Uses of Package
net.finmath.montecarlo
Packages that use net.finmath.montecarlo
Package
Description
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides classes to build models from descriptors.
Provides classes to build products from descriptors.
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
Monte-Carlo models for asset value processes, like the Black Scholes model.
Equity models implementing
ProcessModel
e.g.Products which may be valued using an
AssetModelMonteCarloSimulationModel.Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
Provides the implementation of backward automatic differentiation.
Provides the implementation of forward automatic differentiation.
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
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 classes which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.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.Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
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.
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
Components providing the barrier in the Monte-Carlo simulation with barrier.
Products which are model independent, but assume a Monte-Carlo simulation.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
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Classes in net.finmath.montecarlo used by net.finmath.marketdata2.modelClassDescriptionA factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.modelling.modelfactoryClassDescriptionInterface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).A factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.modelling.productfactoryClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.
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Classes in net.finmath.montecarlo used by net.finmath.montecarloClassDescriptionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion and Wi, Wj are independent for i not equal j.Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j.Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).Implementation of a time-discrete n-dimensional jump process J = (J1,...,Jn) where Ji is a Poisson jump process and Ji, Jj are independent for i not equal j.Interface for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.A factory for creating objects implementing
net.finmath.stochastic.RandomVariable.The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.The class RandomVariableFromFloatArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluationClassDescriptionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).The interface implemented by a simulation of an SDE.A factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.modelsClassDescriptionA factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.productsClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiationClassDescriptionA factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation.backwardClassDescriptionA factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation.forwardClassDescriptionA factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.conditionalexpectationClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.crosscurrency
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.hybridassetinterestrateClassDescriptionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.hybridassetinterestrate.productsClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrateClassDescriptionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.modelsClassDescriptionA factory for creating objects implementing
net.finmath.stochastic.RandomVariable. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.models.covarianceClassDescriptionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.A factory for creating objects implementing
net.finmath.stochastic.RandomVariable.The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation. -
Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.productsClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.componentsClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.indicesClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.processClassDescriptionInterface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.process.component.barrierClassDescriptionThe class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.productsClassDescriptionBase class for products requiring an MonteCarloSimulationModel for valuation.Interface for products requiring an MonteCarloSimulationModel for valuation.The interface implemented by a simulation of an SDE.
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Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesignClassDescriptionInterface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.
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