Class MonteCarloMertonModel

    • Constructor Detail

      • MonteCarloMertonModel

        public MonteCarloMertonModel​(TimeDiscretization timeDiscretization,
                                     int numberOfPaths,
                                     int seed,
                                     double initialValue,
                                     double riskFreeRate,
                                     double volatility,
                                     double jumpIntensity,
                                     double jumpSizeMean,
                                     double jumpSizeStDev,
                                     RandomVariableFactory randomVariableFactory)
        Create a Monte-Carlo simulation using given time discretization and given parameters.
        Parameters:
        timeDiscretization - The time discretization.
        numberOfPaths - The number of Monte-Carlo path to be used.
        seed - The seed used for the random number generator.
        initialValue - Spot value.
        riskFreeRate - The risk free rate.
        volatility - The log volatility.
        jumpIntensity - The intensity parameter lambda of the compound Poisson process.
        jumpSizeMean - The mean jump size of the normal distributes jump sizes of the compound Poisson process.
        jumpSizeStDev - The standard deviation of the normal distributes jump sizes of the compound Poisson process.
        randomVariableFactory - The factory to be used to construct random variables.
      • MonteCarloMertonModel

        public MonteCarloMertonModel​(TimeDiscretization timeDiscretization,
                                     int numberOfPaths,
                                     int seed,
                                     double initialValue,
                                     double riskFreeRate,
                                     double volatility,
                                     double jumpIntensity,
                                     double jumpSizeMean,
                                     double jumpSizeStDev)
        Create a Monte-Carlo simulation using given time discretization and given parameters.
        Parameters:
        timeDiscretization - The time discretization.
        numberOfPaths - The number of Monte-Carlo path to be used.
        seed - The seed used for the random number generator.
        initialValue - Spot value.
        riskFreeRate - The risk free rate.
        volatility - The log volatility.
        jumpIntensity - The intensity parameter lambda of the compound Poisson process.
        jumpSizeMean - The mean jump size of the normal distributes jump sizes of the compound Poisson process.
        jumpSizeStDev - The standard deviation of the normal distributes jump sizes of the compound Poisson process.