Uses of Interface
net.finmath.montecarlo.IndependentIncrements

Packages that use IndependentIncrements

Package	Description
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.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.

Uses of IndependentIncrements in net.finmath.modelling.modelfactory

Constructors in net.finmath.modelling.modelfactory with parameters of type IndependentIncrements

Constructor	Description
AssetModelMonteCarloFactory(IndependentIncrements stochasticDriver)	Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver)	Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme)	Create the factory.
BlackScholesModelMonteCarloFactory(RandomVariableFactory randomVariableFactory, IndependentIncrements brownianMotion)
HestonModelMonteCarloFactory(HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory, IndependentIncrements brownianMotion)

Uses of IndependentIncrements in net.finmath.montecarlo

Subinterfaces of IndependentIncrements in net.finmath.montecarlo

Modifier and Type	Interface	Description
interface	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 that implement IndependentIncrements

Modifier and Type	Class	Description
class	BrownianBridge	This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
class	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.
class	BrownianMotionFromRandomNumberGenerator	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.
class	BrownianMotionLazyInit	Deprecated. Refactor rename.
class	BrownianMotionView	A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.
class	BrownianMotionWithControlVariate	Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.
class	CorrelatedBrownianMotion	Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.
class	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.
class	IndependentIncrementsFromICDF	Implementation of a time-discrete n-dimensional sequence of independent increments W = (W1,...,Wn) form a given set of inverse cumulative distribution functions.
class	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.
class	MertonJumpProcess	Implementation of the compound Poisson process for the Merton jump diffusion model.
class	VarianceGammaProcess	Implementation of a time-discrete n-dimensional Variance Gamma process via Brownian subordination through a Gamma Process.

Methods in net.finmath.montecarlo that return IndependentIncrements

Modifier and Type	Method	Description
IndependentIncrements	GammaProcess.getCloneWithModifiedSeed(int seed)
IndependentIncrements	IndependentIncrements.getCloneWithModifiedSeed(int seed)	Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
IndependentIncrements	IndependentIncrementsFromICDF.getCloneWithModifiedSeed(int seed)
IndependentIncrements	MertonJumpProcess.getCloneWithModifiedSeed(int seed)
IndependentIncrements	VarianceGammaProcess.getCloneWithModifiedSeed(int seed)
IndependentIncrements	GammaProcess.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
IndependentIncrements	IndependentIncrements.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)	Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
IndependentIncrements	IndependentIncrementsFromICDF.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
IndependentIncrements	MertonJumpProcess.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
IndependentIncrements	VarianceGammaProcess.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

Uses of IndependentIncrements in net.finmath.montecarlo.assetderivativevaluation

Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type IndependentIncrements

Constructor	Description
MonteCarloAssetModel(ProcessModel model, IndependentIncrements stochasticDriver)	Convenient constructor being the same as this(new EulerSchemeFromProcessModel(model, stochasticDriver))

Uses of IndependentIncrements in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that return IndependentIncrements

Modifier and Type	Method	Description
IndependentIncrements	EulerSchemeFromProcessModel.getStochasticDriver()
IndependentIncrements	MonteCarloProcess.getStochasticDriver()

Constructors in net.finmath.montecarlo.process with parameters of type IndependentIncrements

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.