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net.finmath.montecarlo.interestrate.HullWhiteModel.svg Maven / Gradle / Ivy
finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
<<Java Class>>
HullWhiteModel
net.finmath.montecarlo.interestrate
HullWhiteModel(TimeDiscretizationInterface,AnalyticModelInterface,ForwardCurveInterface,DiscountCurveInterface,ShortRateVolailityModelInterface,Map<String,?>)
getNumberOfComponents():int
applyStateSpaceTransform(int,RandomVariableInterface):RandomVariableInterface
getInitialState():RandomVariableInterface[]
getNumeraire(double):RandomVariableInterface
getDrift(int,RandomVariableInterface[],RandomVariableInterface[]):RandomVariableInterface[]
getFactorLoading(int,int,RandomVariableInterface[]):RandomVariableInterface[]
getLIBOR(int,int):RandomVariableInterface
getLiborPeriodDiscretization():TimeDiscretizationInterface
getNumberOfLibors():int
getLiborPeriod(int):double
getLiborPeriodIndex(double):int
getAnalyticModel():AnalyticModelInterface
getDiscountCurve():DiscountCurveInterface
getForwardRateCurve():ForwardCurveInterface
getCloneWithModifiedData(Map<String,Object>):LIBORMarketModelInterface
getShortRateConditionalVariance(double,double):double
getIntegratedBondSquaredVolatility(double,double):double
<<Java Class>>
ShortRateVolatilityModelHoLee
net.finmath.montecarlo.interestrate.modelplugins
ShortRateVolatilityModelHoLee(double)
getTimeDiscretization():TimeDiscretizationInterface
getVolatility(int):double
getMeanReversion(int):double
<<Java Interface>>
ShortRateVolailityModelInterface
net.finmath.montecarlo.interestrate.modelplugins
getTimeDiscretization():TimeDiscretizationInterface
getVolatility(int):double
getMeanReversion(int):double
<<Java Class>>
ShortRateVolatilityModel
net.finmath.montecarlo.interestrate.modelplugins
ShortRateVolatilityModel(TimeDiscretizationInterface,double[],double[])
getTimeDiscretization():TimeDiscretizationInterface
getVolatility(int):double
getMeanReversion(int):double
<<Java Class>>
AbstractModel
net.finmath.montecarlo.model
AbstractModel()
getInitialValue():RandomVariableInterface[]
setProcess(AbstractProcessInterface):void
getProcess():AbstractProcessInterface
getNumberOfFactors():int
getProcessValue(int,int):RandomVariableInterface
getMonteCarloWeights(int):RandomVariableInterface
getTimeDiscretization():TimeDiscretizationInterface
getTime(int):double
getTimeIndex(double):int
<<Java Interface>>
AbstractModelInterface
net.finmath.montecarlo.model
getTimeDiscretization():TimeDiscretizationInterface
getNumberOfComponents():int
applyStateSpaceTransform(int,RandomVariableInterface):RandomVariableInterface
getInitialState():RandomVariableInterface[]
getNumeraire(double):RandomVariableInterface
getDrift(int,RandomVariableInterface[],RandomVariableInterface[]):RandomVariableInterface[]
getNumberOfFactors():int
getFactorLoading(int,int,RandomVariableInterface[]):RandomVariableInterface[]
setProcess(AbstractProcessInterface):void
getProcess():AbstractProcessInterface
<<Java Interface>>
AbstractProcessInterface
net.finmath.montecarlo.process
getNumberOfPaths():int
getNumberOfFactors():int
getBrownianMotion():BrownianMotionInterface
clone():AbstractProcessInterface
<<Java Class>>
AbstractProcess
net.finmath.montecarlo.process
AbstractProcess(TimeDiscretizationInterface)
getCloneWithModifiedSeed(int):Object
setModel(AbstractModelInterface):void
getNumberOfComponents():int
getInitialState():RandomVariableInterface[]
getDrift(int,RandomVariableInterface[],RandomVariableInterface[]):RandomVariableInterface[]
getFactorLoading(int,int,RandomVariableInterface[]):RandomVariableInterface[]
applyStateSpaceTransform(int,RandomVariableInterface):RandomVariableInterface
getTimeDiscretization():TimeDiscretizationInterface
getTime(int):double
getTimeIndex(double):int
clone():AbstractProcess
<<Java Interface>>
LIBORModelMonteCarloSimulationInterface
net.finmath.montecarlo.interestrate
getNumberOfFactors():int
getLiborPeriodDiscretization():TimeDiscretizationInterface
getNumberOfLibors():int
getLiborPeriod(int):double
getLiborPeriodIndex(double):int
getLIBOR(int,int):RandomVariableInterface
getLIBOR(double,double,double):RandomVariableInterface
getLIBORs(int):RandomVariableInterface[]
getNumeraire(double):RandomVariableInterface
getBrownianMotion():BrownianMotionInterface
getModel():LIBORModelInterface
getProcess():AbstractProcessInterface
getCloneWithModifiedSeed(int):Object
<<Java Interface>>
LIBORModelInterface
net.finmath.montecarlo.interestrate
getLIBOR(int,int):RandomVariableInterface
getLiborPeriodDiscretization():TimeDiscretizationInterface
getNumberOfLibors():int
getLiborPeriod(int):double
getLiborPeriodIndex(double):int
getAnalyticModel():AnalyticModelInterface
getDiscountCurve():DiscountCurveInterface
getForwardRateCurve():ForwardCurveInterface
getCloneWithModifiedData(Map<String,Object>):LIBORMarketModelInterface
<<Java Interface>>
LIBORMarketModelInterface
net.finmath.montecarlo.interestrate
getCovarianceModel():AbstractLIBORCovarianceModel
getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel):LIBORMarketModelInterface
getIntegratedLIBORCovariance():double[][][]
<<Java Class>>
LIBORModelMonteCarloSimulation
net.finmath.montecarlo.interestrate
LIBORModelMonteCarloSimulation(LIBORModelInterface,AbstractProcess)
LIBORModelMonteCarloSimulation(LIBORMarketModelInterface)
getMonteCarloWeights(int):RandomVariableInterface
getMonteCarloWeights(double):RandomVariableInterface
getNumberOfFactors():int
getNumberOfPaths():int
getTime(int):double
getTimeDiscretization():TimeDiscretizationInterface
getTimeIndex(double):int
getRandomVariableForConstant(double):RandomVariableInterface
getBrownianMotion():BrownianMotionInterface
getLIBOR(int,int):RandomVariableInterface
getLIBORs(int):RandomVariableInterface[]
getLIBOR(double,double,double):RandomVariableInterface
getLiborPeriod(int):double
getLiborPeriodDiscretization():TimeDiscretizationInterface
getLiborPeriodIndex(double):int
getNumberOfComponents():int
getNumberOfLibors():int
getNumeraire(double):RandomVariableInterface
getModel():LIBORModelInterface
getProcess():AbstractProcessInterface
getCloneWithModifiedSeed(int):Object
getCloneWithModifiedData(Map<String,Object>):LIBORModelMonteCarloSimulationInterface
getCloneWithModifiedData(String,Object):LIBORModelMonteCarloSimulationInterface
-volatilityModel
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-process
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-model
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-model
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