier and Type	Class	Description
class	MonteCarloBlackScholesModel2	Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process

Uses of Model in net.finmath.singleswaprate.model

Subinterfaces of Model in net.finmath.singleswaprate.model

Modifier and Type	Interface	Description
interface	VolatilityCubeModel	A collection of objects representing analytic valuations.

Classes in net.finmath.singleswaprate.model that implement Model

Modifier and Type	Class	Description
class	AnalyticModelWithVolatilityCubes	Implementation of VolatilityCubeModel based on AnalyticModelFromCurvesAndVols.

Uses of Model in net.finmath.singleswaprate.products

Methods in net.finmath.singleswaprate.products with parameters of type Model

Modifier and Type	Method	Description
Object	AbstractAnalyticVolatilityCubeProduct.getValue(double evaluationTime, Model model)