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net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModelClassDiagram.svg Maven / Gradle / Ivy
finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
<<Java Interface>>
AbstractProcessInterface
net.finmath.montecarlo.process
getProcessValue(int,int):RandomVariableInterface
getMonteCarloWeights(int):RandomVariableInterface
getNumberOfComponents():int
getNumberOfPaths():int
getNumberOfFactors():int
getTimeDiscretization():TimeDiscretizationInterface
getTime(int):double
getTimeIndex(double):int
getBrownianMotion():BrownianMotionInterface
clone():Object
<<Java Class>>
ProcessEulerScheme
net.finmath.montecarlo.process
ProcessEulerScheme(BrownianMotionInterface)
getProcessValue(int,int):RandomVariableInterface
getMonteCarloWeights(int):RandomVariableInterface
getNumberOfPaths():int
getNumberOfFactors():int
setSeed(int):void
getBrownianMotion():BrownianMotionInterface
setBrownianMotion(BrownianMotion):void
getScheme():Scheme
setScheme(Scheme):void
clone():ProcessEulerScheme
getCloneWithModifiedSeed(int):Object
<<Java Interface>>
AbstractModelInterface
net.finmath.montecarlo.model
getTimeDiscretization():TimeDiscretizationInterface
getNumberOfComponents():int
getInitialState():ImmutableRandomVariableInterface[]
getNumeraire(double):RandomVariableInterface
getDrift(int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):RandomVariableInterface[]
getDrift(int,int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):RandomVariableInterface
getNumberOfFactors():int
getFactorLoading(int,int,int):RandomVariableInterface
applyStateSpaceTransform(RandomVariableInterface):void
<<Java Class>>
net.finmath.montecarlo.process
AbstractProcess(TimeDiscretizationInterface)
getCloneWithModifiedSeed(int):Object
setModel(AbstractModel):void
getNumberOfComponents():int
getInitialState():ImmutableRandomVariableInterface[]
getDrift(int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):ImmutableRandomVariableInterface[]
getFactorLoading(int,int,int):ImmutableRandomVariableInterface
applyStateSpaceTransform(RandomVariableInterface):RandomVariableInterface
getTimeDiscretization():TimeDiscretizationInterface
getTime(int):double
getTimeIndex(double):int
clone():Object
<<Java Class>>
net.finmath.montecarlo.model
AbstractModel()
getInitialValue():ImmutableRandomVariableInterface[]
getDrift(int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):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>>
BrownianMotionInterface
net.finmath.montecarlo
getBrownianIncrement(int,int):ImmutableRandomVariableInterface
getTimeDiscretization():TimeDiscretizationInterface
getNumberOfFactors():int
getNumberOfPaths():int
getCloneWithModifiedSeed(int):Object
<<Java Interface>>
MonteCarloSimulationInterface
net.finmath.montecarlo
getNumberOfComponents():int
getNumberOfPaths():int
getTimeDiscretization():TimeDiscretizationInterface
getTime(int):double
getTimeIndex(double):int
getCloneWithModifiedData(Map<String,Object>):MonteCarloSimulationInterface
<<Java Class>>
BrownianMotion
net.finmath.montecarlo
BrownianMotion(TimeDiscretizationInterface,int,int,int)
getCloneWithModifiedSeed(int):Object
getBrownianIncrement(int,int):ImmutableRandomVariableInterface
getTimeDiscretization():TimeDiscretizationInterface
getNumberOfFactors():int
getNumberOfPaths():int
getSeed():int
<<Java Class>>
MonteCarloBlackScholesModel
net.finmath.montecarlo.assetderivativevaluation
MonteCarloBlackScholesModel(TimeDiscretizationInterface,int,double,double,double)
MonteCarloBlackScholesModel(double,double,double,AbstractProcess)
getInitialState():ImmutableRandomVariableInterface[]
getDrift(int,int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):RandomVariableInterface
getFactorLoading(int,int,int):RandomVariableInterface
applyStateSpaceTransform(RandomVariableInterface):void
getAssetValue(double,int):RandomVariableInterface
getAssetValue(int,int):RandomVariableInterface
getMonteCarloWeights(double):RandomVariableInterface
getNumeraire(int):RandomVariableInterface
getNumeraire(double):RandomVariableInterface
getRandomVariableForConstant(double):RandomVariableInterface
getNumberOfComponents():int
getNumberOfAssets():int
toString():String
getRiskFreeRate():double
getVolatility():double
getCloneWithModifiedData(Map<String,Object>):MonteCarloSimulationInterface
getCloneWithModifiedSeed(int):AssetModelMonteCarloSimulationInterface
getNumberOfPaths():int
<<Java Interface>>
AssetModelMonteCarloSimulationInterface
net.finmath.montecarlo.assetderivativevaluation
getNumberOfAssets():int
getAssetValue(int,int):RandomVariableInterface
getAssetValue(double,int):RandomVariableInterface
getMonteCarloWeights(int):RandomVariableInterface
getMonteCarloWeights(double):RandomVariableInterface
getNumeraire(int):RandomVariableInterface
getNumeraire(double):RandomVariableInterface
getRandomVariableForConstant(double):RandomVariableInterface
getCloneWithModifiedSeed(int):Object
<<Java Class>>
net.finmath.montecarlo.assetderivativevaluation.products
AbstractAssetMonteCarloProduct()
getValue(double,AssetModelMonteCarloSimulationInterface):RandomVariableInterface
getValue(double,MonteCarloSimulationInterface):RandomVariableInterface
-process
0..1
-brownianMotion
0..1
-model
0..1
