finmath lib (3.2.10) documentation

Packages

Package	Description
net.finmath.analytic.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.analytic.interpolation
net.finmath.analytic.model
net.finmath.analytic.model.curves
net.finmath.analytic.model.volatilities
net.finmath.analytic.products
net.finmath.concurrency
net.finmath.exception
net.finmath.finitedifference	Algorithms using finite differences methods.
net.finmath.finitedifference.experimental	Algorithms using finite differences methods.
net.finmath.finitedifference.models	Models provided for finite difference solvers.
net.finmath.finitedifference.products	Product valuation code for models using backward propagation.
net.finmath.finitedifference.solvers	Finite difference solvers
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	Provides information about the library (e.g. the version and build number) and runtime.
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	Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
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.bond	Provided classes related to the modelling of Bond 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.curves.locallinearregression	Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
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.modelling.descriptor	Provides interface separating implementation from specification (of 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.crosscurrency	Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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	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	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), 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.
net.finmath.montecarlo.templatemethoddesign
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation
net.finmath.optimizer	This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
net.finmath.randomnumbers	Wrapper classes to random number generators.
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	Provides utilities for Java swing (used in finmath applets).
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	Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models.
net.finmath.timeseries.models.parametric