finMath lib documentation

## Uses of Interfacenet.finmath.montecarlo.model.ProcessModel

• Packages that use ProcessModel
Package Description
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. by extending AbstractProcessModel.
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.interestrate
Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models
Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
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.
• ### Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation

Classes in net.finmath.montecarlo.assetderivativevaluation that implement ProcessModel
Modifier and Type Class and Description
class  MonteCarloMultiAssetBlackScholesModel
This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel.
Methods in net.finmath.montecarlo.assetderivativevaluation that return ProcessModel
Modifier and Type Method and Description
ProcessModel MonteCarloAssetModel.getModel()
Returns the AbstractProcessModel used for this Monte-Carlo simulation.
Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type ProcessModel
Constructor and Description
MonteCarloAssetModel(ProcessModel model, MonteCarloProcess process)
Create a Monte-Carlo simulation using given process discretization scheme.
• ### Uses of ProcessModel in net.finmath.montecarlo.assetderivativevaluation.models

Classes in net.finmath.montecarlo.assetderivativevaluation.models that implement ProcessModel
Modifier and Type Class and Description
class  BachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  BlackScholesModel
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  BlackScholesModelWithCurves
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  DisplacedLognomalModelExperimental
This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  HestonModel
This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  InhomogeneousDisplacedLognomalModel
This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  InhomogenousBachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  MertonModel
This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
class  VarianceGammaModel
This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
Methods in net.finmath.montecarlo.assetderivativevaluation.models that return ProcessModel
Modifier and Type Method and Description
ProcessModel MertonModel.getCloneWithModifiedData(Map<String,Object> dataModified)
ProcessModel VarianceGammaModel.getCloneWithModifiedData(Map<String,Object> dataModified)
• ### Uses of ProcessModel in net.finmath.montecarlo.crosscurrency

Methods in net.finmath.montecarlo.crosscurrency that return ProcessModel
Modifier and Type Method and Description
ProcessModel CrossCurrencyTermStructureMonteCarloSimulationModel.getModel()
Returns the underlying model.
• ### Uses of ProcessModel in net.finmath.montecarlo.interestrate

Subinterfaces of ProcessModel in net.finmath.montecarlo.interestrate
Modifier and Type Interface and Description
interface  LIBORMarketModel
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
interface  LIBORModel
interface  TermStructureModel
Methods in net.finmath.montecarlo.interestrate that return ProcessModel
Modifier and Type Method and Description
ProcessModel TermStructureMonteCarloSimulationModel.getModel()
Returns the underlying model.
• ### Uses of ProcessModel in net.finmath.montecarlo.interestrate.models

Classes in net.finmath.montecarlo.interestrate.models that implement ProcessModel
Modifier and Type Class and Description
class  HullWhiteModel
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class  HullWhiteModelWithConstantCoeff
Implements a Hull-White model with constant coefficients.
class  HullWhiteModelWithDirectSimulation
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class  HullWhiteModelWithShiftExtension
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class  LIBORMarketModelFromCovarianceModel
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class  LIBORMarketModelStandard
Implements a basic LIBOR market model with some drift approximation methods.
class  LIBORMarketModelWithTenorRefinement
Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see

### Uses of ProcessModel in net.finmath.montecarlo.model

Classes in net.finmath.montecarlo.model that implement ProcessModel
Modifier and Type Class and Description
class  AbstractProcessModel
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
Methods in net.finmath.montecarlo.model that return ProcessModel
Modifier and Type Method and Description
ProcessModel ProcessModel.getCloneWithModifiedData(Map<String,Object> dataModified)
Returns a clone of this model where the specified properties have been modified.
• ### Uses of ProcessModel in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process with parameters of type ProcessModel
Modifier and Type Method and Description
void MonteCarloProcess.setModel(ProcessModel model)
Sets the model to be used.
void MonteCarloProcessFromProcessModel.setModel(ProcessModel model)