Uses of Package
net.finmath.montecarlo.process
Packages that use net.finmath.montecarlo.process
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 classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.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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Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.assetderivativevaluationClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.assetderivativevaluation.modelsClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.crosscurrencyClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.hybridassetinterestrateClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrateClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate.modelsClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.interestrate.productsClassDescriptionAn object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object.
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Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.modelClassDescriptionThe interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess). -
Classes in net.finmath.montecarlo.process used by net.finmath.montecarlo.processClassDescriptionThis class implements some numerical schemes for multi-dimensional multi-factor Ito process.A linear interpolated time discrete process, that is, given a collection of tuples (
Double,RandomVariable) representing realizations \( X(t_{i}) \) this class implements theProcessand creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementingProcessModel: The value of Y(0) is provided by the methodProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.The interface for a (time-discrete) stochastic process X.