| net.finmath.marketdata.model.volatilities |
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
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| net.finmath.montecarlo |
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
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| net.finmath.montecarlo.assetderivativevaluation |
Monte-Carlo models for asset value processes, like the Black Scholes model.
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| net.finmath.montecarlo.assetderivativevaluation.products |
Products which may be valued using an AssetModelMonteCarloSimulationInterface.
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| net.finmath.montecarlo.interestrate |
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from net.finmath.montecarlo.process.
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| net.finmath.montecarlo.interestrate.modelplugins |
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
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| net.finmath.montecarlo.interestrate.products |
Provides classes which implement financial products which may be
valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.
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| net.finmath.montecarlo.interestrate.products.components |
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| net.finmath.montecarlo.interestrate.products.indices |
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| net.finmath.montecarlo.model |
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| net.finmath.montecarlo.process |
Numerical schemes for stochastic processes (SDE), like the Euler scheme.
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| net.finmath.montecarlo.process.component.factordrift |
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| net.finmath.montecarlo.products |
Products which are model independent, but assume a Monte-Carlo simulation.
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