Uses of Class
net.finmath.montecarlo.RandomVariableFromDoubleArray
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.
Products which may be valued using an
AssetModelMonteCarloSimulationModel
.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.
Components providing the barrier in the Monte-Carlo simulation with barrier.
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Uses of RandomVariableFromDoubleArray in net.finmath.montecarlo
Modifier and TypeMethodDescriptionRandomVariableFromDoubleArray.exp()
RandomVariableFromDoubleArray.expm1()
RandomVariableLazyEvaluation.getRandomVariable()
RandomVariableFromDoubleArray.log()
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Uses of RandomVariableFromDoubleArray in net.finmath.montecarlo.assetderivativevaluation.products
Modifier and TypeMethodDescriptionEuropeanOptionWithBoundary.ConstantBarrier.getBarrierDirection
(int timeIndex, RandomVariable[] realizationPredictor) EuropeanOptionWithBoundary.ConstantBarrier.getBarrierLevel
(int timeIndex, RandomVariable[] realizationPredictor) -
Uses of RandomVariableFromDoubleArray in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeMethodDescriptionLIBORCovarianceModelBH.getFactorLoadingPseudoInverse
(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex) LIBORCovarianceModelExponentialForm5Param.getFactorLoadingPseudoInverse
(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex) LIBORCovarianceModelExponentialForm7Param.getFactorLoadingPseudoInverse
(int timeIndex, int component, int factor, RandomVariable[] realizationAtTimeIndex) -
Uses of RandomVariableFromDoubleArray in net.finmath.montecarlo.process.component.barrier
Modifier and TypeMethodDescriptionBarrier.getBarrierDirection
(int timeIndex, RandomVariable[] randomVariable) The barrier direction, i.e.