Uses of Package
net.finmath.montecarlo.process

Packages that use net.finmath.montecarlo.process

Package	Description
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
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.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.

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

Class and Description
MonteCarloProcess The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState().
MonteCarloProcessFromProcessModel This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.

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

Class and Description
MonteCarloProcess The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState().

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

Class and Description
MonteCarloProcess The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState().

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

Class and Description
MonteCarloProcess The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState().
MonteCarloProcessFromProcessModel This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.

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

Class and Description
ProcessTimeDiscretizationProvider An object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object.

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

Class and Description
MonteCarloProcess The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState().

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

Class and Description
EulerSchemeFromProcessModel This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
EulerSchemeFromProcessModel.Scheme
LinearInterpolatedTimeDiscreteProcess A linear interpolated time discrete process, that is, given a collection of tuples (Double, RandomVariableFromDoubleArray) representing realizations \( X(t_{i}) \) this class implements the Process and creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).
MonteCarloProcess The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process \[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState().
MonteCarloProcessFromProcessModel This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
Process The interface for a stochastic process X.