A B C D E F G H I K L M N O P R S T U V W X Y

A

AMNORM - Static variable in class vmarket

American option in normalized variables

AMSTY - Static variable in class vmarket

American option without normalizing

action(Event, Object) - Method in class MyEditor

Deprecated.

action(Event, Object) - Method in class RunData

Deprecated.

action(Event, Object) - Method in class vmarket

Deprecated.

alpha1Nm - Static variable in class RunData

Coefficient

alpha2Nm - Static variable in class RunData

Coefficient

amplitude - Variable in class ShapeFunction

The shape's vertical offset

B

BDT - Static variable in class vmarket

Black Derman and Toy model

BINARY - Static variable in class vmarket

Binary or digital option teminal payoff

BNDOPTION - Static variable in class vmarket

Caplet

BOND - Static variable in class vmarket

Bond

BOX - Static variable in class vmarket

A box as initial condition

BandMatrix - class BandMatrix.

BandMatrix - Linear algebra package for band matrices

BandMatrix(int, int) - Constructor for class BandMatrix

Constructor

barrierNm - Static variable in class RunData

Option barrier relative to present value

beta1Nm - Static variable in class RunData

Coefficient

beta2Nm - Static variable in class RunData

Coefficient

blockEvents - Variable in class vmarket

Inhibits events during creation of selectos

C

CALL - Static variable in class vmarket

Call option teminal payoff

CAPLET - Static variable in class vmarket

Caplet initial condition

CIR - Static variable in class vmarket

Cox Inggersoll and Ross model

CONSOLE - Static variable in class vmarket

Operate a console output of the function values

CONST - Static variable in class vmarket

Discount function or Swap initial condition

c - Variable in class BandMatrix

calculateMoments(int) - Method in class Solution

Internal function to calculate the initial moments of f[] or their deviation from the beginning of the evolution.

caller - Variable in class MyEditor

The class calling

caller - Variable in class RunData

The calling class

cancelButton - Variable in class MyEditor

The Cancel button

cookme - Variable in class RunData

Dessert

correlNm - Static variable in class RunData

Correlation between stochastic variables 1 and 2

createMesh() - Method in class RunData

Creates the mesh from the parameters

createSolution() - Method in class vmarket

Instanciate a solution and select the method and scheme for computations

createWindow() - Method in class vmarket

Instanciate a GUI window

currentState - Variable in class ParticleSolution

A vector with the position of the particles

currentState - Variable in class SamplingSolution

A vector with the current realisation(s) evolved from initial price(s)

curvature - Variable in class ShapeFunction

The shape's curvature

D

DEFAULT - Static variable in class vmarket

Solve with Standard scheme

d - Variable in class BandMatrix

delay - Variable in class vmarket

Milliseconds between plots

desc - Variable in class MyEditor

Description of the editor

det - Variable in class BandMatrix

df - Variable in class Solution

Derivative time level n @see #f

dfm - Variable in class Solution

Derivative time level n-1 @see #fm

dfp - Variable in class Solution

Derivative time level n+1 @see #fp

dg - Variable in class Solution

Extra Derivative time level n @see #g

dgm - Variable in class Solution

Extra Derivative time level n-1 @see #gm

dgp - Variable in class Solution

Extra Derivative time level n+1 @see #gp

diagos - Variable in class BandMatrix

discretize(ShapeFunction) - Method in class FluidSolution

Discretize the initial Shape function and initialize the moments

discretize(ShapeFunction) - Method in class ParticleSolution

Discretize the initial Shape function and initialize the moments Initializes a new set of particles, the number being determined by the numerical scheme parameter.

discretize(ShapeFunction) - Method in class SamplingSolution

Discretize the initial Shape function and initialize the moments Initializes a new set of particles, the number being determined by the numerical scheme parameter.

discretize(ShapeFunction) - Method in class Solution

Discretize the initial shape and initialize the moments

displayAll() - Method in class RunData

Selects all the parameters for display in the applet

displayName - Variable in class vmarket

Text for toggle display button

displayTag(Applet) - Method in class RunData

Selects only tag parameters for display in the applet

distributionUpToDate - Variable in class ParticleSolution

Whether the distribution function is up to date

dividendNm - Static variable in class RunData

Dividend yield of underlying

dot(double[]) - Method in class BandMatrix

Matrix times vector

drift2Nm - Static variable in class RunData

Drift of the second stochastic variable

driftNm - Static variable in class RunData

Drift of the stochastic variable

dx - Variable in class Mesh

Interval sizes

dx - Variable in class Solution

The mesh intervals @see #mesh

E

EDIT - Static variable in class vmarket

Operate edit mode with TAG parameters displayed by default

EDITALL - Static variable in class vmarket

Operate edit mode with ALL parameters displayed

EUNORM - Static variable in class vmarket

European option in normalized variables

EUSTY - Static variable in class vmarket

European option without normalizing

EXC1_01 - Static variable in class vmarket

Solution of exercise 1.01

EXC1_02 - Static variable in class vmarket

Solution of exercise 1.02

EXC1_03 - Static variable in class vmarket

Solution of exercise 1.03

EXC1_04 - Static variable in class vmarket

Solution of exercise 1.04

EXC1_05 - Static variable in class vmarket

Solution of exercise 1.05

EXC1_06 - Static variable in class vmarket

Solution of exercise 1.06

EXC1_07 - Static variable in class vmarket

Solution of exercise 1.07

EXC1_08 - Static variable in class vmarket

Solution of exercise 1.08

EXC1_09 - Static variable in class vmarket

Solution of exercise 1.09

EXC1_10 - Static variable in class vmarket

Solution of exercise 1.10

EXC2_01 - Static variable in class vmarket

Solution of exercise 2.01

EXC2_02 - Static variable in class vmarket

Solution of exercise 2.02

EXC2_03 - Static variable in class vmarket

Solution of exercise 2.03

EXC2_04 - Static variable in class vmarket

Solution of exercise 2.04

EXC2_05 - Static variable in class vmarket

Solution of exercise 2.05

EXC2_06 - Static variable in class vmarket

Solution of exercise 2.06

EXC2_07 - Static variable in class vmarket

Solution of exercise 2.07

EXC2_08 - Static variable in class vmarket

Solution of exercise 2.08

EXC2_09 - Static variable in class vmarket

Solution of exercise 2.09

EXC2_10 - Static variable in class vmarket

Solution of exercise 2.10

EXC3_01 - Static variable in class vmarket

Solution of exercise 3.01

EXC3_02 - Static variable in class vmarket

Solution of exercise 3.02

EXC3_03 - Static variable in class vmarket

Solution of exercise 3.03

EXC3_04 - Static variable in class vmarket

Solution of exercise 3.04

EXC3_05 - Static variable in class vmarket

Solution of exercise 3.05

EXC4_01 - Static variable in class vmarket

Solution of exercise 4.01

EXC4_02 - Static variable in class vmarket

Solution of exercise 4.02

EXC4_03 - Static variable in class vmarket

Solution of exercise 4.03

EXC4_04 - Static variable in class vmarket

Solution of exercise 4.04

EXC4_05 - Static variable in class vmarket

Solution of exercise 4.05

EXC4_06 - Static variable in class vmarket

Solution of exercise 4.06

EXC4_07 - Static variable in class vmarket

Solution of exercise 4.07

EXC4_08 - Static variable in class vmarket

Solution of exercise 4.08

EXC4_09 - Static variable in class vmarket

Solution of exercise 4.09

EXC4_10 - Static variable in class vmarket

Solution of exercise 4.10

EXC4_11 - Static variable in class vmarket

Solution of exercise 4.11

EXC4_12 - Static variable in class vmarket

Solution of exercise 4.12

EXC4_13 - Static variable in class vmarket

Solution of exercise 4.13

EXC4_14 - Static variable in class vmarket

Solution of exercise 4.14

EXC4_15 - Static variable in class vmarket

Solution of exercise 4.15

EXC5_01 - Static variable in class vmarket

Solution of exercise 5.01

EXC5_02 - Static variable in class vmarket

Solution of exercise 5.02

EXC5_03 - Static variable in class vmarket

Solution of exercise 5.03

EXC5_04 - Static variable in class vmarket

Solution of exercise 5.04

EXC5_05 - Static variable in class vmarket

Solution of exercise 5.05

EXC5_06 - Static variable in class vmarket

Solution of exercise 5.06

EXC5_07 - Static variable in class vmarket

Solution of exercise 5.07

EXC5_08 - Static variable in class vmarket

Solution of exercise 5.08

EXC5_09 - Static variable in class vmarket

Solution of exercise 5.09

EXC5_10 - Static variable in class vmarket

Solution of exercise 5.10

EXC5_11 - Static variable in class vmarket

Solution of exercise 5.11

EXC5_12 - Static variable in class vmarket

Solution of exercise 5.12

EXC5_13 - Static variable in class vmarket

Solution of exercise 5.13

EXC5_14 - Static variable in class vmarket

Solution of exercise 5.14

EXC5_15 - Static variable in class vmarket

Solution of exercise 5.15

EXC6_01 - Static variable in class vmarket

Solution of exercise 6.01

EXC6_02 - Static variable in class vmarket

Solution of exercise 6.02

EXC6_03 - Static variable in class vmarket

Solution of exercise 6.03

EXC6_04 - Static variable in class vmarket

Solution of exercise 6.04

EXC6_05 - Static variable in class vmarket

Solution of exercise 6.05

EXC6_06 - Static variable in class vmarket

Solution of exercise 6.06

EXC6_07 - Static variable in class vmarket

Solution of exercise 6.07

EXC6_08 - Static variable in class vmarket

Solution of exercise 6.08

EXC6_09 - Static variable in class vmarket

Solution of exercise 6.09

EXC6_10 - Static variable in class vmarket

Solution of exercise 6.10

EXC6_11 - Static variable in class vmarket

Solution of exercise 6.11

EXC6_12 - Static variable in class vmarket

Solution of exercise 6.12

EXC6_13 - Static variable in class vmarket

Solution of exercise 6.13

EXC6_14 - Static variable in class vmarket

Solution of exercise 6.14

EXC6_15 - Static variable in class vmarket

Solution of exercise 6.15

EXC7_01 - Static variable in class vmarket

Solution of exercise 7.01

EXC7_02 - Static variable in class vmarket

Solution of exercise 7.02

EXC7_03 - Static variable in class vmarket

Solution of exercise 7.03

EXC7_04 - Static variable in class vmarket

Solution of exercise 7.04

EXC7_05 - Static variable in class vmarket

Solution of exercise 7.05

EXC7_06 - Static variable in class vmarket

Solution of exercise 7.06

EXC7_07 - Static variable in class vmarket

Solution of exercise 7.07

EXC7_08 - Static variable in class vmarket

Solution of exercise 7.08

EXC7_09 - Static variable in class vmarket

Solution of exercise 7.09

EXC7_10 - Static variable in class vmarket

Solution of exercise 7.10

EXCA_01 - Static variable in class vmarket

Solution of exercise A.01

EXCB_01 - Static variable in class vmarket

Solution of exercise B.01

EXCC_01 - Static variable in class vmarket

Solution of exercise C.01

EXCD_01 - Static variable in class vmarket

Solution of exercise D.01

EXCE_01 - Static variable in class vmarket

Solution of exercise E.01

EXCF_01 - Static variable in class vmarket

Solution of exercise F.01

EXERCISE - Static variable in class vmarket

Exercise to be inserted

expectedValue() - Method in class SamplingSolution

Generates a probability distribution and an expectation from the set of sampled values.

F

FD - Static variable in class vmarket

Solve with finite differances

FDSolution - class FDSolution.

FDSolution -- contains the finite difference solver.

FDSolution(RunData) - Constructor for class FDSolution

Creates a FDSolution object.

FEM - Static variable in class vmarket

Solve with finite elements method

FEMSolution - class FEMSolution.

FEMSolution -- contains the finite elements solver.

FEMSolution(RunData) - Constructor for class FEMSolution

Creates a FEMSolution object.

FLOORLET - Static variable in class vmarket

Caplet initial condition

FMODEL - Static variable in class vmarket

Financial models (Black, Vasicek, CIR, BDT, etc)

FluidSolution - class FluidSolution.

FluidSolution -- Is an abstract class at the top of all the solvers that that operate directly on the fluid function.

FluidSolution(RunData) - Constructor for class FluidSolution

Creates a FluidSolution object.

f - Variable in class Solution

Function time level n

f0 - Variable in class Solution

Function time level 0 (IC) @see #f

field - Variable in class MyEditor

The text field where the value is edited

fm - Variable in class Solution

Function time level n-1

fp - Variable in class Solution

Function time level n+1

frozen - Variable in class vmarket

Whether the simulation is running

G

GAUSSIAN - Static variable in class vmarket

A gaussian as initial condition

g - Variable in class Solution

Extra Function time level n

gbAdd(GridBagLayout, GridBagConstraints, Component) - Method in class vmarket

Helper method for adding objects to a GridBagLayout

generateDistribution() - Method in class ParticleSolution

Generates the distribution function from the set of test particles.

get(int, int) - Method in class BandMatrix

Retrieve value of matrix elements

getAppletInfo() - Method in class vmarket

Information

getD(int) - Method in class BandMatrix

getL(int) - Method in class BandMatrix

getMesh() - Method in class RunData

Returns the mesh @return The mesh

getParamIndex(String) - Method in class RunData

Returns index of a parameter

getParamValue(String) - Method in class RunData

Returns the value a double parameter

getParamValueInt(String) - Method in class RunData

Returns the value of an integer parameter

getParameterInfo() - Method in class vmarket

Parameter info

getR(int) - Method in class BandMatrix

getTime() - Method in class Solution

Get the current physical time

getValue(int) - Method in class ParticleSolution

Gives the value of the function for an index

getValue(double) - Method in class ParticleSolution

Linear interpolation of the solution.

getValue(int) - Method in class SamplingSolution

Gives the value of the function for an index

getValue(double) - Method in class SamplingSolution

Linear interpolation of the solution.

getValue(double) - Method in class ShapeCall

Evaluates the shape for a real argument

getValue(Mesh, double) - Method in class ShapeCall

Evaluates the shape on a discrete mesh point position.

getValue(double) - Method in class ShapeFunction

Evaluates the shape for a real argument

getValue(Mesh, double) - Method in class ShapeFunction

Evaluates the shape on a discrete mesh point position.

getValue(double) - Method in class ShapeGaussian

Evaluates the shape for a real argument

getValue(Mesh, double) - Method in class ShapeGaussian

Evaluates the shape on a discrete mesh point position.

getValue(double) - Method in class ShapePut

Evaluates the shape for a real argument

getValue(Mesh, double) - Method in class ShapePut

Evaluates the shape on a discrete mesh point position.

getValue(double) - Method in class ShapeSpread

Evaluates the shape for a real argument

getValue(Mesh, double) - Method in class ShapeSpread

Evaluates the shape on a discrete mesh point position.

getValue(double) - Method in class ShapeYield

Evaluates the shape for a real argument

getValue(Mesh, double) - Method in class ShapeYield

Evaluates the shape on a discrete mesh point position.

getValue(int) - Method in class Solution

Gives the value of the function for an index

getValue(double) - Method in class Solution

Linear interpolation of the solution.

getWinSize() - Method in class Solution

Returns window size

gm - Variable in class Solution

Extra Function time level n-1

gp - Variable in class Solution

Extra Function time level n+1

H

HW - Static variable in class vmarket

Hull and White model

handleEvent(Event) - Method in class vmarket

Deprecated.

hasOption(String) - Method in class FDSolution

Tells whether the solution implements a option

hasOption(String) - Method in class FEMSolution

Tells whether the solution implements a option

hasOption(String) - Method in class MCPSolution

Tells whether the solution implements a option

hasOption(String) - Method in class MCSSolution

Tells whether the solution implements a option

hasOption(String) - Method in class Solution

Tells whether the solution implements a option

headers - Variable in class PlotArea

Whether to draw headers

I

INBAR - Static variable in class vmarket

Monte-Carlo for in-barrier option

ic - Variable in class Solution

Initial condition name @see #setIC

icNames - Static variable in class vmarket

Vector of the names of initial conditions @see ShapeFunction

icSelection - Variable in class vmarket

GUI list of all the ICs

incTime(double) - Method in class Solution

Increment the current physical time

init() - Method in class vmarket

Master initialization and layout

initialMoments - Variable in class Solution

Store initial moments

initializeName - Variable in class vmarket

Text for initialize button

interval(int) - Method in class Mesh

Space to next grid point

intervals() - Method in class Mesh

Spacing between mesh points

isAnApplet - Variable in class vmarket

Potentially reset by main

isDecomposed - Variable in class BandMatrix

isEqual(double[], double[], double) - Method in class BandMatrix

Decide whether two vectors are equal to a certain degree of precision

isForward - Variable in class FluidSolution

True if needs to shiftLevels

K

kappa - Variable in class SamplingSolution

The exponent in the random walk

L

l - Variable in class BandMatrix

lastStep - Variable in class Solution

The current step in the time discretization

limits() - Method in class Mesh

Coordinate boundaries

limits() - Method in class ParticleSolution

Calculates the limits of the solution.

limits() - Method in class SamplingSolution

Calculates the limits of the solution.

limits(boolean) - Method in class Solution

Calculates the solution boundaries.

lines - Variable in class BandMatrix

logNkappaNm - Static variable in class RunData

Exponent in the random walk

M

MCPART - Static variable in class vmarket

Monte-Carlo particles

MCPDrawSolution - class MCPDrawSolution.

Solves the equation with a Monte Carlo method and draws the particles

MCPDrawSolution(RunData) - Constructor for class MCPDrawSolution

Creates a MCPSolution object.

MCPSolution - class MCPSolution.

MCPSolution -- contains the Monte Carlo simulations

MCPSolution(RunData) - Constructor for class MCPSolution

Creates a MCPSolution object.

MCSDrawSolution - class MCSDrawSolution.

Solves the equation with a Monte Carlo sampling of possible configurations and drawn on the plot area

MCSDrawSolution(RunData) - Constructor for class MCSDrawSolution

Creates a MCSSolution object.

MCSSolution - class MCSSolution.

MCSSolution -- contains the Monte Carlo Sampling solution

MCSSolution(RunData) - Constructor for class MCSSolution

Creates a MCSSolution object.

Mesh - class Mesh.

Mesh - Discretization in one dimension TAG_Mesh_TAG

Mesh(int, double, double) - Constructor for class Mesh

Constructor

MyChoice - class MyChoice.

Class for handling the choices of the PDE type, scheme etc

MyChoice(String[]) - Constructor for class MyChoice

Constructor

MyDoubleEditor - class MyDoubleEditor.

Editor of double values

MyDoubleEditor(String, double, MyEditorNotable) - Constructor for class MyDoubleEditor

Constructor

MyEditor - class MyEditor.

Class for editing run time parameters

MyEditor(String, double, MyEditorNotable) - Constructor for class MyEditor

Read-edit constructor for registered users

MyEditor(String, double) - Constructor for class MyEditor

Read-only constructor for non-registered users

MyEditorNotable - interface MyEditorNotable.

Interface supplying the methods needed for a calls to be notified by MyEditor

MyIntEditor - class MyIntEditor.

Editor of int values

MyIntEditor(String, double, MyEditorNotable) - Constructor for class MyIntEditor

Constructor

MyNullEditor - class MyNullEditor.

Editor demo preventing change of values

MyNullEditor(String, double) - Constructor for class MyNullEditor

Constructor

m - Variable in class BandMatrix

main(String[]) - Static method in class vmarket

Method to start the Applet as an application

mark - Variable in class SamplingSolution

A vector with the current markers keeping track of price history

maxLength - Variable in class RunData

Maximum length of the parameters strings

meanRevTargNm - Static variable in class RunData

Mean reversion process target value

meanRevVeloNm - Static variable in class RunData

Mean reversion process velocity

measure(int, int) - Method in class Solution

Get physical coordinates from mouse coordinates

mesh - Variable in class RunData

Discretization mesh

mesh - Variable in class Solution

The underlying mesh for the solution

meshLeftNm - Static variable in class RunData

Lower value of x-axis

meshLengthNm - Static variable in class RunData

Length of x-axis

meshPointsNm - Static variable in class RunData

Number of mesh points on x-axis

method - Variable in class Solution

Numerical method name @see #setMethod

methodNames - Static variable in class vmarket

Method selector

methodSelection - Variable in class vmarket

GUI list of all the methods

mktPriceRskNm - Static variable in class RunData

Market price of risk

momentsDeviation(int) - Method in class ParticleSolution

Calculates the deviation from the m:th initial moment.

momentsDeviation(int) - Method in class SamplingSolution

Calculates the deviation from the m:th initial moment.

momentsDeviation(int) - Method in class Solution

Calculates the deviation from the m:th initial moment.

mouseDown(Event, int, int) - Method in class vmarket

Deprecated.

myEditorNotify(String, double) - Method in interface MyEditorNotable

Called by MyEditor

myEditorNotify(String, double) - Method in class RunData

Called by MyEditor

N

n - Variable in class BandMatrix

next(RunData) - Method in class FDSolution

Advance the solution forward one step in time.

next(RunData) - Method in class FEMSolution

Advance the solution forward one step in time.

next(RunData) - Method in class MCPSolution

Advance the solution forward one step in time.

next(RunData) - Method in class MCSSolution

Advance the solution forward one step in time.

next(RunData) - Method in class Solution

Advance the solution forward one step in time.

nstep - Variable in class vmarket

Operate nsteps before stopping

numberOfRealisations - Variable in class ParticleSolution

The number of test particles in the simulation

numberOfRealisations - Variable in class SamplingSolution

The number of independent realisations to evolve

O

OUTBAR - Static variable in class vmarket

Monte-Carlo for out-barrier option

operNames - Static variable in class vmarket

Vector of the names of all the operations

operSelection - Variable in class vmarket

GUI list of all the operations

option - Variable in class SamplingSolution

The terminal payoff

options - Variable in class MyChoice

List of the possible options of the choice

output(int) - Method in class Solution

Print the solution in ASCII to java console

P

PPP - Static variable in class vmarket

Distribution function from a random walk of particles

PPPS - Static variable in class vmarket

Distribution function from a random walk of particles plot dots

PUT - Static variable in class vmarket

Put option teminal payoff

ParticleSolution - class ParticleSolution.

ParticleSolution -- Is an abstract class at the top of all the solvers that that push particles in phase space.

ParticleSolution(RunData) - Constructor for class ParticleSolution

Creates a ParticleSolution object.

PlotArea - class PlotArea.

Class used for the plot area

PlotArea() - Constructor for class PlotArea

pad(StringBuffer, int) - Method in class RunData

Copy the string padding it up with sapces to a specified length

paint(Graphics) - Method in class PlotArea

Plot the graphics

paramIsInt - Static variable in class RunData

The type (integer or double) of the parameter

paramNames - Static variable in class RunData

The names of all the run time parameters

paramShow - Variable in class RunData

Display the parameters in the applet or not

paramVal - Variable in class RunData

The value of the parameter converted to double

parseField() - Method in class MyDoubleEditor

Parses the field and tryes to put in the value.

parseField() - Method in class MyEditor

Parses the field and tryes to put in the value.

parseField() - Method in class MyIntEditor

Parses the field and tryes to put in the value.

parseField() - Method in class MyNullEditor

Idle

plot(Canvas, Image, boolean) - Method in class MCPDrawSolution

Plots the solution

plot(Canvas, Image, boolean) - Method in class MCPSolution

Plots the solution

plot(Canvas, Image, boolean) - Method in class MCSDrawSolution

Plots the solution

plot(Canvas, Image, boolean) - Method in class MCSSolution

Plots the solution

plot(Canvas, Image, boolean) - Method in class Solution

Plots the solution

plotArea - Variable in class vmarket

The plot area

point(int) - Method in class Mesh

Coordinate value

points() - Method in class Mesh

Coordinate values

position - Variable in class ShapeFunction

The shape's abscissa

previous(RunData) - Method in class FDSolution

Take the solution backward one step to initialize schemes with 3 time levels.

previous(RunData) - Method in class FEMSolution

Take the solution backward one step to initialize schemes with 3 time levels; not really appropriate in this context.

previous(RunData) - Method in class ParticleSolution

Take the solution backward one step to initialize 3 time level schemes; not appropriate in this context.

previous(RunData) - Method in class SamplingSolution

Take the solution backward one step to initialize schemes with 3 time levels; not really appropriate in this context.

previous(RunData) - Method in class Solution

Take the solution backward one step to initialize schemes with 3 time levels.

printCName - Variable in class vmarket

Text for print stop to console

R

RNDWALK - Static variable in class vmarket

Random walk processes in physics

RunData - class RunData.

Class taking care of run time parameters

RunData(RunDataNotable) - Constructor for class RunData

Constructor

RunDataNotable - interface RunDataNotable.

Interface suppying the methods needed for a calls to be notified by RunData

r - Variable in class BandMatrix

random - Variable in class ParticleSolution

Random number generator

random - Variable in class SamplingSolution

Random number generator

rate - Variable in class SamplingSolution

The interest rate

rescale(boolean) - Method in class Solution

Set the corners of the plot area

run() - Method in class vmarket

Contains the main loop for the time stepping.

runData - Variable in class vmarket

The run parameters

runDataNotifyMesh() - Method in interface RunDataNotable

Invoked by RunData

runDataNotifyMesh() - Method in class vmarket

A new mesh is created by RunData

runDataNotifyWalkers() - Method in interface RunDataNotable

Invoked by RunData

runDataNotifyWalkers() - Method in class vmarket

The number of particles is changed by RunData

runThread - Variable in class vmarket

Thread label

runTimeNm - Static variable in class RunData

Final time to reach

S

SMP - Static variable in class vmarket

Solve expected value with Monte-Carlo sampling methods

SMPS - Static variable in class vmarket

Solve expected value with Monte-Carlo sampling methods plot dots

STKOPTION - Static variable in class vmarket

Stock option

SWAP - Static variable in class vmarket

Swap

SamplingSolution - class SamplingSolution.

SamplingSolution -- Is an abstract class at the top of all the solvers that that evolve an expected solution by sampling possible realisation.

SamplingSolution(RunData) - Constructor for class SamplingSolution

Creates a SamplingSolution object.

ShapeCall - class ShapeCall.

ShapeCall -- Payoff function for a call option at expiry

ShapeCall(double) - Constructor for class ShapeCall

Creates an instance of the class

ShapeFunction - class ShapeFunction.

Abstract class for a describing initial shapes

ShapeFunction() - Constructor for class ShapeFunction

ShapeGaussian - class ShapeGaussian.

ShapeGaussian -- A Gaussian function

ShapeGaussian(double, double, double) - Constructor for class ShapeGaussian

Creates an instance of the class

ShapePut - class ShapePut.

ShapePut -- Payoff function for a put option at expiry

ShapePut(double) - Constructor for class ShapePut

Creates an instance of the class

ShapeSpread - class ShapeSpread.

ShapeSpread -- Payoff function for a spread option at expiry

ShapeSpread(double, double, double) - Constructor for class ShapeSpread

Creates an instance of the class

ShapeYield - class ShapeYield.

ShapeYield -- Yield curve / bond term structure

ShapeYield(double, double, double, double) - Constructor for class ShapeYield

Creates an instance of the class

Solution - class Solution.

Solution -- Is an abstract class containing all the solutions and solvers.

Solution(RunData) - Constructor for class Solution

Creates an instance of a Solution object with all the attributes.

scheme - Variable in class Solution

Numerical scheme name @see #setScheme

schemeNames - Static variable in class vmarket

Vector of the names of all the schemes @see Solution

schemeSelection - Variable in class vmarket

GUI list of all the schemes

set(int, int, double) - Method in class BandMatrix

Store matrix elements

setButton - Variable in class MyEditor

The Set button

setD(int, double) - Method in class BandMatrix

setIC(String) - Method in class Solution

Set the initial condision as a string.

setInitialCondition(Solution) - Method in class vmarket

Set the initial condition according to the runData parameters.

setL(int, double) - Method in class BandMatrix

setMethod(String) - Method in class Solution

Set the numerical method as a string.

setParamValue(String, double) - Method in class RunData

Sets the value of a parameter

setR(int, double) - Method in class BandMatrix

setScheme(String) - Method in class Solution

Set the numerical scheme as a string.

setSolution(Solution) - Method in class PlotArea

Set the solution to plot

setTime(double) - Method in class Solution

Set the current physical time

setTopic(String) - Method in class Solution

Set the topic as a string.

shape0Nm - Static variable in class RunData

Initial shape offset

shape1Nm - Static variable in class RunData

Initial shape slope

shape2Nm - Static variable in class RunData

Initial shape convexity

shiftLevels() - Method in class FluidSolution

Internal function for copying new -> old

size() - Method in class Mesh

Grid Size

slope - Variable in class ShapeFunction

The shape's slope

solution - Variable in class PlotArea

The solution to plot

solution - Variable in class vmarket

The solution

solutionUpToDate - Variable in class SamplingSolution

Whether the expected solution is up to date

solve3(double[]) - Method in class BandMatrix

Direct LU solver for 3-banded matrix with multiple RHS and BC The matrix is decomposed once only for the first rhs vector Periodic boundary conditions are taken care of by the upper-left lower-right most matrix elements

spotRateNm - Static variable in class RunData

Present value of interest rate

ssor3(double[], double[], double[], double[], double, double, int) - Method in class BandMatrix

Projected Symmetric Over Relaxation for 3-banded matrix Periodic boundary conditions are taken care of by the upper-left lower-right most matrix elements

ssor3(double[], double[]) - Method in class BandMatrix

Projected Symmetric Over Relaxation for 3-banded matrix Periodic boundary conditions are taken care of by the upper-left lower-right most matrix elements

start() - Method in class vmarket

Applet start a new thread

startName - Variable in class vmarket

Text for Start/Stop button

stateDensity - Variable in class ParticleSolution

The amount of mass each test particle represents

step - Variable in class vmarket

Current step number

step1Name - Variable in class vmarket

Text for Step 1 button

stop() - Method in class vmarket

Applet stop

strike - Variable in class SamplingSolution

The default initial / terminal condition

strikePriceNm - Static variable in class RunData

Option exercise price or swap price

stringPartCompare(String, String) - Method in class RunData

Internal method usedin action for camparing if two strings are alike upon the length of the shortest string

sync(Solution) - Method in class MyChoice

Synchronize the list with the valid choices for a solution

syncList() - Method in class RunData

Synchronizes the list with the current parameters

T

TREE2 - Static variable in class vmarket

Solve by sampling with a tree

tagModify(Applet) - Method in class RunData

Modify defaults parameters the HTML tags from the web page

tagModify() - Method in class vmarket

Modify defaults parameters the HTML tags from the web page

time - Variable in class Solution

Absolute time @see #setTime

timeStepNm - Static variable in class RunData

Time step duration

timeThetaNm - Static variable in class RunData

Implicit time parameter

toString() - Method in class Mesh

For debugging

toggleHeaders() - Method in class PlotArea

Toggles whether to draw headers

topic - Variable in class Solution

The topic to be solved @see #setTopic

topicNames - Static variable in class vmarket

Vector of the names of different topics @see Solution

topicSelection - Variable in class vmarket

GUI list of all the topics

tuneQuadNm - Static variable in class RunData

FEM tunable integration

U

update(Graphics) - Method in class PlotArea

No need to clear anything; just paint.

updateHeaders(RunData, int) - Method in class Solution

Updates the information for the headers

userDoubleNm - Static variable in class RunData

User data

userIntegerNm - Static variable in class RunData

User data

V

VASICEK - Static variable in class vmarket

Vasicek model

value - Variable in class MyEditor

The value

vmarket - class vmarket.

VMarket -- a virtual market calculator for financial products in java Andre JAUN (jaun@.kth.se).

vmarket() - Constructor for class vmarket

volatility2Nm - Static variable in class RunData

Volatility of the second stochastic variable

volatilityNm - Static variable in class RunData

Volatility of the stochastic variable

W

walkersNm - Static variable in class RunData

Number of random walkers

width - Variable in class ShapeFunction

The shape's width

X

x - Variable in class Mesh

Coordinates

x - Variable in class Solution

The mesh points @see #mesh

xOffset - Variable in class Solution

Horizontal offset of plot area

xSize - Variable in class Solution

Horizontal scale of plot area

x_0 - Variable in class Solution

x of lower left corner of plot area

x_1 - Variable in class Solution

x of upper right corner of plot area

Y

yOffset - Variable in class Solution

Vertical offset of plot area

ySize - Variable in class Solution

Vertical scale of plot area

y_0 - Variable in class Solution

y of lower left corner of plot area

y_1 - Variable in class Solution

y of upper right corner of plot area

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