Uses of Interface
net.finmath.montecarlo.model.ProcessModel
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Packages that use ProcessModel 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.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. -
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Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation
Classes in net.finmath.montecarlo.assetderivativevaluation that implement ProcessModel Modifier and Type Class Description class
MonteCarloMultiAssetBlackScholesModel
This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementingAssetModelMonteCarloSimulationModel
.Methods in net.finmath.montecarlo.assetderivativevaluation that return ProcessModel Modifier and Type Method Description ProcessModel
MonteCarloAssetModel. getModel()
Returns theProcessModel
used for this Monte-Carlo simulation.Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type ProcessModel Constructor Description MonteCarloAssetModel(ProcessModel model, IndependentIncrements stochasticDriver)
Convenient constructor being the same as this(new EulerSchemeFromProcessModel(model, stochasticDriver))MonteCarloAssetModel(ProcessModel model, MonteCarloProcess process)
Deprecated.May be made private in future releases. -
Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation.models
Classes in net.finmath.montecarlo.assetderivativevaluation.models that implement ProcessModel Modifier and Type Class Description class
BachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
BlackScholesModel
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
BlackScholesModelWithCurves
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
DisplacedLognomalModel
This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
HestonModel
This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
InhomogeneousDisplacedLognomalModel
This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
InhomogenousBachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
MertonModel
This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.class
MultiAssetBlackScholesModel
This class implements a multi-asset Black Scholes model providing anAbstractProcessModel
.class
VarianceGammaModel
This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.Methods in net.finmath.montecarlo.assetderivativevaluation.models that return ProcessModel Modifier and Type Method Description ProcessModel
MertonModel. getCloneWithModifiedData(Map<String,Object> dataModified)
ProcessModel
VarianceGammaModel. getCloneWithModifiedData(Map<String,Object> dataModified)
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Uses of ProcessModel in net.finmath.montecarlo.crosscurrency
Methods in net.finmath.montecarlo.crosscurrency that return ProcessModel Modifier and Type Method Description ProcessModel
CrossCurrencyTermStructureMonteCarloSimulationModel. getModel()
Returns the underlying model. -
Uses of ProcessModel in net.finmath.montecarlo.hybridassetinterestrate
Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type ProcessModel Constructor Description ConvexityAdjustedModel(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,Integer> factorLoadingMap)
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Uses of ProcessModel in net.finmath.montecarlo.interestrate
Subinterfaces of ProcessModel in net.finmath.montecarlo.interestrate Modifier and Type Interface Description interface
LIBORMarketModel
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.interface
LIBORModel
interface
TermStructureModel
Methods in net.finmath.montecarlo.interestrate that return ProcessModel Modifier and Type Method Description ProcessModel
TermStructureMonteCarloSimulationModel. getModel()
Returns the underlying model. -
Uses of ProcessModel in net.finmath.montecarlo.interestrate.models
Classes in net.finmath.montecarlo.interestrate.models that implement ProcessModel Modifier and Type Class Description class
HullWhiteModel
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
HullWhiteModelWithConstantCoeff
Implements a Hull-White model with constant coefficients.class
HullWhiteModelWithDirectSimulation
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
HullWhiteModelWithShiftExtension
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
LIBORMarketModelFromCovarianceModel
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.class
LIBORMarketModelStandard
Implements a basic LIBOR market model with some drift approximation methods.class
LIBORMarketModelWithTenorRefinement
Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699. -
Uses of ProcessModel in net.finmath.montecarlo.model
Classes in net.finmath.montecarlo.model that implement ProcessModel Modifier and Type Class Description class
AbstractProcessModel
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.Methods in net.finmath.montecarlo.model that return ProcessModel Modifier and Type Method Description ProcessModel
ProcessModel. getCloneWithModifiedData(Map<String,Object> dataModified)
Returns a clone of this model where the specified properties have been modified. -
Uses of ProcessModel in net.finmath.montecarlo.process
Methods in net.finmath.montecarlo.process that return ProcessModel Modifier and Type Method Description ProcessModel
MonteCarloProcessFromProcessModel. getModel()
Get the model used to generate the stochastic process.default ProcessModel
Process. getModel()
Returns the model that is used to generate this process, null if no model was used.Methods in net.finmath.montecarlo.process with parameters of type ProcessModel Modifier and Type Method Description MonteCarloProcess
EulerSchemeFromProcessModel. getCloneWithModifiedModel(ProcessModel model)
MonteCarloProcess
MonteCarloProcess. getCloneWithModifiedModel(ProcessModel model)
Returns a clone of this model where the specified properties have been modified.Constructors in net.finmath.montecarlo.process with parameters of type ProcessModel Constructor Description EulerSchemeFromProcessModel(ProcessModel model, IndependentIncrements stochasticDriver)
Create an Euler discretization scheme.EulerSchemeFromProcessModel(ProcessModel model, IndependentIncrements stochasticDriver, EulerSchemeFromProcessModel.Scheme scheme)
Create an Euler discretization scheme.MonteCarloProcessFromProcessModel(TimeDiscretization timeDiscretization, ProcessModel model)
Create a discretization scheme / a time discrete process.
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