Uses of Interface
net.finmath.timeseries.HistoricalSimulationModel

Packages that use HistoricalSimulationModel

Package	Description
net.finmath.timeseries	Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models.
net.finmath.timeseries.models.parametric	Classes related to estimation of time series.

Uses of HistoricalSimulationModel in net.finmath.timeseries

Methods in net.finmath.timeseries that return HistoricalSimulationModel

Modifier and Type	Method	Description
HistoricalSimulationModel	HistoricalSimulationModel.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)	Create a new model, using only a window of the times series.

Uses of HistoricalSimulationModel in net.finmath.timeseries.models.parametric

Classes in net.finmath.timeseries.models.parametric that implement HistoricalSimulationModel

Modifier and Type	Class	Description
class	ARMAGARCH	Lognormal process with ARMAGARCH(1,1) volatility.
class	DisplacedLognormal	Displaced log-normal process with constanst volatility.
class	DisplacedLognormalARMAGARCH	Displaced log-normal process with ARMAGARCH(1,1) volatility.
class	DisplacedLognormalGARCH	Displaced log-normal process with GARCH(1,1) volatility.
class	DisplacedLognormalGJRGARCH	Displaced log-normal process with GJR-GARCH(1,1) volatility.
class	GARCH	Log-normal process with GARCH(1,1) volatility.
class	SimpleHistroricalSimulation	Implementation of standard historical simulation.

Methods in net.finmath.timeseries.models.parametric that return HistoricalSimulationModel

Modifier and Type	Method	Description
HistoricalSimulationModel	ARMAGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormal.getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormal.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalARMAGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalGARCH.getCloneWithWindow(double lowerBoundDisplacement, int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	DisplacedLognormalGJRGARCH.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
HistoricalSimulationModel	SimpleHistroricalSimulation.getCloneWithWindow(int windowIndexStart, int windowIndexEnd)