Uses of Interface
net.finmath.modelling.Model
Packages that use Model
Package
Description
Models provided for finite difference solvers.
Product valuation code for models using backward propagation.
Provides characteristic functions of stochastic processes (models).
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface separating models and products.
Provides classes to build models from descriptors.
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.
Monte-Carlo models for asset value processes, like the Black Scholes model.
Products which may be valued using an
AssetModelMonteCarloSimulationModel
.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 which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
.Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.Legacy classes related to Monte-Carlo simulation - used for teaching only.
Classes extending the regular analytic model, see
net.finmath.marketdata.model
, with the capacity to hold volatility cubes,
see VolatilityCube
.Provides interface specification and implementation of product based on a single interest rate curve.
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Uses of Model in net.finmath.finitedifference.models
Subinterfaces of Model in net.finmath.finitedifference.modelsModifier and TypeInterfaceDescriptioninterface
Interface one dimensional finite difference models.Classes in net.finmath.finitedifference.models that implement ModelModifier and TypeClassDescriptionclass
Black Scholes model using finite difference method.class
CEV model using finite difference method. -
Uses of Model in net.finmath.finitedifference.products
Methods in net.finmath.finitedifference.products with parameters of type Model -
Uses of Model in net.finmath.fouriermethod.models
Subinterfaces of Model in net.finmath.fouriermethod.modelsModifier and TypeInterfaceDescriptioninterface
Interface which has to be implemented by models providing the characteristic functions of stochastic processes.Classes in net.finmath.fouriermethod.models that implement ModelModifier and TypeClassDescriptionclass
Implements the characteristic function of a Bates model.class
Implements the characteristic function of a Black Scholes model.class
Implements the characteristic function of a Heston model.class
Implements the characteristic function of a Merton jump diffusion model.class
Implements the characteristic function of a Variance Gamma model. -
Uses of Model in net.finmath.fouriermethod.products
Methods in net.finmath.fouriermethod.products with parameters of type ModelModifier and TypeMethodDescription -
Uses of Model in net.finmath.marketdata.model
Subinterfaces of Model in net.finmath.marketdata.modelModifier and TypeInterfaceDescriptioninterface
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.Classes in net.finmath.marketdata.model that implement ModelModifier and TypeClassDescriptionclass
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves"). -
Uses of Model in net.finmath.marketdata.products
Methods in net.finmath.marketdata.products with parameters of type Model -
Uses of Model in net.finmath.marketdata2.model
Subinterfaces of Model in net.finmath.marketdata2.modelModifier and TypeInterfaceDescriptioninterface
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.Classes in net.finmath.marketdata2.model that implement ModelModifier and TypeClassDescriptionclass
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves"). -
Uses of Model in net.finmath.marketdata2.products
Methods in net.finmath.marketdata2.products with parameters of type Model -
Uses of Model in net.finmath.modelling
Subinterfaces of Model in net.finmath.modellingModifier and TypeInterfaceDescriptioninterface
DescribedModel<M extends ModelDescriptor>
Interface for models which can provide a complete description of their model parameters (independent of the implementation of the numerical method).Methods in net.finmath.modelling with parameters of type ModelModifier and TypeMethodDescriptionReturn the valuation of the product using the given model.Return the valuation of the product using the given model. -
Uses of Model in net.finmath.modelling.modelfactory
Classes in net.finmath.modelling.modelfactory that implement ModelModifier and TypeClassDescriptionstatic class
Class extendingAnalyticModelFromCurvesAndVols
with the functionality of a described model. -
Uses of Model in net.finmath.montecarlo
Subinterfaces of Model in net.finmath.montecarloModifier and TypeInterfaceDescriptioninterface
The interface implemented by a simulation of an SDE.Methods in net.finmath.montecarlo with parameters of type ModelModifier and TypeMethodDescription -
Uses of Model in net.finmath.montecarlo.assetderivativevaluation
Subinterfaces of Model in net.finmath.montecarlo.assetderivativevaluationModifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for asset processes.Classes in net.finmath.montecarlo.assetderivativevaluation that implement ModelModifier and TypeClassDescriptionclass
This class glues together anAbstractProcessModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
and implementsAssetModelMonteCarloSimulationModel
.class
This class glues together aBlackScholeModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
and forms a Monte-Carlo implementation of the Black-Scholes Model by implementingAssetModelMonteCarloSimulationModel
.class
This class glues together aMertonModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
, namelyEulerSchemeFromProcessModel
, and forms a Monte-Carlo implementation of the Merton model by implementingAssetModelMonteCarloSimulationModel
.class
This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementingAssetModelMonteCarloSimulationModel
.class
This class glues together aVarianceGammaModel
and a Monte-Carlo implementation of aMonteCarloProcessFromProcessModel
and forms a Monte-Carlo implementation of the Variance Gamma Model by implementingAssetModelMonteCarloSimulationModel
. -
Uses of Model in net.finmath.montecarlo.assetderivativevaluation.products
Methods in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type ModelModifier and TypeMethodDescription -
Uses of Model in net.finmath.montecarlo.crosscurrency
Subinterfaces of Model in net.finmath.montecarlo.crosscurrencyModifier and TypeInterfaceDescriptioninterface
Interface for cross currency term structure models. -
Uses of Model in net.finmath.montecarlo.hybridassetinterestrate
Subinterfaces of Model in net.finmath.montecarlo.hybridassetinterestrateModifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.interface
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.Classes in net.finmath.montecarlo.hybridassetinterestrate that implement ModelModifier and TypeClassDescriptionclass
Cross Currency LIBOR Market Model with Black-Scholes FX Model.class
An Equity Hybrid LIBOR Market Model composed of an object implementingLIBORModelMonteCarloSimulationModel
providing the interest rate simulation and the numeraire and an object implementingAssetModelMonteCarloSimulationModel
providing the asset simulation. -
Uses of Model in net.finmath.montecarlo.hybridassetinterestrate.products
Methods in net.finmath.montecarlo.hybridassetinterestrate.products with parameters of type Model -
Uses of Model in net.finmath.montecarlo.interestrate
Subinterfaces of Model in net.finmath.montecarlo.interestrateModifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.interface
Classes in net.finmath.montecarlo.interestrate that implement ModelModifier and TypeClassDescriptionclass
Implements convenient methods for a LIBOR market model, based on a givenLIBORModel
model (e.g.class
Implements convenient methods for a LIBOR market model, based on a givenLIBORMarketModelFromCovarianceModel
model andAbstractLogNormalProcess
process.class
Implements convenient methods for a LIBOR market model, based on a givenLIBORMarketModelFromCovarianceModel
model andAbstractLogNormalProcess
process. -
Uses of Model in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation
Classes in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation that implement ModelModifier and TypeClassDescriptionclass
Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process -
Uses of Model in net.finmath.singleswaprate.model
Subinterfaces of Model in net.finmath.singleswaprate.modelModifier and TypeInterfaceDescriptioninterface
A collection of objects representing analytic valuations.Classes in net.finmath.singleswaprate.model that implement ModelModifier and TypeClassDescriptionclass
Implementation ofVolatilityCubeModel
based onAnalyticModelFromCurvesAndVols
. -
Uses of Model in net.finmath.singleswaprate.products
Methods in net.finmath.singleswaprate.products with parameters of type Model