Uses of Interface
net.finmath.montecarlo.BrownianMotion
Package
Description
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.
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
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Uses of BrownianMotion in net.finmath.montecarlo
Modifier and TypeClassDescriptionclass
This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.class
Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion and Wi, Wj are independent for i not equal j.class
Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion and Wi, Wj are independent for i not equal j.class
Deprecated.Refactor rename.class
A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.class
Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.class
Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.Modifier and TypeMethodDescriptionVarianceGammaProcess.getBrownianMotion()
BrownianBridge.getCloneWithModifiedSeed
(int seed) BrownianMotion.getCloneWithModifiedSeed
(int seed) Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.BrownianMotionFromMersenneRandomNumbers.getCloneWithModifiedSeed
(int seed) BrownianMotionFromRandomNumberGenerator.getCloneWithModifiedSeed
(int seed) BrownianMotionView.getCloneWithModifiedSeed
(int seed) BrownianMotionWithControlVariate.getCloneWithModifiedSeed
(int seed) CorrelatedBrownianMotion.getCloneWithModifiedSeed
(int seed) BrownianBridge.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) BrownianMotion.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.BrownianMotionFromMersenneRandomNumbers.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) BrownianMotionFromRandomNumberGenerator.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) BrownianMotionView.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) BrownianMotionWithControlVariate.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) CorrelatedBrownianMotion.getCloneWithModifiedTimeDiscretization
(TimeDiscretization newTimeDiscretization) ModifierConstructorDescriptionBrownianBridge
(BrownianMotion generator, RandomVariable[] start, RandomVariable[] end) BrownianMotionView
(BrownianMotion brownianMotion, Integer[] factors) Create a sub-view on a Brownian motion.BrownianMotionWithControlVariate
(BrownianMotion brownianMotion) Create a controlled Brownian motion.CorrelatedBrownianMotion
(BrownianMotion uncollelatedFactors, double[][] factorLoadings) Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings. -
Uses of BrownianMotion in net.finmath.montecarlo.assetderivativevaluation
ModifierConstructorDescriptionMonteCarloBlackScholesModel
(double initialValue, double riskFreeRate, double volatility, BrownianMotion brownianMotion) Create a Monte-Carlo simulation using given process discretization scheme.MonteCarloMultiAssetBlackScholesModel
(BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[] volatilities, double[][] correlations) Create a Monte-Carlo simulation using given time discretization.MonteCarloMultiAssetBlackScholesModel
(RandomVariableFactory randomVariableFactory, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] factorLoadings) Create a Monte-Carlo simulation using given time discretization. -
Uses of BrownianMotion in net.finmath.montecarlo.hybridassetinterestrate
Modifier and TypeMethodDescriptionHybridAssetLIBORModelMonteCarloSimulationFromModels.getBrownianMotion()
Modifier and TypeMethodDescriptionModelFactory.getHybridAssetLIBORModel
(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility. -
Uses of BrownianMotion in net.finmath.montecarlo.interestrate
Modifier and TypeMethodDescriptionLIBORMonteCarloSimulationFromLIBORModel.getBrownianMotion()
default BrownianMotion
TermStructureMonteCarloSimulationModel.getBrownianMotion()
Returns the Brownian motion used to simulate the curve. -
Uses of BrownianMotion in net.finmath.montecarlo.interestrate.models.covariance
ModifierConstructorDescriptionLIBORCovarianceModelStochasticHestonVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double kappa, double theta, double xi, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.LIBORCovarianceModelStochasticHestonVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable kappa, RandomVariable theta, RandomVariable xi, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.LIBORCovarianceModelStochasticVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double nu, double rho, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.LIBORCovarianceModelStochasticVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable nu, RandomVariable rho, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling. -
Uses of BrownianMotion in net.finmath.montecarlo.templatemethoddesign
Modifier and TypeMethodDescriptionprotected void
LogNormalProcess.setBrownianMotion
(BrownianMotion brownianMotion) A derived class may change the Brownian motion.ModifierConstructorDescriptionLogNormalProcess
(int numberOfComponents, BrownianMotion brownianMotion) Create a log normal process.