Uses of Interface
net.finmath.montecarlo.process.MonteCarloProcess
-
Packages that use MonteCarloProcess 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. -
-
Uses of MonteCarloProcess in net.finmath.montecarlo.assetderivativevaluation
Methods in net.finmath.montecarlo.assetderivativevaluation that return MonteCarloProcess Modifier and Type Method Description MonteCarloProcess
MonteCarloAssetModel. getProcess()
Returns theMonteCarloProcess
used for this Monte-Carlo simulation.Methods in net.finmath.montecarlo.assetderivativevaluation with parameters of type MonteCarloProcess Modifier and Type Method Description RandomVariable
MonteCarloMultiAssetBlackScholesModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
MonteCarloMultiAssetBlackScholesModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable[]
MonteCarloMultiAssetBlackScholesModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
MonteCarloMultiAssetBlackScholesModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
MonteCarloMultiAssetBlackScholesModel. getInitialState(MonteCarloProcess process)
RandomVariable
MonteCarloMultiAssetBlackScholesModel. getNumeraire(MonteCarloProcess process, double time)
Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type MonteCarloProcess Constructor Description MonteCarloAssetModel(ProcessModel model, MonteCarloProcess process)
Deprecated.May be made private in future releases.MonteCarloAssetModel(MonteCarloProcess process)
Create a Monte-Carlo simulation using given process discretization scheme. -
Uses of MonteCarloProcess in net.finmath.montecarlo.assetderivativevaluation.models
Methods in net.finmath.montecarlo.assetderivativevaluation.models with parameters of type MonteCarloProcess Modifier and Type Method Description RandomVariable
BachelierModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
BlackScholesModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
BlackScholesModelWithCurves. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
DisplacedLognomalModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HestonModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
InhomogeneousDisplacedLognomalModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
InhomogenousBachelierModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
MertonModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
MultiAssetBlackScholesModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
VarianceGammaModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
BachelierModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
BlackScholesModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
BlackScholesModelWithCurves. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
DisplacedLognomalModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HestonModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
InhomogeneousDisplacedLognomalModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
InhomogenousBachelierModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
MertonModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
MultiAssetBlackScholesModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
VarianceGammaModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable[]
BachelierModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
BlackScholesModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
BlackScholesModelWithCurves. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
DisplacedLognomalModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
HestonModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
InhomogeneousDisplacedLognomalModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
InhomogenousBachelierModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
MertonModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
MultiAssetBlackScholesModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
VarianceGammaModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
BachelierModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
BlackScholesModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
BlackScholesModelWithCurves. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
DisplacedLognomalModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
HestonModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
InhomogeneousDisplacedLognomalModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
InhomogenousBachelierModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
MertonModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
MultiAssetBlackScholesModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int component, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
VarianceGammaModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
BachelierModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
BlackScholesModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
BlackScholesModelWithCurves. getInitialState(MonteCarloProcess process)
RandomVariable[]
DisplacedLognomalModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
HestonModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
InhomogeneousDisplacedLognomalModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
InhomogenousBachelierModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
MertonModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
MultiAssetBlackScholesModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
VarianceGammaModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
BlackScholesModel. getInitialValue(MonteCarloProcess process)
Return the initial value of this model.RandomVariable[]
BlackScholesModelWithCurves. getInitialValue(MonteCarloProcess process)
Return the initial value of this model.RandomVariable
BachelierModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
BlackScholesModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
BlackScholesModelWithCurves. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
DisplacedLognomalModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
HestonModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
InhomogeneousDisplacedLognomalModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
InhomogenousBachelierModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
MertonModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
MultiAssetBlackScholesModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
VarianceGammaModel. getNumeraire(MonteCarloProcess process, double time)
-
Uses of MonteCarloProcess in net.finmath.montecarlo.crosscurrency
Methods in net.finmath.montecarlo.crosscurrency that return MonteCarloProcess Modifier and Type Method Description MonteCarloProcess
CrossCurrencyTermStructureMonteCarloSimulationModel. getProcess()
-
Uses of MonteCarloProcess in net.finmath.montecarlo.hybridassetinterestrate
Methods in net.finmath.montecarlo.hybridassetinterestrate that return MonteCarloProcess Modifier and Type Method Description MonteCarloProcess
HybridAssetLIBORModelMonteCarloSimulationFromModels. getProcess()
Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type MonteCarloProcess Modifier and Type Method Description RandomVariable[]
ConvexityAdjustedModel. getDrift(RandomVariable[] driftUnadjusted, MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type MonteCarloProcess Constructor Description ConvexityAdjustedModel(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,Integer> factorLoadingMap)
-
Uses of MonteCarloProcess in net.finmath.montecarlo.interestrate
Methods in net.finmath.montecarlo.interestrate that return MonteCarloProcess Modifier and Type Method Description MonteCarloProcess
LIBORMonteCarloSimulationFromLIBORModel. getProcess()
MonteCarloProcess
LIBORMonteCarloSimulationFromTermStructureModel. getProcess()
MonteCarloProcess
TermStructureMonteCarloSimulationModel. getProcess()
Methods in net.finmath.montecarlo.interestrate with parameters of type MonteCarloProcess Modifier and Type Method Description default RandomVariable
TermStructureModel. getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)
Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \).RandomVariable
LIBORModel. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
Return the forward rate at a given timeIndex and for a given liborIndex.RandomVariable
TermStructureModel. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
Returns the time \( t \) forward rate on the models forward curve.Constructors in net.finmath.montecarlo.interestrate with parameters of type MonteCarloProcess Constructor Description LIBORMonteCarloSimulationFromLIBORModel(LIBORModel model, MonteCarloProcess process)
Deprecated.LIBORMonteCarloSimulationFromLIBORModel(MonteCarloProcess process)
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model, MonteCarloProcess process)
Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.LIBORMonteCarloSimulationFromTermStructureModel(MonteCarloProcess process)
Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel. -
Uses of MonteCarloProcess in net.finmath.montecarlo.interestrate.models
Methods in net.finmath.montecarlo.interestrate.models with parameters of type MonteCarloProcess Modifier and Type Method Description RandomVariable
HullWhiteModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModelWithConstantCoeff. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModelWithDirectSimulation. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModelWithShiftExtension. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
LIBORMarketModelFromCovarianceModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
LIBORMarketModelStandard. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
LIBORMarketModelWithTenorRefinement. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModelWithConstantCoeff. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModelWithDirectSimulation. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
HullWhiteModelWithShiftExtension. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
LIBORMarketModelFromCovarianceModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
LIBORMarketModelStandard. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable
LIBORMarketModelWithTenorRefinement. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
RandomVariable[]
HullWhiteModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
HullWhiteModelWithConstantCoeff. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
HullWhiteModelWithDirectSimulation. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
HullWhiteModelWithShiftExtension. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable[]
LIBORMarketModelFromCovarianceModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.RandomVariable[]
LIBORMarketModelStandard. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.RandomVariable[]
LIBORMarketModelWithTenorRefinement. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.protected RandomVariable
LIBORMarketModelStandard. getDriftEuler(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] liborVectorStart)
RandomVariable[]
HullWhiteModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
HullWhiteModelWithConstantCoeff. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
HullWhiteModelWithDirectSimulation. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
HullWhiteModelWithShiftExtension. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
LIBORMarketModelFromCovarianceModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
LIBORMarketModelStandard. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable[]
LIBORMarketModelWithTenorRefinement. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
RandomVariable
HullWhiteModel. getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)
RandomVariable
LIBORMarketModelFromCovarianceModel. getForwardDiscountBond(MonteCarloProcess process, double time, double maturity)
RandomVariable[]
HullWhiteModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
HullWhiteModelWithConstantCoeff. getInitialState(MonteCarloProcess process)
RandomVariable[]
HullWhiteModelWithDirectSimulation. getInitialState(MonteCarloProcess process)
RandomVariable[]
HullWhiteModelWithShiftExtension. getInitialState(MonteCarloProcess process)
RandomVariable[]
LIBORMarketModelFromCovarianceModel. getInitialState(MonteCarloProcess process)
RandomVariable[]
LIBORMarketModelStandard. getInitialState(MonteCarloProcess process)
RandomVariable[]
LIBORMarketModelWithTenorRefinement. getInitialState(MonteCarloProcess process)
RandomVariable
HullWhiteModel. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
HullWhiteModel. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable
HullWhiteModelWithConstantCoeff. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
HullWhiteModelWithConstantCoeff. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable
HullWhiteModelWithDirectSimulation. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
HullWhiteModelWithDirectSimulation. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable
HullWhiteModelWithShiftExtension. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
HullWhiteModelWithShiftExtension. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable
LIBORMarketModelFromCovarianceModel. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
LIBORMarketModelFromCovarianceModel. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable
LIBORMarketModelStandard. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
LIBORMarketModelStandard. getLIBOR(MonteCarloProcess process, int timeIndex, int liborIndex)
RandomVariable
LIBORMarketModelWithTenorRefinement. getLIBOR(MonteCarloProcess process, double time, double periodStart, double periodEnd)
RandomVariable
LIBORMarketModelWithTenorRefinement. getLIBOR(MonteCarloProcess process, int timeIndex, double periodStart, double periodEnd)
RandomVariable
HullWhiteModel. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
HullWhiteModelWithConstantCoeff. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
HullWhiteModelWithDirectSimulation. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
HullWhiteModelWithShiftExtension. getNumeraire(MonteCarloProcess process, double time)
RandomVariable
LIBORMarketModelFromCovarianceModel. getNumeraire(MonteCarloProcess process, double time)
Return the numeraire at a given time.RandomVariable
LIBORMarketModelStandard. getNumeraire(MonteCarloProcess process, double time)
Return the numeraire at a given time.RandomVariable
LIBORMarketModelWithTenorRefinement. getNumeraire(MonteCarloProcess process, double time)
Return the numeraire at a given time.protected RandomVariable
LIBORMarketModelFromCovarianceModel. getNumerairetUnAdjusted(MonteCarloProcess process, double time)
protected RandomVariable
LIBORMarketModelFromCovarianceModel. getNumerairetUnAdjustedAtLIBORIndex(MonteCarloProcess process, int liborTimeIndex)
RandomVariable
LIBORMarketModelWithTenorRefinement. getStateVariable(MonteCarloProcess process, int timeIndex, double periodStart, double periodEnd)
-
Uses of MonteCarloProcess in net.finmath.montecarlo.model
Methods in net.finmath.montecarlo.model with parameters of type MonteCarloProcess Modifier and Type Method Description RandomVariable
ProcessModel. applyStateSpaceTransform(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
Applies the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.default RandomVariable
ProcessModel. applyStateSpaceTransformInverse(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable randomVariable)
Applies the inverse state space transform f-1i to the given random variable such that Xi → f-1i(Xi) =: Yi.RandomVariable[]
ProcessModel. getDrift(MonteCarloProcess process, int timeIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
This method has to be implemented to return the drift, i.e.RandomVariable[]
ProcessModel. getFactorLoading(MonteCarloProcess process, int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex)
This method has to be implemented to return the factor loadings, i.e.RandomVariable[]
ProcessModel. getInitialState(MonteCarloProcess process)
Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.RandomVariable[]
AbstractProcessModel. getInitialValue(MonteCarloProcess process)
Returns the initial value of the model.RandomVariable
ProcessModel. getNumeraire(MonteCarloProcess process, double time)
Return the numeraire at a given time index. -
Uses of MonteCarloProcess in net.finmath.montecarlo.process
Classes in net.finmath.montecarlo.process that implement MonteCarloProcess Modifier and Type Class Description class
EulerSchemeFromProcessModel
This class implements some numerical schemes for multi-dimensional multi-factor Ito process.class
MonteCarloProcessFromProcessModel
This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.Methods in net.finmath.montecarlo.process that return MonteCarloProcess Modifier and Type Method Description MonteCarloProcess
MonteCarloProcess. clone()
Create and return a clone of this process.MonteCarloProcess
EulerSchemeFromProcessModel. getCloneWithModifiedData(Map<String,Object> dataModified)
MonteCarloProcess
MonteCarloProcess. getCloneWithModifiedData(Map<String,Object> dataModified)
Returns a clone of this model where the specified properties have been modified.MonteCarloProcess
EulerSchemeFromProcessModel. getCloneWithModifiedModel(ProcessModel model)
MonteCarloProcess
MonteCarloProcess. getCloneWithModifiedModel(ProcessModel model)
Returns a clone of this model where the specified properties have been modified.
-