Uses of Interface
net.finmath.modelling.ProductInterface

Packages that use ProductInterface

Package	Description
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.products	Products which may be valued using an AssetModelMonteCarloSimulationInterface.
net.finmath.montecarlo.hybridassetinterestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationInterface.
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.products	Products which are model independent, but assume a Monte-Carlo simulation.

Uses of ProductInterface in net.finmath.marketdata.products

Subinterfaces of ProductInterface in net.finmath.marketdata.products

Modifier and Type	Interface and Description
interface	AnalyticProductInterface The interface which has to be implemented by a product which may be evaluated using an AnalyticModel.

Classes in net.finmath.marketdata.products that implement ProductInterface

Modifier and Type	Class and Description
class	AbstractAnalyticProduct
class	Cap Implements the valuation of a cap via an analytic model, i.e. the specification of a forward curve, discount curve and volatility surface.
class	Cashflow Implements the valuation of a single cashflow by a discount curve.
class	Deposit Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
class	Forward Implements the valuation of a forward using curves (discount curve, forward curve).
class	ForwardRateAgreement Implements the valuation of a FRA in multi-curve setting.
class	MarketForwardRateAgreement Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
class	Performance Implements an analytic product given by the ratio of two analytic products.
class	Portfolio Implements the valuation of a portfolio of products implementing AnalyticProductInterface.
class	Swap Implements the valuation of a swap using curves (discount curve, forward curve).
class	SwapAnnuity Implements the valuation of a swap annuity using curves (discount curve).
class	SwapLeg Implements the valuation of a swap leg using curves (discount curve, forward curve).
class	SwapLegWithResetting Implements the valuation of a swap leg with notional reset using curves (discount curve, forward curve).

Uses of ProductInterface in net.finmath.modelling

Classes in net.finmath.modelling that implement ProductInterface

Modifier and Type	Class and Description
class	UnsupportedProduct A product throwing an exception if its getValue method is called.

Uses of ProductInterface in net.finmath.montecarlo

Classes in net.finmath.montecarlo that implement ProductInterface

Modifier and Type	Class and Description
class	AbstractMonteCarloProduct Base class for products requiring an MonteCarloSimulationInterface for valuation.

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

Classes in net.finmath.montecarlo.assetderivativevaluation.products that implement ProductInterface

Modifier and Type	Class and Description
class	AbstractAssetMonteCarloProduct Base calls for product that need an AbstractLIBORMarketModel as base class
class	AsianOption Implements the valuation of an Asian option.
class	BasketOption Implements valuation of a European option on a basket of asset.
class	BermudanDigitalOption This class implements the valuation of a Bermudan digital option paying \( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \), when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
class	BermudanOption This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
class	BlackScholesDeltaHedgedPortfolio This class implements a delta hedged portfolio of an European option (a hedge simulator).
class	BlackScholesHedgedPortfolio This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	DigitalOption Implements the valuation of a digital option on a single asset.
class	EuropeanOption Implements the valuation of a European option on a single asset.
class	FiniteDifferenceDeltaHedgedPortfolio This class implements a delta hedged portfolio of a given product (a hedge simulator).
class	LocalRiskMinimizingHedgePortfolio This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Uses of ProductInterface in net.finmath.montecarlo.hybridassetinterestrate.products

Classes in net.finmath.montecarlo.hybridassetinterestrate.products that implement ProductInterface

Modifier and Type	Class and Description
class	WorstOfExpressCertificate

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

Classes in net.finmath.montecarlo.interestrate.products that implement ProductInterface

Modifier and Type	Class and Description
class	AbstractLIBORMonteCarloProduct Base calls for product that need an AbstractLIBORMarketModel as base class
class	BermudanSwaption Implements the valuation of a cancelable swap under a LIBORModelMonteCarloSimulationInterface
class	Bond This class implements the valuation of a zero coupon bond.
class	Caplet Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
class	CMSOption Implements the valuation of an option on a CMS rate.
class	DigitalCaplet Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationInterface.
class	FlexiCap This class implements the valuation of a Flexi Cap (aka Auto Cap).
class	ForwardRateVolatilitySurfaceCurvature This class implements the calculation of the curvature of the volatility surface of the forward rates.
class	MoneyMarketAccount Implements the valuation of a money market account.
class	SimpleCappedFlooredFloatingRateBond
class	SimpleSwap Implements the valuation of a swap under a LIBORModelMonteCarloSimulationInterface
class	SimpleZeroSwap Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationInterface.
class	SwaprateCovarianceAnalyticApproximation This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.
class	Swaption Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationInterface Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does assume that the basis deterministic.
class	SwaptionAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionAnalyticApproximationRebonato This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionSimple Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationInterface
class	SwaptionSingleCurve Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationInterface Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does not result in the valuation of a collaterlized option on a collateralized swap.
class	SwaptionSingleCurveAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.

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

Classes in net.finmath.montecarlo.interestrate.products.components that implement ProductInterface

Modifier and Type	Class and Description
class	AbstractPeriod Base class for a period.
class	AbstractProductComponent Base class for product components.
class	AccrualAccount Implementation of a general accrual account.
class	ExposureEstimator Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.
class	IndexedValue An indexed value.
class	Numeraire A single deterministic cashflow at a fixed time
class	Option An option.
class	Period A period.
class	ProductCollection A collection of product components (like periods, options, etc.) paying the sum of their payouts.

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

Classes in net.finmath.montecarlo.interestrate.products.indices that implement ProductInterface

Modifier and Type	Class and Description
class	AbstractIndex Base class for indices.
class	AccruedInterest An accrued interest index.
class	AnalyticModelForwardCurveIndex An index which is given by a name referencing a curve of an analytic model.
class	AnalyticModelIndex An index which is given by a name referencing a curve of an analytic model.
class	CappedFlooredIndex An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing AbstractIndex.
class	ConstantMaturitySwaprate An idealized (single curve) CMS index with given maturity and given period length.
class	DateIndex An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
class	FixedCoupon A fixed coupon index paying constant coupon..
class	FowardCurveIndex A fixed coupon index paying coupon calculated from a forward curve.
class	LaggedIndex A time-lagged index paying index(t+fixingOffset)
class	LIBORIndex A forward rate index for a given period start offset (offset from fixing) and period length.
class	LinearCombinationIndex A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
class	MaxIndex A maximum index.
class	MinIndex A minumum index.
class	PerformanceIndex A performance index being numeratorIndex(t) / denominatorIndex(t)
class	PowIndex A power index.
class	ProductIndex A product index being index1(t) * index2(t)
class	TimeDiscreteEndOfMonthIndex An index which maps is evaluation point to a fixed discrete point, the end of the month, then takes the value of a given base index at this point.
class	TriggerIndex A trigger index.
class	UnsupportedIndex An index throwing an exception if his getValue method is called.

Uses of ProductInterface in net.finmath.montecarlo.products

Classes in net.finmath.montecarlo.products that implement ProductInterface

Modifier and Type	Class and Description
class	PortfolioMonteCarloProduct A portfolio of products, each product being of AbstractMonteCarloProduct type.