Uses of Package
net.finmath.montecarlo.process
Packages that use net.finmath.montecarlo.process
Package
Description
Monte-Carlo models for asset value processes, like the Black Scholes model.
Equity models implementing
ProcessModel
e.g.Provides classes for Cross-Currency models to be implemented via Monte-Carlo
algorithms from
net.finmath.montecarlo.process.Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process.Interest rate models implementing
ProcessModel
e.g.Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.Provides an interface and a base class for process models, i.e., models providing the parameters for
stochastic processes.
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
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Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.assetderivativevaluationClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.assetderivativevaluation.modelsClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.crosscurrencyClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.hybridassetinterestrateClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrateClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate.modelsClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate.productsClassDescriptionAn object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object.
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Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.modelClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.processClassDescriptionThis class implements some numerical schemes for multi-dimensional multi-factor Ito process.A linear interpolated time discrete process, that is, given a collection of tuples (
Double,RandomVariable) representing realizations \( X(t_{i}) \) this class implements theProcessand creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.The interface for a stochastic process X.