Uses of Interface
net.finmath.time.TimeDiscretization

Packages that use TimeDiscretization

Package	Description
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata2.products	Provides interface specification and implementation of products, e.g., calibration products.
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.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 from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.templatemethoddesign	Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.swing	Provides utilities for Java swing (used in finmath applets).
net.finmath.time	Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.

Uses of TimeDiscretization in net.finmath.marketdata.model.curves

Methods in net.finmath.marketdata.model.curves with parameters of type TimeDiscretization

Modifier and Type	Method	Description
static DiscountCurve	DiscountCurveInterpolation.createDiscountFactorsFromForwardRates(String name, TimeDiscretization tenor, double[] forwardRates)	Create a discount curve from given time discretization and forward rates.

Uses of TimeDiscretization in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	SwaptionATMMarketDataFromArray.getOptionMaturities()
TimeDiscretization	SwaptionMarketData.getOptionMaturities()
TimeDiscretization	SwaptionATMMarketDataFromArray.getTenor()
TimeDiscretization	SwaptionMarketData.getTenor()

Constructors in net.finmath.marketdata.model.volatilities with parameters of type TimeDiscretization

Constructor	Description
CapletVolatilitiesParametricFourParameterPicewiseConstant(String name, LocalDate referenceDate, double a, double b, double c, double d, TimeDiscretization timeDiscretization)	Create a model with parameters a,b,c,d.
SwaptionATMMarketDataFromArray(ForwardCurve forwardCurve, DiscountCurve discountCurve, TimeDiscretization optionMatruities, TimeDiscretization tenor, double swapPeriodLength, double[][] impliedVolatilities)

Uses of TimeDiscretization in net.finmath.marketdata.products

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

Modifier and Type	Method	Description
static double	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve)
static double	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve, DiscountCurve discountCurve)
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, DiscountCurve discountCurve)	Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static double	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, ForwardCurve forwardCurve)	Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

Uses of TimeDiscretization in net.finmath.marketdata2.model.curves

Methods in net.finmath.marketdata2.model.curves with parameters of type TimeDiscretization

Modifier and Type	Method	Description
static DiscountCurveInterface	DiscountCurveInterpolation.createDiscountFactorsFromForwardRates(String name, TimeDiscretization tenor, RandomVariable[] forwardRates)	Create a discount curve from given time discretization and forward rates.

Uses of TimeDiscretization in net.finmath.marketdata2.products

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

Modifier and Type	Method	Description
static RandomVariable	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurveInterface forwardCurve)
static RandomVariable	Swap.getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurveInterface forwardCurve, DiscountCurveInterface discountCurve)
static RandomVariable	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, DiscountCurveInterface discountCurve)	Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
static RandomVariable	SwapAnnuity.getSwapAnnuity(TimeDiscretization tenor, ForwardCurveInterface forwardCurve)	Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.

Uses of TimeDiscretization in net.finmath.montecarlo

Methods in net.finmath.montecarlo that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	BrownianBridge.getTimeDiscretization()
TimeDiscretization	BrownianMotion.getTimeDiscretization()	Returns the time discretization used for this set of time-discrete Brownian increments.
TimeDiscretization	BrownianMotionFromMersenneRandomNumbers.getTimeDiscretization()
TimeDiscretization	BrownianMotionFromRandomNumberGenerator.getTimeDiscretization()
TimeDiscretization	BrownianMotionView.getTimeDiscretization()
TimeDiscretization	BrownianMotionWithControlVariate.getTimeDiscretization()
TimeDiscretization	CorrelatedBrownianMotion.getTimeDiscretization()
TimeDiscretization	GammaProcess.getTimeDiscretization()
TimeDiscretization	IndependentIncrements.getTimeDiscretization()	Returns the time discretization used for this set of time-discrete Brownian increments.
TimeDiscretization	IndependentIncrementsFromICDF.getTimeDiscretization()
TimeDiscretization	JumpProcessIncrements.getTimeDiscretization()
TimeDiscretization	MertonJumpProcess.getTimeDiscretization()
TimeDiscretization	MonteCarloSimulationModel.getTimeDiscretization()	Returns the timeDiscretizationFromArray.
TimeDiscretization	VarianceGammaProcess.getTimeDiscretization()

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

Modifier and Type	Method	Description
BrownianMotion	BrownianBridge.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)	Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
BrownianMotion	BrownianMotionFromMersenneRandomNumbers.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotionFromRandomNumberGenerator.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotionView.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotionWithControlVariate.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	CorrelatedBrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
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)
JumpProcessIncrements	JumpProcessIncrements.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
IndependentIncrements	MertonJumpProcess.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
IndependentIncrements	VarianceGammaProcess.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

Constructors in net.finmath.montecarlo with parameters of type TimeDiscretization

Constructor	Description
BrownianBridge(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, RandomVariable[] start, RandomVariable[] end)	Construct a Brownian bridge, bridging from a given start to a given end.
BrownianBridge(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, RandomVariable start, RandomVariable end)	Construct a Brownian bridge, bridging from a given start to a given end.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed)	Construct a Brownian motion.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, RandomVariableFactory randomVariableFactory)	Construct a Brownian motion.
BrownianMotionFromRandomNumberGenerator(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, RandomNumberGenerator randomNumberGenerator)	Construct a Brownian motion.
BrownianMotionFromRandomNumberGenerator(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, RandomNumberGenerator randomNumberGenerator, RandomVariableFactory randomVariableFactory)	Construct a Brownian motion.
BrownianMotionLazyInit(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed)	Deprecated. Construct a Brownian motion.
BrownianMotionLazyInit(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, RandomVariableFactory randomVariableFactory)	Deprecated. Construct a Brownian motion.
GammaProcess(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape)	Construct a Gamma process with a given shape parameter.
GammaProcess(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, double shape, double scale)	Construct a Gamma process with a given shape parameter.
IndependentIncrementsFromICDF(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, IntFunction<IntFunction<DoubleUnaryOperator>> inverseCumulativeDistributionFunctions)	Construct the simulation of independet increments.
IndependentIncrementsFromICDF(TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed, IntFunction<IntFunction<DoubleUnaryOperator>> inverseCumulativeDistributionFunctions, RandomVariableFactory randomVariableFactory)	Construct the simulation of independent increments.
JumpProcessIncrements(TimeDiscretization timeDiscretization, double[] jumpIntensities, int numberOfPaths, int seed)	Construct a jump process.
JumpProcessIncrements(TimeDiscretization timeDiscretization, double[] jumpIntensities, int numberOfPaths, int seed, RandomVariableFactory randomVariableFactory)	Construct a jump process.
MertonJumpProcess(double jumpIntensity, double jumpSizeMean, double jumpSizeStDev, TimeDiscretization timeDiscretization, int numberOfPaths, int seed)	Constructs a Merton Jump Process for Monte Carlo simulation.
VarianceGammaProcess(double sigma, double nu, double theta, TimeDiscretization timeDiscretization, int numberOfFactors, int numberOfPaths, int seed)

Uses of TimeDiscretization in net.finmath.montecarlo.assetderivativevaluation

Methods in net.finmath.montecarlo.assetderivativevaluation that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	MonteCarloAssetModel.getTimeDiscretization()
TimeDiscretization	MonteCarloMertonModel.getTimeDiscretization()
TimeDiscretization	MonteCarloMultiAssetBlackScholesModel.getTimeDiscretization()
TimeDiscretization	MonteCarloVarianceGammaModel.getTimeDiscretization()

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

Constructor	Description
MonteCarloBlackScholesModel(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility)	Create a Monte-Carlo simulation using given time discretization.
MonteCarloMertonModel(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, double initialValue, double riskFreeRate, double volatility, double jumpIntensity, double jumpSizeMean, double jumpSizeStDev)	Create a Monte-Carlo simulation using given time discretization and given parameters.
MonteCarloMertonModel(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, double initialValue, double riskFreeRate, double volatility, double jumpIntensity, double jumpSizeMean, double jumpSizeStDev, RandomVariableFactory randomVariableFactory)	Create a Monte-Carlo simulation using given time discretization and given parameters.
MonteCarloMultiAssetBlackScholesModel(TimeDiscretization timeDiscretization, int numberOfPaths, double[] initialValues, double riskFreeRate, double[] volatilities, double[][] correlations)	Create a Monte-Carlo simulation using given time discretization.
MonteCarloMultiAssetBlackScholesModel(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, double[] initialValues, double riskFreeRate, double[] volatilities, double[][] correlations)	Create a Monte-Carlo simulation using given time discretization.
MonteCarloVarianceGammaModel(TimeDiscretization timeDiscretization, int numberOfPaths, int seed, double initialValue, double riskFreeRate, double sigma, double theta, double nu)	Create a Monte Carlo simulation using a given time discretization.

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

Methods in net.finmath.montecarlo.assetderivativevaluation.products that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	AsianOption.getTimesForAveraging()	Returns the TimeDiscretization used for averaging in the asian option.

Constructors in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type TimeDiscretization

Constructor	Description
AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging)	Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging, Integer underlyingIndex)	Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins)	Construction of a variance minimizing hedge portfolio.

Uses of TimeDiscretization in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	HybridAssetLIBORModelMonteCarloSimulationFromModels.getLiborPeriodDiscretization()
TimeDiscretization	CrossCurrencyLIBORMarketModelFromModels.getTimeDiscretization()
TimeDiscretization	HybridAssetLIBORModelMonteCarloSimulationFromModels.getTimeDiscretization()

Uses of TimeDiscretization in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	LIBORModel.getLiborPeriodDiscretization()	The tenor time discretization of the forward rate curve.
TimeDiscretization	LIBORModelMonteCarloSimulationModel.getLiborPeriodDiscretization()	Returns the libor period discretization as time discretization representing start and end dates of periods.
TimeDiscretization	LIBORMonteCarloSimulationFromLIBORModel.getLiborPeriodDiscretization()
TimeDiscretization	LIBORMonteCarloSimulationFromTermStructureModel.getLiborPeriodDiscretization()
TimeDiscretization	LIBORMonteCarloSimulationFromLIBORModel.getTimeDiscretization()
TimeDiscretization	LIBORMonteCarloSimulationFromTermStructureModel.getTimeDiscretization()
TimeDiscretization	TermStructureMonteCarloSimulationFromTermStructureModel.getTimeDiscretization()

Methods in net.finmath.montecarlo.interestrate with parameters of type TimeDiscretization

Modifier and Type	Method	Description
double[][][]	LIBORMarketModel.getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)	Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).

Uses of TimeDiscretization in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	HullWhiteModel.getLiborPeriodDiscretization()
TimeDiscretization	HullWhiteModelWithConstantCoeff.getLiborPeriodDiscretization()
TimeDiscretization	HullWhiteModelWithDirectSimulation.getLiborPeriodDiscretization()
TimeDiscretization	HullWhiteModelWithShiftExtension.getLiborPeriodDiscretization()
TimeDiscretization	LIBORMarketModelFromCovarianceModel.getLiborPeriodDiscretization()
TimeDiscretization	LIBORMarketModelStandard.getLiborPeriodDiscretization()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type TimeDiscretization

Modifier and Type	Method	Description
double[][][]	LIBORMarketModelFromCovarianceModel.getIntegratedLIBORCovariance(TimeDiscretization simulationTimeDiscretization)
double[][][]	LIBORMarketModelStandard.getIntegratedLIBORCovariance(TimeDiscretization simulationTimeDiscretization)
RandomVariable	LIBORMarketModelWithTenorRefinement.getLIBORForStateVariable(TimeDiscretization liborPeriodDiscretization, RandomVariable[] stateVariables, double periodStart, double periodEnd)
RandomVariable	LIBORMarketModelWithTenorRefinement.getStateVariableForPeriod(TimeDiscretization liborPeriodDiscretization, RandomVariable[] stateVariables, double periodStart, double periodEnd)
static HullWhiteModel	HullWhiteModel.of(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type TimeDiscretization

Constructor	Description
HullWhiteModel(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithConstantCoeff(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, double meanReversion, double volatility, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithDirectSimulation(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithShiftExtension(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervals, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a model for given covariance.

Uses of TimeDiscretization in net.finmath.montecarlo.interestrate.models.covariance

Methods in net.finmath.montecarlo.interestrate.models.covariance that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	AbstractLIBORCovarianceModel.getLiborPeriodDiscretization()
TimeDiscretization	LIBORCorrelationModel.getLiborPeriodDiscretization()
TimeDiscretization	LIBORCovarianceModel.getLiborPeriodDiscretization()	The forward rate time discretization associated with this model (defines the components).
TimeDiscretization	LIBORVolatilityModel.getLiborPeriodDiscretization()
TimeDiscretization	LIBORVolatilityModelPiecewiseConstant.getSimulationTimeDiscretization()
TimeDiscretization	AbstractLIBORCovarianceModel.getTimeDiscretization()
TimeDiscretization	AbstractShortRateVolatilityModel.getTimeDiscretization()	The simulation time discretization associated with this model.
TimeDiscretization	LIBORCorrelationModel.getTimeDiscretization()
TimeDiscretization	LIBORCovarianceModel.getTimeDiscretization()	The simulation time discretization associated with this model.
TimeDiscretization	LIBORVolatilityModel.getTimeDiscretization()
TimeDiscretization	ShortRateVolatilityModel.getTimeDiscretization()	Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.
TimeDiscretization	ShortRateVolatilityModelAsGiven.getTimeDiscretization()
TimeDiscretization	ShortRateVolatilityModelHoLee.getTimeDiscretization()
TimeDiscretization	LIBORVolatilityModelPiecewiseConstant.getTimeToMaturityDiscretization()
TimeDiscretization	ShortRateVolatilityModelPiecewiseConstant.getVolatilityTimeDiscretization()	Returns the time discretization used for the picewise constant volatility and mean reversion.

Methods in net.finmath.montecarlo.interestrate.models.covariance with parameters of type TimeDiscretization

Modifier and Type	Method	Description
RandomVariable[]	TermStructCovarianceModelFromLIBORCovarianceModel.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
RandomVariable[]	TermStructCovarianceModelFromLIBORCovarianceModelParametric.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
RandomVariable[]	TermStructureFactorLoadingsModel.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)	Return the factor loading for a given time and a term structure period.

Constructors in net.finmath.montecarlo.interestrate.models.covariance with parameters of type TimeDiscretization

Constructor	Description
AbstractLIBORCovarianceModel(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)	Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORCovarianceModelParametric(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)	Constructor consuming time discretizations, which are handled by the super class.
AbstractShortRateVolatilityModel(TimeDiscretization timeDiscretization)	Constructor consuming time discretizations, which are handled by the super class.
AbstractShortRateVolatilityModelParametric(TimeDiscretization timeDiscretization)	Constructor consuming time discretization.
LIBORCorrelationModel(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization)
LIBORCorrelationModelExponentialDecay(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double a)
LIBORCorrelationModelExponentialDecay(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double a, boolean isCalibrateable)	Create a correlation model with an exponentially decaying correlation structure and the given number of factors.
LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double a, double b, double c, boolean isCalibrateable)
LIBORCovarianceModelBH(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)	Create model with default parameter.
LIBORCovarianceModelBH(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double[] parameter)	Create model.
LIBORCovarianceModelExponentialForm5Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)
LIBORCovarianceModelExponentialForm5Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, double[] parameters)
LIBORCovarianceModelExponentialForm5Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors, RandomVariable[] parameters)
LIBORCovarianceModelExponentialForm7Param(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, int numberOfFactors)
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)
LIBORVolatilityModel(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization)
LIBORVolatilityModelFourParameterExponentialForm(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable)	Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFourParameterExponentialForm(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable a, RandomVariable b, RandomVariable c, RandomVariable d, boolean isCalibrateable)	Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFourParameterExponentialForm(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable)	Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFourParameterExponentialForm(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable a, RandomVariable b, RandomVariable c, RandomVariable d, boolean isCalibrateable)	Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFourParameterExponentialFormIntegrated(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable)	Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \]
LIBORVolatilityModelFourParameterExponentialFormIntegrated(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d, boolean isCalibrateable)	Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \]
LIBORVolatilityModelFourParameterExponentialFormIntegrated(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable a, RandomVariable b, RandomVariable c, RandomVariable d, boolean isCalibrateable)	Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \]
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility, boolean isCalibrateable)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[][] volatility)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[][] volatility, boolean isCalibrateable)	Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[] a, double[] b, double[] c, double[] d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double[] a, double[] b, double[] c, double[] d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, double c, double d)
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable[] parameterA, RandomVariable[] parameterB, RandomVariable[] parameterC, RandomVariable[] parameterD)
LIBORVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double[][] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double volatility)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, double volatility, boolean isCalibrateable)
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization simulationTimeDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility, boolean isCalibrateable)
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility)	Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility)	Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, double[] volatility)	Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, TimeDiscretization timeToMaturityDiscretization, RandomVariable[] volatility)	Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTwoParameterExponentialForm(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b, boolean isCalibrateable)	Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, RandomVariable a, RandomVariable b, boolean isCalibrateable)	Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, double a, double b)	Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
ShortRateVolatilityModelAsGiven(TimeDiscretization timeDiscretization, double[] volatility, double[] meanReversion)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, double[] volatility, double[] meanReversion, boolean isVolatilityCalibrateable, boolean isMeanReversionCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory randomVariableFactory, TimeDiscretization timeDiscretization, TimeDiscretization volatilityTimeDiscretization, RandomVariable[] volatility, RandomVariable[] meanReversion, boolean isVolatilityCalibrateable, boolean isMeanReversionCalibrateable)
TermStructureTenorTimeScalingPicewiseConstant(TimeDiscretization timeDiscretization, double[] parameters)

Uses of TimeDiscretization in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	BermudanSwaptionFromSwapSchedules.getProcessTimeDiscretization(LocalDateTime referenceDate)
TimeDiscretization	SwaptionFromSwapSchedules.getProcessTimeDiscretization(LocalDateTime referenceDate)

Methods in net.finmath.montecarlo.interestrate.products with parameters of type TimeDiscretization

Modifier and Type	Method	Description
static TermStructureMonteCarloProduct	SwaptionFactory.createSwaption(String className, double swaprate, TimeDiscretization swapTenor, String valueUnitAsString)
Map<String,double[]>	SwaptionAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionAnalyticApproximationRebonato.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve, double[] swapTenor)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
static Map<String,double[]>	SwaptionSingleCurveAnalyticApproximation.getLogSwaprateDerivative(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardCurve, double[] swapTenor)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getLogSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, DiscountCurve discountCurve, ForwardCurve forwardCurve)	This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, AnalyticModel model, DiscountCurve discountCurve, ForwardCurve forwardCurve)	Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionAnalyticApproximationRebonato.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionGeneralizedAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d S/d L (t) = d S/d L (0).
RandomVariable	SwaptionSingleCurveAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type TimeDiscretization

Constructor	Description
Swaption(double exerciseDate, TimeDiscretization swapTenor, double swaprate)	Creates a swaption using a TimeDiscretizationFromArray
SwaptionAnalyticApproximation(double swaprate, TimeDiscretization swapTenor)	Create an analytic swaption approximation product for log normal forward rate model.
SwaptionAnalyticApproximationRebonato(double swaprate, TimeDiscretization swapTenor)	Create an analytic swaption approximation product for log normal forward rate model.
SwaptionGeneralizedAnalyticApproximation(double swaprate, TimeDiscretization swapTenor, SwaptionGeneralizedAnalyticApproximation.StateSpace stateSpace)	Create an analytic swaption approximation product for log normal forward rate model.
SwaptionSimple(double swaprate, TimeDiscretization swapTenor)	Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
SwaptionSingleCurve(double exerciseDate, TimeDiscretization swapTenor, double swaprate)	Creates a swaption using a TimeDiscretizationFromArray
SwaptionSingleCurveAnalyticApproximation(double swaprate, TimeDiscretization swapTenor)	Create an analytic swaption approximation product for log normal forward rate model.

Uses of TimeDiscretization in net.finmath.montecarlo.process

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

Modifier and Type	Method	Description
TimeDiscretization	ProcessTimeDiscretizationProvider.getProcessTimeDiscretization(LocalDateTime referenceDate)	Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.
TimeDiscretization	LinearInterpolatedTimeDiscreteProcess.getTimeDiscretization()
TimeDiscretization	MonteCarloProcessFromProcessModel.getTimeDiscretization()
TimeDiscretization	Process.getTimeDiscretization()

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

Constructor	Description
MonteCarloProcessFromProcessModel(TimeDiscretization timeDiscretization, ProcessModel model)	Create a discretization scheme / a time discrete process.

Uses of TimeDiscretization in net.finmath.montecarlo.templatemethoddesign

Methods in net.finmath.montecarlo.templatemethoddesign that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	LogNormalProcess.getTimeDiscretization()

Constructors in net.finmath.montecarlo.templatemethoddesign with parameters of type TimeDiscretization

Constructor	Description
LogNormalProcess(TimeDiscretization timeDiscretization, int numberOfComponents, int numberOfPaths)	Create a simulation of log normal process.
LogNormalProcess(TimeDiscretization timeDiscretization, int numberOfComponents, int numberOfFactors, int numberOfPaths, int seed)	Create a simulation of log normal process.

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

Constructors in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation with parameters of type TimeDiscretization

Constructor	Description
MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility)	Create a Monte-Carlo simulation using given time discretization.
MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility, int seed)	Create a Monte-Carlo simulation using given time discretization.

Uses of TimeDiscretization in net.finmath.swing

Methods in net.finmath.swing with parameters of type TimeDiscretization

Modifier and Type	Method	Description
void	JNumberField.setAdmissibleValues(TimeDiscretization timeDiscretization)

Uses of TimeDiscretization in net.finmath.time

Classes in net.finmath.time that implement TimeDiscretization

Modifier and Type	Class	Description
class	TenorFromArray	Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.
class	TimeDiscretizationFromArray	This class represents a set of discrete points in time.

Methods in net.finmath.time that return TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	TimeDiscretization.getTimeShiftedTimeDiscretization(double timeShift)	Return a new time discretization where all time points have been shifted by a given time shift.
TimeDiscretization	TimeDiscretizationFromArray.getTimeShiftedTimeDiscretization(double timeShift)
TimeDiscretization	TimeDiscretization.intersect(TimeDiscretization that)	Returns the intersection of this time discretization with another one.
TimeDiscretization	TimeDiscretizationFromArray.intersect(TimeDiscretization that)
TimeDiscretization	TimeDiscretization.union(TimeDiscretization that)	Returns the union of this time discretization with another one.
TimeDiscretization	TimeDiscretizationFromArray.union(TimeDiscretization that)

Methods in net.finmath.time with parameters of type TimeDiscretization

Modifier and Type	Method	Description
TimeDiscretization	TimeDiscretization.intersect(TimeDiscretization that)	Returns the intersection of this time discretization with another one.
TimeDiscretization	TimeDiscretizationFromArray.intersect(TimeDiscretization that)
TimeDiscretization	TimeDiscretization.union(TimeDiscretization that)	Returns the union of this time discretization with another one.
TimeDiscretization	TimeDiscretizationFromArray.union(TimeDiscretization that)

Constructors in net.finmath.time with parameters of type TimeDiscretization

Constructor	Description
RegularSchedule(TimeDiscretization timeDiscretization)	Create a schedule from a time discretization.