Uses of Class
net.finmath.exception.CalculationException

Packages that use CalculationException

Package	Description
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.
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.
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
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.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate.products.components
net.finmath.montecarlo.interestrate.products.indices
net.finmath.montecarlo.model
net.finmath.montecarlo.process	Numerical schemes for stochastic processes (SDE), like the Euler scheme.
net.finmath.montecarlo.process.component.factordrift
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.

Uses of CalculationException in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that throw CalculationException

Modifier and Type	Method and Description
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModelInterface calibrationModel, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)

Uses of CalculationException in net.finmath.montecarlo

Methods in net.finmath.montecarlo that throw CalculationException

Modifier and Type	Method and Description
MonteCarloSimulationInterface	MonteCarloSimulationInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
RandomVariableInterface	MonteCarloSimulationInterface.getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	MonteCarloSimulationInterface.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
abstract RandomVariableInterface	AbstractMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
double	AbstractMonteCarloProduct.getValue(MonteCarloSimulationInterface model) This method returns the value of the product under the specified model.
Map<String,Object>	AbstractMonteCarloProduct.getValues(MonteCarloSimulationInterface model) This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationInterface model, Map<String,Object> dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationInterface model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).

Uses of CalculationException in net.finmath.montecarlo.assetderivativevaluation

Methods in net.finmath.montecarlo.assetderivativevaluation that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getAssetValue(double time, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getAssetValue(int timeIndex, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
AssetModelMonteCarloSimulationInterface	MonteCarloMultiAssetBlackScholesModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationInterface	AssetModelMonteCarloSimulationInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloBlackScholesModel.getMonteCarloWeights(double time)

Uses of CalculationException in net.finmath.montecarlo.assetderivativevaluation.products

Methods in net.finmath.montecarlo.assetderivativevaluation.products that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	EuropeanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BlackScholesHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	BlackScholesDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	BermudanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BasketOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	AsianOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that throw CalculationException

Modifier and Type	Method and Description
LIBORModelMonteCarloSimulationInterface	LIBORModelMonteCarloSimulation.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	LIBORMarketModelStandard.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModelInterface	LIBORMarketModelInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing LIBORMarketModelInterface, using the new data.
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationInterface	LIBORModelMonteCarloSimulation.getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getLIBOR(double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getLIBOR(int timeIndex, int liborIndex) Return the forward rate for a given simulation time index and a given forward rate index.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORMarketModelStandard.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORMarketModelInterface.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORMarketModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface[]	LIBORModelMonteCarloSimulationInterface.getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
RandomVariableInterface[]	LIBORModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	LIBORMarketModelStandard.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	LIBORMarketModel.getNumeraire(double time) Return the numeraire at a given time.

Constructors in net.finmath.montecarlo.interestrate that throw CalculationException

Constructor and Description
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModelStandard.CalibrationItem[] calibrationItems) Creates a LIBOR Market Model for given covariance.

Uses of CalculationException in net.finmath.montecarlo.interestrate.modelplugins

Methods in net.finmath.montecarlo.interestrate.modelplugins that throw CalculationException

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters)

Uses of CalculationException in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, LIBORMarketModel model) Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	SwaptionSimple.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Swaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Swap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Portfolio.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	MoneyMarketAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FlexiCap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	DigitalCaplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	CMSOption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Caplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Bond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BermudanSwaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValueForModifiedData(double evaluationTime, MonteCarloSimulationInterface monteCarloSimulationInterface, Map<String,Object> dataModified)
Map<String,Object>	AbstractLIBORMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

Uses of CalculationException in net.finmath.montecarlo.interestrate.products.components

Methods in net.finmath.montecarlo.interestrate.products.components that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	Period.getCoupon(LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractPeriod.getCoupon(LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the end of a period, given a period.
RandomVariableInterface	ProductCollection.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Period.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Option.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Cashflow.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractPeriod.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
Map<String,Object>	AbstractProductComponent.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.interestrate.products.indices

Methods in net.finmath.montecarlo.interestrate.products.indices that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	UnsupportedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TriggerIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LinearCombinationIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LIBORIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ConstantMaturitySwaprate.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	CappedFlooredIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.model

Methods in net.finmath.montecarlo.model that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	AbstractModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	AbstractModelInterface.getNumeraire(double time) Return the numeraire at a given time index.
RandomVariableInterface	AbstractModel.getProcessValue(int timeIndex, int componentIndex)

Uses of CalculationException in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	AbstractProcessInterface.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	AbstractProcessInterface.getProcessValue(int timeIndex, int component) This method returns the realization of a component of the process at a certain time index.

Uses of CalculationException in net.finmath.montecarlo.process.component.factordrift

Methods in net.finmath.montecarlo.process.component.factordrift that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface[]	FactorDriftInterface.getFactorDrift(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.

Uses of CalculationException in net.finmath.montecarlo.products

Methods in net.finmath.montecarlo.products that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	PortfolioMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)