Uses of Interface
net.finmath.montecarlo.MonteCarloSimulationModel
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.
Products which may be valued using an
AssetModelMonteCarloSimulationModel
.Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
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
.Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Provides a set product components which allow to build financial products by composition.
Products which are model independent, but assume a Monte-Carlo simulation.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
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Uses of MonteCarloSimulationModel in net.finmath.montecarlo
Modifier and TypeMethodDescriptionMonteCarloSimulationModel.getCloneWithModifiedData
(Map<String, Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).Modifier and TypeMethodDescriptionabstract RandomVariable
AbstractMonteCarloProduct.getValue
(double evaluationTime, MonteCarloSimulationModel model) double
AbstractMonteCarloProduct.getValue
(MonteCarloSimulationModel model) MonteCarloProduct.getValue
(double evaluationTime, MonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.double
MonteCarloProduct.getValue
(MonteCarloSimulationModel model) This method returns the value of the product under the specified model.AbstractMonteCarloProduct.getValues
(double evaluationTime, MonteCarloSimulationModel model) AbstractMonteCarloProduct.getValues
(MonteCarloSimulationModel model) MonteCarloProduct.getValues
(double evaluationTime, MonteCarloSimulationModel model) This method returns the value of the product under the specified model and other information in a key-value map.MonteCarloProduct.getValues
(MonteCarloSimulationModel model) This method returns the value of the product under the specified model and other information in a key-value map.AbstractMonteCarloProduct.getValuesForModifiedData
(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified) AbstractMonteCarloProduct.getValuesForModifiedData
(double evaluationTime, MonteCarloSimulationModel model, Map<String, Object> dataModified) AbstractMonteCarloProduct.getValuesForModifiedData
(MonteCarloSimulationModel model, String entityKey, Object dataModified) AbstractMonteCarloProduct.getValuesForModifiedData
(MonteCarloSimulationModel model, Map<String, Object> dataModified) MonteCarloProduct.getValuesForModifiedData
(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).MonteCarloProduct.getValuesForModifiedData
(double evaluationTime, MonteCarloSimulationModel model, Map<String, Object> dataModified) This method returns the value under shifted market data (or model parameters).MonteCarloProduct.getValuesForModifiedData
(MonteCarloSimulationModel model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).MonteCarloProduct.getValuesForModifiedData
(MonteCarloSimulationModel model, Map<String, Object> dataModified) This method returns the value under shifted market data (or model parameters). -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation
Modifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for asset processes.Modifier 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 MonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation.products
Modifier and TypeMethodDescriptionAbstractAssetMonteCarloProduct.getValue
(double evaluationTime, MonteCarloSimulationModel model) -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.conditionalexpectation
Modifier and TypeMethodDescriptionRegressionBasisFunctionsFromProducts.getBasisFunctions
(double evaluationTime, MonteCarloSimulationModel model) RegressionBasisFunctionsProvider.getBasisFunctions
(double evaluationTime, MonteCarloSimulationModel model) Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions. -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.crosscurrency
Modifier and TypeInterfaceDescriptioninterface
Interface for cross currency term structure models. -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate
Modifier 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.Modifier 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.Modifier and TypeMethodDescriptionCrossCurrencyLIBORMarketModelFromModels.getCloneWithModifiedData
(Map<String, Object> dataModified) -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate.products
Modifier and TypeMethodDescriptionHybridAssetMonteCarloProduct.getValue
(double evaluationTime, MonteCarloSimulationModel model) HybridAssetMonteCarloProduct.getValueForModifiedData
(double evaluationTime, MonteCarloSimulationModel monteCarloSimulationInterface, Map<String, Object> dataModified) -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.interestrate
Modifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.interface
Modifier 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 MonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products
Modifier and TypeMethodDescriptionBermudanSwaption.getBasisFunctions
(double fixingDate, MonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.BermudanSwaptionFromSwapSchedules.getBasisFunctions
(double evaluationTime, MonteCarloSimulationModel model) AbstractTermStructureMonteCarloProduct.getValue
(double evaluationTime, MonteCarloSimulationModel model) SwaprateCovarianceAnalyticApproximation.getValue
(double evaluationTime, MonteCarloSimulationModel model) AbstractTermStructureMonteCarloProduct.getValueForModifiedData
(double evaluationTime, MonteCarloSimulationModel monteCarloSimulationModel, Map<String, Object> dataModified) -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.components
Modifier and TypeMethodDescriptionOption.getBasisFunctions
(double evaluationTime, MonteCarloSimulationModel model) -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.products
Modifier and TypeMethodDescriptionPortfolioMonteCarloProduct.getValue
(double evaluationTime, MonteCarloSimulationModel model) -
Uses of MonteCarloSimulationModel in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation
Modifier and TypeClassDescriptionclass
Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process