Uses of Interface
net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider

Packages that use IndependentModelParameterProvider

Package	Description
net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities	Provides method to obtain robust and fast forward sensitivites and hedge ratios.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.interestrate	Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.

Uses of IndependentModelParameterProvider in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities

Methods in net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities with parameters of type IndependentModelParameterProvider

Modifier and Type	Method	Description
static Map<String,Long>	ForwardSensitivities.getDifferentiableModelParameterIDs(IndependentModelParameterProvider parameterProvider)	Extract differentiable model parameters M_i and their AAD IDs.

Uses of IndependentModelParameterProvider in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of IndependentModelParameterProvider in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface	Description
interface	HybridAssetLIBORModelMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.

Classes in net.finmath.montecarlo.hybridassetinterestrate that implement IndependentModelParameterProvider

Modifier and Type	Class	Description
class	HybridAssetLIBORModelMonteCarloSimulationFromModels	An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Uses of IndependentModelParameterProvider in net.finmath.montecarlo.interestrate

Subinterfaces of IndependentModelParameterProvider 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	LIBORModelMonteCarloSimulationModel	Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
interface	TermStructureMonteCarloSimulationModel

Classes in net.finmath.montecarlo.interestrate that implement IndependentModelParameterProvider

Modifier and Type	Class	Description
class	LIBORMonteCarloSimulationFromLIBORModel	Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g. implemented by LIBORMarketModelFromCovarianceModel) and MonteCarloProcess process (e.g. implemented by EulerSchemeFromProcessModel
class	LIBORMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.
class	TermStructureMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.

Uses of IndependentModelParameterProvider in net.finmath.montecarlo.interestrate.models

Classes in net.finmath.montecarlo.interestrate.models that implement IndependentModelParameterProvider

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.