Uses of Interface
net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel

Packages that use AssetModelMonteCarloSimulationModel

Package	Description
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.

Uses of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation

Classes in net.finmath.montecarlo.assetderivativevaluation that implement AssetModelMonteCarloSimulationModel

Modifier and Type	Class and Description
class	MonteCarloAssetModel This class glues together an AbstractProcessModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and implements AssetModelMonteCarloSimulationModel.
class	MonteCarloBlackScholesModel 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.
class	MonteCarloMertonModel This class glues together a MertonModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel, namely EulerSchemeFromProcessModel, and forms a Monte-Carlo implementation of the Merton model by implementing AssetModelMonteCarloSimulationModel.
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 AssetModelMonteCarloSimulationModel

Modifier and Type	Method and Description
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	AssetModelMonteCarloSimulationModel.getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationModel	MonteCarloAssetModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	MonteCarloMertonModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	MonteCarloMultiAssetBlackScholesModel.getCloneWithModifiedSeed(int seed)
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel.getCloneWithModifiedSeed(int seed)
AssetModelMonteCarloSimulationModel	AssetModelMonteCarloSimulationModel.getCloneWithModifiedSeed(int seed) Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
AssetModelMonteCarloSimulationModel	MonteCarloAssetModel.getCloneWithModifiedSeed(int seed)
AssetModelMonteCarloSimulationModel	MonteCarloMertonModel.getCloneWithModifiedSeed(int seed)

Uses of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation.products

Methods in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type AssetModelMonteCarloSimulationModel

Modifier and Type	Method and Description
RandomVariable	BermudanDigitalOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BermudanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	FiniteDifferenceDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	BlackScholesDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
abstract RandomVariable	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	DigitalOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	DeltaHedgedPortfolioWithAAD.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	AsianOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BlackScholesHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	AssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	BasketOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	LocalRiskMinimizingHedgePortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	EuropeanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	DigitalOptionDeltaLikelihood.getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Constructors in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type AssetModelMonteCarloSimulationModel

Constructor and Description
FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging) Construction of a delta hedge portfolio using finite differences on every path and in every time-step.
LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins) Construction of a variance minimizing hedge portfolio.

Uses of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface and Description
interface	HybridAssetLIBORModelMonteCarloSimulation

Classes in net.finmath.montecarlo.hybridassetinterestrate that implement AssetModelMonteCarloSimulationModel

Modifier and Type	Class and Description
class	HybridAssetLIBORModelMonteCarloSimulationFromModels An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type AssetModelMonteCarloSimulationModel

Constructor and Description
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation)
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve) Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Uses of AssetModelMonteCarloSimulationModel in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Classes in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation that implement AssetModelMonteCarloSimulationModel

Modifier and Type	Class and Description
class	MonteCarloBlackScholesModel2 Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process

Methods in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation that return AssetModelMonteCarloSimulationModel

Modifier and Type	Method and Description
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel2.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationModel	MonteCarloBlackScholesModel2.getCloneWithModifiedSeed(int seed)