Uses of Interface
net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel

Packages that use TermStructureMonteCarloSimulationModel

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
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.funding	Model components related to non-linear discounting / funding.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components	Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.

Uses of TermStructureMonteCarloSimulationModel in net.finmath.modelling.productfactory

Methods in net.finmath.modelling.productfactory with parameters of type TermStructureMonteCarloSimulationModel

Modifier and Type	Method	Description
RandomVariable	InterestRateMonteCarloProductFactory.SwapMonteCarlo.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)

Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of TermStructureMonteCarloSimulationModel 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 TermStructureMonteCarloSimulationModel

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 TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate

Subinterfaces of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate

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

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

Modifier and Type	Class	Description
class	LIBORMonteCarloSimulationFromLIBORModel	Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g.
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.

Methods in net.finmath.montecarlo.interestrate that return TermStructureMonteCarloSimulationModel

Modifier and Type	Method	Description
TermStructureMonteCarloSimulationModel	LIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(String entityKey, Object dataModified)	Create a clone of this simulation modifying one of its properties (if any).
TermStructureMonteCarloSimulationModel	TermStructureMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(String entityKey, Object dataModified)	Create a clone of this simulation modifying one of its properties (if any).
TermStructureMonteCarloSimulationModel	TermStructureMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified)

Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.models.funding

Methods in net.finmath.montecarlo.interestrate.models.funding with parameters of type TermStructureMonteCarloSimulationModel

Modifier and Type	Method	Description
RandomVariable	FundingCapacityWithMemory.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	FundingCapacityWithoutMemory.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)

Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type TermStructureMonteCarloSimulationModel

Modifier and Type	Method	Description
ConditionalExpectationEstimator	BermudanSwaption.getConditionalExpectationEstimator(double fixingDate, TermStructureMonteCarloSimulationModel model)	Return the conditional expectation estimator suitable for this product.
ConditionalExpectationEstimator	BermudanSwaptionFromSwapSchedules.getConditionalExpectationEstimator(double exerciseTime, TermStructureMonteCarloSimulationModel model)	The conditional expectation is calculated using a Monte-Carlo regression technique.
RandomVariable	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
abstract RandomVariable	AbstractTermStructureMonteCarloProduct.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	BermudanSwaptionFromSwapSchedules.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	ForwardRateVolatilitySurfaceCurvature.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	MoneyMarketAccount.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	SimpleCappedFlooredFloatingRateBond.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	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.
RandomVariable	Swap.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	SwapLeg.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	SwapLegWithFundingProvider.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	SwaptionAnalyticApproximation.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	SwaptionAnalyticApproximationRebonato.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	SwaptionATM.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	SwaptionFromSwapSchedules.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	SwaptionGeneralizedAnalyticApproximation.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	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.
RandomVariable	SwaptionSingleCurveAnalyticApproximation.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	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.
RandomVariable	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).
Map<String,Object>	AbstractTermStructureMonteCarloProduct.getValues(double evaluationTime, TermStructureMonteCarloSimulationModel model)
Map<String,Object>	BermudanSwaption.getValues(double evaluationTime, TermStructureMonteCarloSimulationModel model)
Map<String,Object>	BermudanSwaptionFromSwapSchedules.getValues(double evaluationTime, TermStructureMonteCarloSimulationModel model)
Map<String,Object>	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

Methods in net.finmath.montecarlo.interestrate.products.components with parameters of type TermStructureMonteCarloSimulationModel

Modifier and Type	Method	Description
abstract RandomVariable	AbstractPeriod.getCoupon(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	Period.getCoupon(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	AccruingNotional.getNotionalAtPeriodEnd(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
RandomVariable	Notional.getNotionalAtPeriodEnd(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)	Calculates the notional at the end of a period, given a period.
RandomVariable	NotionalFromComponent.getNotionalAtPeriodEnd(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
RandomVariable	NotionalFromConstant.getNotionalAtPeriodEnd(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
RandomVariable	AccruingNotional.getNotionalAtPeriodStart(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
RandomVariable	Notional.getNotionalAtPeriodStart(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)	Calculates the notional at the start of a period, given a period.
RandomVariable	NotionalFromComponent.getNotionalAtPeriodStart(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
RandomVariable	NotionalFromConstant.getNotionalAtPeriodStart(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
abstract RandomVariable	AbstractPeriod.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	AccrualAccount.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
RandomVariable	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.
Map<String,Object>	AbstractProductComponent.getValues(double evaluationTime, TermStructureMonteCarloSimulationModel model)

Uses of TermStructureMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.indices

Methods in net.finmath.montecarlo.interestrate.products.indices with parameters of type TermStructureMonteCarloSimulationModel

Modifier and Type	Method	Description
double	LIBORIndex.getPeriodLength(TermStructureMonteCarloSimulationModel model, double fixingTime)
abstract RandomVariable	AbstractIndex.getValue(double fixingTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	AccruedInterest.getValue(double fixingTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	AnalyticModelForwardCurveIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	AnalyticModelIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	CappedFlooredIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	ConstantMaturitySwaprate.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	DateIndex.getValue(double fixingTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	FixedCoupon.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	ForwardCurveIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	LaggedIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	LIBORIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	LinearCombinationIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	MaxIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	MinIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	NumerairePerformanceIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	NumerairePerformanceOnScheduleIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	PerformanceIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	PowIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	ProductIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	TimeDiscreteEndOfMonthIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	TriggerIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)
RandomVariable	UnsupportedIndex.getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)