Uses of Package
net.finmath.stochastic

Packages that use net.finmath.stochastic
Package
Description
Integrated Assessment Models.
Experiments related to the DICE model.
Model components of the DICE model
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
Basic methodologies to interpolate of curves and surfaces are provided here.
Provides interface specification and implementation of a model, which is essentially a collection of curves.
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
Provides interface specification and implementation of products, e.g., calibration products.
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.
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.
Components providing the barrier in the Monte-Carlo simulation with barrier.
Components providing the factor drift in the simulation of a proxy simulation scheme.
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.
This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
Interfaces specifying operations on random variables.