Uses of Interface
net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
Package
Description
Provides classes to build products from descriptors.
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
.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.
Provides a set of indices which can be used as part of a period.
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Uses of TermStructureMonteCarloSimulationModel in net.finmath.modelling.productfactory
Modifier and TypeMethodDescriptionInterestRateMonteCarloProductFactory.SwapMonteCarlo.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) -
Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate
Modifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.Modifier and TypeClassDescriptionclass
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. -
Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate
Modifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.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.Modifier and TypeMethodDescriptionLIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData
(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).TermStructureMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData
(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).TermStructureMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData
(Map<String, Object> dataModified) -
Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products
Modifier and TypeMethodDescriptionBermudanSwaption.getConditionalExpectationEstimator
(double fixingDate, TermStructureMonteCarloSimulationModel model) Return the conditional expectation estimator suitable for this product.BermudanSwaptionFromSwapSchedules.getConditionalExpectationEstimator
(double exerciseTime, TermStructureMonteCarloSimulationModel model) The conditional expectation is calculated using a Monte-Carlo regression technique.AbstractLIBORMonteCarloProduct.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) abstract RandomVariable
AbstractTermStructureMonteCarloProduct.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) BermudanSwaption.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.BermudanSwaptionFromSwapSchedules.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) Bond.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.CancelableSwap.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Caplet.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.CMSOption.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.DigitalCaplet.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.DigitalFloorlet.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.FlexiCap.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.ForwardRateVolatilitySurfaceCurvature.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) LIBORBond.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.MoneyMarketAccount.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) Portfolio.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.SimpleCappedFlooredFloatingRateBond.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SimpleSwap.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.SimpleZeroSwap.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Swap.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwapLeg.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwapLegWithFundingProvider.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) Swaption.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.SwaptionAnalyticApproximation.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwaptionAnalyticApproximationRebonato.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwaptionATM.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwaptionFromSwapSchedules.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwaptionGeneralizedAnalyticApproximation.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwaptionSimple.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.SwaptionSingleCurve.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.SwaptionSingleCurveAnalyticApproximation.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) SwaptionWithComponents.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.SwapWithComponents.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.TermStructureMonteCarloProduct.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.static RandomVariable
SwaptionFromSwapSchedules.getValueOfLegAnalytic
(double evaluationTime, TermStructureMonteCarloSimulationModel model, Schedule schedule, boolean paysFloatingRate, double fixRate, double notional) Determines the time \( t \)-measurable value of a swap leg (can handle fix or float).AbstractTermStructureMonteCarloProduct.getValues
(double evaluationTime, TermStructureMonteCarloSimulationModel model) BermudanSwaption.getValues
(double evaluationTime, TermStructureMonteCarloSimulationModel model) BermudanSwaptionFromSwapSchedules.getValues
(double evaluationTime, TermStructureMonteCarloSimulationModel model) TermStructureMonteCarloProduct.getValues
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. -
Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.components
Modifier and TypeMethodDescriptionabstract RandomVariable
AbstractPeriod.getCoupon
(double evaluationTime, TermStructureMonteCarloSimulationModel model) Period.getCoupon
(double evaluationTime, TermStructureMonteCarloSimulationModel model) AccruingNotional.getNotionalAtPeriodEnd
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) Notional.getNotionalAtPeriodEnd
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) Calculates the notional at the end of a period, given a period.NotionalFromComponent.getNotionalAtPeriodEnd
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) NotionalFromConstant.getNotionalAtPeriodEnd
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) AccruingNotional.getNotionalAtPeriodStart
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) Notional.getNotionalAtPeriodStart
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) Calculates the notional at the start of a period, given a period.NotionalFromComponent.getNotionalAtPeriodStart
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) NotionalFromConstant.getNotionalAtPeriodStart
(AbstractPeriod period, TermStructureMonteCarloSimulationModel model) abstract RandomVariable
AbstractPeriod.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) AccrualAccount.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) Cashflow.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Choice.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.ExpectedTailLoss.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.ExposureEstimator.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.IndexedValue.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Numeraire.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Option.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Period.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.ProductCollection.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Selector.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.AbstractProductComponent.getValues
(double evaluationTime, TermStructureMonteCarloSimulationModel model) -
Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.indices
Modifier and TypeMethodDescriptiondouble
LIBORIndex.getPeriodLength
(TermStructureMonteCarloSimulationModel model, double fixingTime) abstract RandomVariable
AbstractIndex.getValue
(double fixingTime, TermStructureMonteCarloSimulationModel model) AccruedInterest.getValue
(double fixingTime, TermStructureMonteCarloSimulationModel model) AnalyticModelForwardCurveIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) AnalyticModelIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) CappedFlooredIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) ConstantMaturitySwaprate.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) DateIndex.getValue
(double fixingTime, TermStructureMonteCarloSimulationModel model) FixedCoupon.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) ForwardCurveIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) LaggedIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) LIBORIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) LinearCombinationIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) MaxIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) MinIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) NumerairePerformanceIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) NumerairePerformanceOnScheduleIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) PerformanceIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) PowIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) ProductIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) TimeDiscreteEndOfMonthIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) TriggerIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model) UnsupportedIndex.getValue
(double evaluationTime, TermStructureMonteCarloSimulationModel model)