## Uses of Interfacenet.finmath.montecarlo.model.ProcessModel

• Packages that use ProcessModel
Package Description
net.finmath.montecarlo.assetderivativevaluation
Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models
Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.crosscurrency
Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
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.model
Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
• ### Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation

Classes in net.finmath.montecarlo.assetderivativevaluation that implement ProcessModel
Modifier and Type Class Description
class  MonteCarloMultiAssetBlackScholesModel
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.
Methods in net.finmath.montecarlo.assetderivativevaluation that return ProcessModel
Modifier and Type Method Description
ProcessModel MonteCarloAssetModel.getModel()
Returns the ProcessModel used for this Monte-Carlo simulation.
Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type ProcessModel
Constructor Description
MonteCarloAssetModel​(ProcessModel model, IndependentIncrements stochasticDriver)
MonteCarloAssetModel​(ProcessModel model, MonteCarloProcess process)
Create a Monte-Carlo simulation using given process discretization scheme.
• ### Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation.models

Classes in net.finmath.montecarlo.assetderivativevaluation.models that implement ProcessModel
Modifier and Type Class Description
class  BachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  BlackScholesModel
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  BlackScholesModelWithCurves
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  DisplacedLognomalModel
This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  HestonModel
This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  InhomogeneousDisplacedLognomalModel
This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  InhomogenousBachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  MertonModel
This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class  VarianceGammaModel
This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
Methods in net.finmath.montecarlo.assetderivativevaluation.models that return ProcessModel
Modifier and Type Method Description
ProcessModel MertonModel.getCloneWithModifiedData​(Map<String,​Object> dataModified)
ProcessModel VarianceGammaModel.getCloneWithModifiedData​(Map<String,​Object> dataModified)
• ### Uses of ProcessModel in net.finmath.montecarlo.crosscurrency

Methods in net.finmath.montecarlo.crosscurrency that return ProcessModel
Modifier and Type Method Description
ProcessModel CrossCurrencyTermStructureMonteCarloSimulationModel.getModel()
Returns the underlying model.
• ### Uses of ProcessModel in net.finmath.montecarlo.hybridassetinterestrate

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type ProcessModel
Constructor Description
ConvexityAdjustedModel​(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,​Integer> factorLoadingMap)
• ### Uses of ProcessModel in net.finmath.montecarlo.interestrate

Subinterfaces of ProcessModel in net.finmath.montecarlo.interestrate
Modifier and Type Interface Description
interface  LIBORMarketModel
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
interface  LIBORModel
interface  TermStructureModel
Methods in net.finmath.montecarlo.interestrate that return ProcessModel
Modifier and Type Method Description
ProcessModel TermStructureMonteCarloSimulationModel.getModel()
Returns the underlying model.
• ### Uses of ProcessModel in net.finmath.montecarlo.interestrate.models

Classes in net.finmath.montecarlo.interestrate.models that implement ProcessModel
Modifier and Type Class Description
class  HullWhiteModel
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class  HullWhiteModelWithConstantCoeff
Implements a Hull-White model with constant coefficients.
class  HullWhiteModelWithDirectSimulation
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class  HullWhiteModelWithShiftExtension
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class  LIBORMarketModelFromCovarianceModel
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class  LIBORMarketModelStandard
Implements a basic LIBOR market model with some drift approximation methods.
class  LIBORMarketModelWithTenorRefinement
Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.
• ### Uses of ProcessModel in net.finmath.montecarlo.model

Classes in net.finmath.montecarlo.model that implement ProcessModel
Modifier and Type Class Description
class  AbstractProcessModel
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
Methods in net.finmath.montecarlo.model that return ProcessModel
Modifier and Type Method Description
ProcessModel ProcessModel.getCloneWithModifiedData​(Map<String,​Object> dataModified)
Returns a clone of this model where the specified properties have been modified.
• ### Uses of ProcessModel in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that return ProcessModel
Modifier and Type Method Description
ProcessModel MonteCarloProcessFromProcessModel.getModel()
Get the model used to generate the stochastic process.
default ProcessModel Process.getModel()
Returns the model that is used to generate this process, null if no model was used.
Methods in net.finmath.montecarlo.process with parameters of type ProcessModel
Modifier and Type Method Description
MonteCarloProcess EulerSchemeFromProcessModel.getCloneWithModifiedModel​(ProcessModel model)
MonteCarloProcess MonteCarloProcess.getCloneWithModifiedModel​(ProcessModel model)
Returns a clone of this model where the specified properties have been modified.
Constructors in net.finmath.montecarlo.process with parameters of type ProcessModel
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.
MonteCarloProcessFromProcessModel​(TimeDiscretization timeDiscretization, ProcessModel model)
Create a discretization scheme / a time discrete process.