Uses of Interface
net.finmath.montecarlo.model.ProcessModel
Package
Description
Monte-Carlo models for asset value processes, like the Black Scholes model.
Equity models implementing
ProcessModel
e.g.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 interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.Interest rate models implementing
ProcessModel
e.g.Provides an interface and a base class for process models, i.e., models providing the parameters for
stochastic processes.
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
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Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation
Modifier and TypeClassDescriptionclass
This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementingAssetModelMonteCarloSimulationModel
.Modifier and TypeMethodDescriptionMonteCarloAssetModel.getModel()
Returns theProcessModel
used for this Monte-Carlo simulation.ModifierConstructorDescriptionMonteCarloAssetModel
(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
Modifier and TypeClassDescriptionclass
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
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
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
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
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
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
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
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
This class implements a multi-asset Black Scholes model providing anAbstractProcessModel
.class
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.Modifier and TypeMethodDescriptionMertonModel.getCloneWithModifiedData
(Map<String, Object> dataModified) VarianceGammaModel.getCloneWithModifiedData
(Map<String, Object> dataModified) -
Uses of ProcessModel in net.finmath.montecarlo.crosscurrency
Modifier and TypeMethodDescriptionCrossCurrencyTermStructureMonteCarloSimulationModel.getModel()
Returns the underlying model. -
Uses of ProcessModel in net.finmath.montecarlo.hybridassetinterestrate
ModifierConstructorDescriptionConvexityAdjustedModel
(ProcessModel baseModel, MonteCarloProcess measureTransformModel, Map<Integer, Integer> factorLoadingMap) -
Uses of ProcessModel in net.finmath.montecarlo.interestrate
Modifier and TypeInterfaceDescriptioninterface
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.interface
interface
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Uses of ProcessModel in net.finmath.montecarlo.interestrate.models
Modifier and TypeClassDescriptionclass
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
Implements a Hull-White model with constant coefficients.class
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.class
Implements a basic LIBOR market model with some drift approximation methods.class
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
Modifier and TypeClassDescriptionclass
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.Modifier and TypeMethodDescriptionProcessModel.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
Modifier and TypeMethodDescriptionMonteCarloProcessFromProcessModel.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.Modifier and TypeMethodDescriptionEulerSchemeFromProcessModel.getCloneWithModifiedModel
(ProcessModel model) MonteCarloProcess.getCloneWithModifiedModel
(ProcessModel model) Returns a clone of this model where the specified properties have been modified.ModifierConstructorDescriptionEulerSchemeFromProcessModel
(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.