Package net.finmath.montecarlo.process

Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.

See: Description

Interface Summary

Interface	Description
AbstractProcessInterface	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 AbstractModelInterface: The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().
ProcessInterface	The interface for a stochastic process X.

Class Summary

Class	Description
AbstractProcess	This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
LinearInterpolatedTimeDiscreteProcess	A linear interpolated time discrete process, that is, given a collection of tuples (Double, RandomVariable) representing realizations \( X(t_{i}) \) this class implements the ProcessInterface 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 \( t_{i} \leq t \leq t_{i+1} \).
ProcessEulerScheme	This class implements some numerical schemes for multi-dimensional multi-factor Ito process.

Enum Summary

Enum	Description
ProcessEulerScheme.Scheme

Package net.finmath.montecarlo.process Description

Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme. The Euler scheme implementation is more generic and can be configured for log-Euler scheme or predictor corrector scheme.