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Packages |
| net.finmath.compatibility.java.util.function |
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| net.finmath.concurrency |
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| net.finmath.exception |
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| net.finmath.fouriermethod |
Provides algorithms related to derivative valuation via
a models characteristic functions and Fourier transforms of a products payoffs. |
| net.finmath.fouriermethod.models |
Provides characteristic functions of stochastic processes (models). |
| net.finmath.fouriermethod.products |
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation). |
| net.finmath.functions |
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra. |
| net.finmath.information |
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| net.finmath.integration |
Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration. |
| net.finmath.interpolation |
Basic methodologies to interpolate of curves and surfaces are provided here. |
| net.finmath.marketdata.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values. |
| net.finmath.marketdata.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves. |
| net.finmath.marketdata.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves. |
| 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.marketdata.products |
Provides interface specification and implementation of products, e.g., calibration products. |
| net.finmath.modelling |
Provides interface separating models and products. |
| 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.conditionalexpectation |
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo". |
| 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 |
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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. |
| 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. |
| net.finmath.montecarlo.templatemethoddesign |
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| net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation |
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| net.finmath.optimizer |
Contains the Levenberg Marquardt optimizer, a multi-dimensional non-linear least-square. |
| net.finmath.rootfinder |
Interfaces and classes provided variantes of one dimensional root finder to solve
f(x) = 0, like Bisection Search, Newtons Method. |
| net.finmath.stochastic |
Interfaces specifying operations on random variables. |
| net.finmath.swing |
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| net.finmath.time |
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation. |
| net.finmath.time.businessdaycalendar |
Provides business day calendars, e.g., as used in date roll conventions. |
| net.finmath.time.daycount |
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products. |
| net.finmath.timeseries |
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| net.finmath.timeseries.models.parametric |
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