Uses of Enum
net.finmath.montecarlo.assetderivativevaluation.models.HestonModel.Scheme
Package
Description
Provides classes to build models from descriptors.
Equity models implementing
ProcessModel
e.g.-
Uses of HestonModel.Scheme in net.finmath.modelling.modelfactory
ModifierConstructorDescriptionAssetModelMonteCarloFactory
(RandomVariableFactory randomVariableFactory, IndependentIncrements stochasticDriver, HestonModel.Scheme scheme) Create the factory.HestonModelMonteCarloFactory
(HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory, IndependentIncrements brownianMotion) -
Uses of HestonModel.Scheme in net.finmath.montecarlo.assetderivativevaluation.models
Modifier and TypeMethodDescriptionHestonModel.getScheme()
static HestonModel.Scheme
Returns the enum constant of this type with the specified name.static HestonModel.Scheme[]
HestonModel.Scheme.values()
Returns an array containing the constants of this enum type, in the order they are declared.ModifierConstructorDescriptionHestonModel
(double initialValue, double riskFreeRate, double volatility, double discountRate, double theta, double kappa, double xi, double rho, HestonModel.Scheme scheme) Create a Heston model.HestonModel
(double initialValue, double riskFreeRate, double volatility, double discountRate, double theta, double kappa, double xi, double rho, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory) Create a Heston model.HestonModel
(double initialValue, double riskFreeRate, double volatility, double theta, double kappa, double xi, double rho, HestonModel.Scheme scheme) Create a Heston model.HestonModel
(HestonModelDescriptor descriptor, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory) Create the model from a descriptor.HestonModel
(RandomVariable initialValue, DiscountCurve discountCurveForForwardRate, RandomVariable volatility, DiscountCurve discountCurveForDiscountRate, RandomVariable theta, RandomVariable kappa, RandomVariable xi, RandomVariable rho, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory) Create a Heston model.HestonModel
(RandomVariable initialValue, RandomVariable riskFreeRate, RandomVariable volatility, RandomVariable discountRate, RandomVariable theta, RandomVariable kappa, RandomVariable xi, RandomVariable rho, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory) Create a Heston model.