Uses of Package
net.finmath.stochastic

Packages that use net.finmath.stochastic
Package
Description
net.finmath.climate.models
Integrated Assessment Models.
net.finmath.climate.models.dice
Experiments related to the DICE model.
net.finmath.climate.models.dice.submodels
Model components of the DICE model
net.finmath.functions
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
net.finmath.marketdata2.calibration
Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata2.interpolation
Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.marketdata2.model
Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata2.model.curves
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata2.products
Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling.productfactory
Provides classes to build products from descriptors.
net.finmath.montecarlo
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.
net.finmath.montecarlo.assetderivativevaluation
Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models
Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.assetderivativevaluation.products
Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.automaticdifferentiation
Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
net.finmath.montecarlo.automaticdifferentiation.backward
Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward
Provides the implementation of forward automatic differentiation.
net.finmath.montecarlo.conditionalexpectation
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
net.finmath.montecarlo.crosscurrency
Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
net.finmath.montecarlo.interestrate
Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models
Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance
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.
net.finmath.montecarlo.interestrate.models.funding
Model components related to non-linear discounting / funding.
net.finmath.montecarlo.interestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components
Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices
Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.model
Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.process.component.barrier
Components providing the barrier in the Monte-Carlo simulation with barrier.
net.finmath.montecarlo.process.component.factortransform
Components providing the factor drift in the simulation of a proxy simulation scheme.
net.finmath.montecarlo.products
Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign
Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation
Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.optimizer
This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
net.finmath.stochastic
Interfaces specifying operations on random variables.