Uses of Interface
net.finmath.montecarlo.model.ProcessModel

Packages that use ProcessModel

Package	Description
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models	Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.crosscurrency	Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
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	Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.model	Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.

Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation

Classes in net.finmath.montecarlo.assetderivativevaluation that implement ProcessModel

Modifier and Type	Class	Description
class	MonteCarloMultiAssetBlackScholesModel	This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementing AssetModelMonteCarloSimulationModel.

Methods in net.finmath.montecarlo.assetderivativevaluation that return ProcessModel

Modifier and Type	Method	Description
ProcessModel	MonteCarloAssetModel.getModel()	Returns the ProcessModel used for this Monte-Carlo simulation.

Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type ProcessModel

Modifier	Constructor	Description
	MonteCarloAssetModel(ProcessModel model, IndependentIncrements stochasticDriver)	Convenient constructor being the same as this(new EulerSchemeFromProcessModel(model, stochasticDriver))
	MonteCarloAssetModel(ProcessModel model, MonteCarloProcess process)	Deprecated. May be made private in future releases.

Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation.models

Classes in net.finmath.montecarlo.assetderivativevaluation.models that implement ProcessModel

Modifier and Type	Class	Description
class	BachelierModel	This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	BlackScholesModel	This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	BlackScholesModelWithCurves	This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	BlackScholesModelWithStockNumeraire	This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	DisplacedLognomalModel	This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	HestonModel	This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	InhomogeneousDisplacedLognomalModel	This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	InhomogenousBachelierModel	This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	MertonModel	This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
class	MultiAssetBlackScholesModel	This class implements a multi-asset Black Scholes model providing an AbstractProcessModel.
class	VarianceGammaModel	This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.

Methods in net.finmath.montecarlo.assetderivativevaluation.models that return ProcessModel

Modifier and Type	Method	Description
ProcessModel	MertonModel.getCloneWithModifiedData(Map<String,Object> dataModified)
ProcessModel	VarianceGammaModel.getCloneWithModifiedData(Map<String,Object> dataModified)

Uses of ProcessModel in net.finmath.montecarlo.crosscurrency

Methods in net.finmath.montecarlo.crosscurrency that return ProcessModel

Modifier and Type	Method	Description
ProcessModel	CrossCurrencyTermStructureMonteCarloSimulationModel.getModel()	Returns the underlying model.

Uses of ProcessModel in net.finmath.montecarlo.hybridassetinterestrate

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type ProcessModel

Modifier	Constructor	Description
	ConvexityAdjustedModel(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer,Integer> factorLoadingMap)

Uses of ProcessModel in net.finmath.montecarlo.interestrate

Subinterfaces of ProcessModel in net.finmath.montecarlo.interestrate

Modifier and Type	Interface	Description
interface	LIBORMarketModel	Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
interface	LIBORModel
interface	ShortRateModel	Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
interface	TermStructureModel

Uses of ProcessModel in net.finmath.montecarlo.interestrate.models

Classes in net.finmath.montecarlo.interestrate.models that implement ProcessModel

Modifier and Type	Class	Description
class	HullWhiteModel	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithConstantCoeff	Implements a Hull-White model with constant coefficients.
class	HullWhiteModelWithDirectSimulation	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithShiftExtension	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	LIBORMarketModelFromCovarianceModel	Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class	LIBORMarketModelStandard	Implements a basic LIBOR market model with some drift approximation methods.
class	LIBORMarketModelWithTenorRefinement	Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.

Uses of ProcessModel in net.finmath.montecarlo.model

Classes in net.finmath.montecarlo.model that implement ProcessModel

Modifier and Type	Class	Description
class	AbstractProcessModel	This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.

Methods in net.finmath.montecarlo.model that return ProcessModel

Modifier and Type	Method	Description
ProcessModel	ProcessModel.getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.

Uses of ProcessModel in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that return ProcessModel

Modifier and Type	Method	Description
ProcessModel	MonteCarloProcessFromProcessModel.getModel()	Get the model used to generate the stochastic process.
default ProcessModel	Process.getModel()	Returns the model that is used to generate this process, null if no model was used.

Methods in net.finmath.montecarlo.process with parameters of type ProcessModel

Modifier and Type	Method	Description
MonteCarloProcess	EulerSchemeFromProcessModel.getCloneWithModifiedModel(ProcessModel model)
MonteCarloProcess	MonteCarloProcess.getCloneWithModifiedModel(ProcessModel model)	Returns a clone of this model where the specified properties have been modified.

Constructors in net.finmath.montecarlo.process with parameters of type ProcessModel

Modifier	Constructor	Description
	EulerSchemeFromProcessModel(ProcessModel model, IndependentIncrements stochasticDriver)	Create an Euler discretization scheme.
	EulerSchemeFromProcessModel(ProcessModel model, IndependentIncrements stochasticDriver, EulerSchemeFromProcessModel.Scheme scheme)	Create an Euler discretization scheme.
	MonteCarloProcessFromProcessModel(TimeDiscretization timeDiscretization, ProcessModel model)	Create a discretization scheme / a time discrete process.