Package net.finmath.fouriermethod

Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.

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Description

Interface Summary

CharacteristicFunctionInterface

Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).

Package net.finmath.fouriermethod Description

Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.