Uses of Interface
net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel

Packages that use AssetModelMonteCarloSimulationModel

Package	Description
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.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.

Uses of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation

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

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

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

Modifier and Type	Method	Description
AssetModelMonteCarloSimulationModel	AssetModelMonteCarloSimulationModel.getCloneWithModifiedData(Map<String,Object> dataModified)	Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationModel	MonteCarloMertonModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	MonteCarloVarianceGammaModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	AssetModelMonteCarloSimulationModel.getCloneWithModifiedSeed(int seed)	Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
AssetModelMonteCarloSimulationModel	MonteCarloAssetModel.getCloneWithModifiedSeed(int seed)	Deprecated.
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel.getCloneWithModifiedSeed(int seed)
AssetModelMonteCarloSimulationModel	MonteCarloMertonModel.getCloneWithModifiedSeed(int seed)
AssetModelMonteCarloSimulationModel	MonteCarloMultiAssetBlackScholesModel.getCloneWithModifiedSeed(int seed)
AssetModelMonteCarloSimulationModel	MonteCarloVarianceGammaModel.getCloneWithModifiedSeed(int seed)

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

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

Modifier and Type	Method	Description
RandomVariable	EuropeanOptionWithBoundary.getBoundaryAdjustment(double fromTime, double toTime, AssetModelMonteCarloSimulationModel model, RandomVariable continuationValues)
abstract RandomVariable	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	AsianOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	AssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	BasketOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BermudanDigitalOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BermudanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BlackScholesDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	BlackScholesHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	DeltaHedgedPortfolioWithAAD.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	DigitalOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	DigitalOptionDeltaLikelihood.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	EuropeanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	EuropeanOptionDeltaLikelihood.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	EuropeanOptionDeltaPathwise.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	EuropeanOptionDeltaPathwiseForGeometricModel.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableAccumulator	EuropeanOptionGammaLikelihood.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionGammaLikelihood.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the value of the option under a given model.
RandomVariableAccumulator	EuropeanOptionGammaPathwise.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionGammaPathwise.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the value of the option under a given model.
RandomVariableAccumulator	EuropeanOptionRhoLikelihood.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionRhoLikelihood.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the value of the option under a given model.
RandomVariableAccumulator	EuropeanOptionRhoPathwise.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionRhoPathwise.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the value of the option under a given model.
RandomVariable	EuropeanOptionThetaPathwise.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionThetaPathwise.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the theta of the option under a given model.
RandomVariableAccumulator	EuropeanOptionVegaLikelihood.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionVegaLikelihood.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the value of the option under a given model.
RandomVariable	EuropeanOptionVegaPathwise.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	EuropeanOptionVegaPathwise.getValue(AssetModelMonteCarloSimulationModel model)	Calculates the vega of the option under a given model using the pathwise method.
RandomVariable	EuropeanOptionWithBoundary.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	FiniteDifferenceDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	FiniteDifferenceHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	ForwardAgreement.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	ForwardAgreementWithFundingRequirement.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	LocalRiskMinimizingHedgePortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)

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

Modifier	Constructor	Description
	ConstantBarrier(AssetModelMonteCarloSimulationModel scheme)
	FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging)	Construction of a delta hedge portfolio using finite differences on every path and in every time-step.
	FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, ArrayList<AbstractAssetMonteCarloProduct> hedgeProducts, FiniteDifferenceHedgedPortfolio.HedgeStrategy hedgeStrategy)	Construction of a hedge portfolio.
	LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins)	Construction of a variance minimizing hedge portfolio.

Uses of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

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

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

Modifier and Type	Class	Description
class	HybridAssetLIBORModelMonteCarloSimulationFromModels	An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type AssetModelMonteCarloSimulationModel

Modifier	Constructor	Description
	HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation)
	HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve)	Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

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

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

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

Methods in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation that return AssetModelMonteCarloSimulationModel

Modifier and Type	Method	Description
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel2.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel2.getCloneWithModifiedSeed(int seed)