Uses of Package
net.finmath.montecarlo

Packages that use net.finmath.montecarlo

Package	Description
net.finmath.marketdata2.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.modelling.modelfactory	Provides classes to build models from descriptors.
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
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.models	Equity models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.automaticdifferentiation	Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
net.finmath.montecarlo.automaticdifferentiation.backward	Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward	Provides the implementation of forward automatic differentiation.
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.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
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.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.interestrate.products.indices	Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign	Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation	Legacy classes related to Monte-Carlo simulation - used for teaching only.

Classes in net.finmath.montecarlo used by net.finmath.marketdata2.model

Class and Description
AbstractRandomVariableFactory

Classes in net.finmath.montecarlo used by net.finmath.modelling.modelfactory

Class and Description
AbstractRandomVariableFactory
IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).

Classes in net.finmath.montecarlo used by net.finmath.modelling.productfactory

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo

Class and Description
AbstractRandomVariableFactory
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
GammaProcess Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j.
IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).
JumpProcessIncrements Implementation of a time-discrete n-dimensional jump process J = (J1,...
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.
RandomVariableFromDoubleArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
RandomVariableFromFloatArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation

Class and Description
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.models

Class and Description
AbstractRandomVariableFactory

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.assetderivativevaluation.products

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation

Class and Description
AbstractRandomVariableFactory

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation.backward

Class and Description
AbstractRandomVariableFactory

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.automaticdifferentiation.forward

Class and Description
AbstractRandomVariableFactory

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.conditionalexpectation

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.crosscurrency

Class and Description
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.hybridassetinterestrate

Class and Description
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate

Class and Description
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.models

Class and Description
AbstractRandomVariableFactory

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.models.covariance

Class and Description
AbstractRandomVariableFactory
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
RandomVariableFromDoubleArray The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.components

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.interestrate.products.indices

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.process

Class and Description
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
IndependentIncrements Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.products

Class and Description
AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloProduct Interface for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesign

Class and Description
BrownianMotion Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...

Classes in net.finmath.montecarlo used by net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Class and Description
MonteCarloSimulationModel The interface implemented by a simulation of an SDE.