Uses of Interface
net.finmath.montecarlo.MonteCarloSimulationModel

Packages that use MonteCarloSimulationModel

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.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
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.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
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.products	Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.

Uses of MonteCarloSimulationModel in net.finmath.montecarlo

Methods in net.finmath.montecarlo that return MonteCarloSimulationModel

Modifier and Type	Method and Description
MonteCarloSimulationModel	MonteCarloSimulationModel.getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).

Methods in net.finmath.montecarlo with parameters of type MonteCarloSimulationModel

Modifier and Type	Method and Description
abstract RandomVariable	AbstractMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model)
RandomVariable	MonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
double	AbstractMonteCarloProduct.getValue(MonteCarloSimulationModel model)
double	MonteCarloProduct.getValue(MonteCarloSimulationModel model) This method returns the value of the product under the specified model.
Map<String,Object>	AbstractMonteCarloProduct.getValues(double evaluationTime, MonteCarloSimulationModel model)
Map<String,Object>	MonteCarloProduct.getValues(double evaluationTime, MonteCarloSimulationModel model) This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	AbstractMonteCarloProduct.getValues(MonteCarloSimulationModel model)
Map<String,Object>	MonteCarloProduct.getValues(MonteCarloSimulationModel model) This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, Map<String,Object> dataModified)
Map<String,Object>	MonteCarloProduct.getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, Map<String,Object> dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified)
Map<String,Object>	MonteCarloProduct.getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationModel model, Map<String,Object> dataModified)
Map<String,Object>	MonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationModel model, Map<String,Object> dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationModel model, String entityKey, Object dataModified)
Map<String,Object>	MonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationModel model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation

Subinterfaces of MonteCarloSimulationModel in net.finmath.montecarlo.assetderivativevaluation

Modifier and Type	Interface and Description
interface	AssetModelMonteCarloSimulationModel Basic interface which has to be implemented by Monte Carlo models for asset processes.

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

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.

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

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

Modifier and Type	Method and Description
RandomVariable	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model)

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.conditionalexpectation

Methods in net.finmath.montecarlo.conditionalexpectation with parameters of type MonteCarloSimulationModel

Modifier and Type	Method and Description
RandomVariable[]	RegressionBasisFunctionsProvider.getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model) Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
RandomVariable[]	RegressionBasisFunctionsFromProducts.getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model)

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.crosscurrency

Subinterfaces of MonteCarloSimulationModel in net.finmath.montecarlo.crosscurrency

Modifier and Type	Interface and Description
interface	CrossCurrencyTermStructureMonteCarloSimulationModel Interface for cross currency term structure models.

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of MonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface and Description
interface	HybridAssetLIBORModelMonteCarloSimulation

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

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.

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.interestrate

Subinterfaces of MonteCarloSimulationModel in net.finmath.montecarlo.interestrate

Modifier and Type	Interface and Description
interface	LIBORModelMonteCarloSimulationModel Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
interface	TermStructureMonteCarloSimulationModel

Classes in net.finmath.montecarlo.interestrate that implement MonteCarloSimulationModel

Modifier and Type	Class and Description
class	LIBORMonteCarloSimulationFromLIBORModel Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.
class	LIBORMonteCarloSimulationFromTermStructureModel Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type MonteCarloSimulationModel

Modifier and Type	Method and Description
RandomVariable[]	BermudanSwaptionFromSwapSchedules.getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model)
RandomVariable[]	BermudanSwaption.getBasisFunctions(double fixingDate, MonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, MonteCarloSimulationModel model)
RandomVariable	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model)
RandomVariable	AbstractLIBORMonteCarloProduct.getValueForModifiedData(double evaluationTime, MonteCarloSimulationModel monteCarloSimulationModel, Map<String,Object> dataModified)

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.components

Methods in net.finmath.montecarlo.interestrate.products.components with parameters of type MonteCarloSimulationModel

Modifier and Type	Method and Description
RandomVariable[]	Option.getBasisFunctions(double evaluationTime, MonteCarloSimulationModel model)

Uses of MonteCarloSimulationModel in net.finmath.montecarlo.products

Methods in net.finmath.montecarlo.products with parameters of type MonteCarloSimulationModel

Modifier and Type	Method and Description
RandomVariable	PortfolioMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model)

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

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

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