Package net.finmath.montecarlo.model

package net.finmath.montecarlo.model
Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes. The concept here is that we separate the numerical discretization scheme of an SDE from the parameterization of the SDE.
Christian Fries
  • Class
    This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
    The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
    \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the method ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).