Uses of Interface
net.finmath.montecarlo.BrownianMotion

Packages that use BrownianMotion

Package	Description
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.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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.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.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.templatemethoddesign	Legacy classes related to Monte-Carlo simulation - used for teaching only.

Uses of BrownianMotion in net.finmath.montecarlo

Classes in net.finmath.montecarlo that implement BrownianMotion

Modifier and Type	Class and Description
class	BrownianBridge This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
class	BrownianMotionLazyInit Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...
class	BrownianMotionView A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.
class	CorrelatedBrownianMotion Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.

Methods in net.finmath.montecarlo that return BrownianMotion

Modifier and Type	Method and Description
BrownianMotion	VarianceGammaProcess.getBrownianMotion()
BrownianMotion	CorrelatedBrownianMotion.getCloneWithModifiedSeed(int seed)
BrownianMotion	BrownianMotionView.getCloneWithModifiedSeed(int seed)
BrownianMotion	BrownianMotion.getCloneWithModifiedSeed(int seed) Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
BrownianMotion	BrownianBridge.getCloneWithModifiedSeed(int seed)
BrownianMotion	BrownianMotionLazyInit.getCloneWithModifiedSeed(int seed)
BrownianMotion	CorrelatedBrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotionView.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotion.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization) Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
BrownianMotion	BrownianBridge.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)
BrownianMotion	BrownianMotionLazyInit.getCloneWithModifiedTimeDiscretization(TimeDiscretization newTimeDiscretization)

Constructors in net.finmath.montecarlo with parameters of type BrownianMotion

Constructor and Description
BrownianMotionView(BrownianMotion brownianMotion, Integer[] factors) Create a sub-view on a Brownian motion.
CorrelatedBrownianMotion(BrownianMotion uncollelatedFactors, double[][] factorLoadings) Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.

Uses of BrownianMotion in net.finmath.montecarlo.assetderivativevaluation

Constructors in net.finmath.montecarlo.assetderivativevaluation with parameters of type BrownianMotion

Constructor and Description
MonteCarloMultiAssetBlackScholesModel(BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[] volatilities, double[][] correlations) Create a Monte-Carlo simulation using given time discretization.

Uses of BrownianMotion in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return BrownianMotion

Modifier and Type	Method and Description
BrownianMotion	HybridAssetLIBORModelMonteCarloSimulationFromModels.getBrownianMotion()

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type BrownianMotion

Modifier and Type

Method and Description

HybridAssetLIBORModelMonteCarloSimulation

ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Uses of BrownianMotion in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return BrownianMotion

Modifier and Type	Method and Description
BrownianMotion	LIBORMonteCarloSimulationFromTermStructureModel.getBrownianMotion()
BrownianMotion	LIBORMonteCarloSimulationFromLIBORModel.getBrownianMotion()
BrownianMotion	LIBORModelMonteCarloSimulationModel.getBrownianMotion() Returns the Brownian motion used to simulate the curve.

Uses of BrownianMotion in net.finmath.montecarlo.interestrate.models.covariance

Constructors in net.finmath.montecarlo.interestrate.models.covariance with parameters of type BrownianMotion

Constructor and Description
LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double kappa, double theta, double xi, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable kappa, RandomVariable theta, RandomVariable xi, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double nu, double rho, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable nu, RandomVariable rho, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.

Uses of BrownianMotion in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that return BrownianMotion

Modifier and Type	Method and Description
BrownianMotion	EulerSchemeFromProcessModel.getBrownianMotion()
BrownianMotion	MonteCarloProcess.getBrownianMotion() Deprecated. Please use getStochasticDriver() instead.

Uses of BrownianMotion in net.finmath.montecarlo.templatemethoddesign

Methods in net.finmath.montecarlo.templatemethoddesign that return BrownianMotion

Modifier and Type	Method and Description
BrownianMotion	LogNormalProcess.getBrownianMotion()

Methods in net.finmath.montecarlo.templatemethoddesign with parameters of type BrownianMotion

Modifier and Type	Method and Description
protected void	LogNormalProcess.setBrownianMotion(BrownianMotion brownianMotion) A derived class may change the Brownian motion.

Constructors in net.finmath.montecarlo.templatemethoddesign with parameters of type BrownianMotion

Constructor and Description
LogNormalProcess(int numberOfComponents, BrownianMotion brownianMotion) Create a log normal process.