- BachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation
-
This class implements a (variant of the) Bachelier model, that is,
it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
- BachelierModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
Create a Monte-Carlo simulation using given time discretization.
- bachelierOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Bachelier option implied volatility of a call, i.e., the payoff
max(S(T)-K,0), where S follows a normal process with constant volatility.
- bachelierOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a
normal process with constant volatility, i.e., a Bachelier model
\[
\mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t)
\]
- bachelierOptionValue(RandomVariableInterface, RandomVariableInterface, double, double, RandomVariableInterface) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a
normal process with constant volatility, i.e., a Bachelier model
\[
\mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t)
\]
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariable
-
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Applies x → (trigger ≥ 0 ?
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Applies x → (trigger ≥ 0 ?
- barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.stochastic.Scalar
-
- BasketOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
-
Implements valuation of a European option on a basket of asset.
- BasketOption(double, double, double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption
-
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
- BatesModel - Class in net.finmath.fouriermethod.models
-
Implements the characteristic function of a Bates model.
- BatesModel(double, double, double[], double, double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
-
Create a two factor Bates model.
- BatesModel(double, double, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
-
Create a two factor Bates model.
- BatesModel(double, double, double, double, double, double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
-
Create a one factor Bates model.
- BermudanDigitalOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
-
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.
- BermudanDigitalOption(double[], double[], double[], BermudanDigitalOption.ExerciseMethod, Map<String, Object>) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption
-
Create 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.
- BermudanDigitalOption.ExerciseMethod - Enum in net.finmath.montecarlo.assetderivativevaluation.products
-
- BermudanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
-
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.
- BermudanOption(double[], double[], double[], BermudanOption.ExerciseMethod) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
Create 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.
- BermudanOption(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
Create 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.
- BermudanOption.ExerciseMethod - Enum in net.finmath.montecarlo.assetderivativevaluation.products
-
- BermudanSwaption - Class in net.finmath.montecarlo.interestrate.products
-
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationInterface
- BermudanSwaption(boolean[], double[], double[], double[], double[], double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- BermudanSwaption(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- BiLinearInterpolation - Class in net.finmath.interpolation
-
Simple bi-linear interpolation of data points \( z_{i,j} \) over a Cartesian grid \( (x_{i},y_{j}) \).
- BiLinearInterpolation(double[], double[], double[][]) - Constructor for class net.finmath.interpolation.BiLinearInterpolation
-
- blackModelCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculate the value of a caplet assuming the Black'76 model.
- blackModelDgitialCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculate the value of a digital caplet assuming the Black'76 model.
- blackModelSwaptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculate the value of a swaption assuming the Black'76 model.
- blackScholesATMOptionValue(double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option value of an atm call option.
- BlackScholesDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
-
This class implements a delta hedged portfolio of an European option (a hedge simulator).
- BlackScholesDeltaHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
-
Construction of a delta hedge portfolio assuming a Black-Scholes model.
- blackScholesDigitalOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the delta of a digital option under a Black-Scholes model
- blackScholesDigitalOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the rho of a digital option under a Black-Scholes model
- blackScholesDigitalOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option value of a digital call option.
- blackScholesDigitalOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the vega of a digital option under a Black-Scholes model
- blackScholesGeneralizedOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
- blackScholesGeneralizedOptionValue(RandomVariableInterface, RandomVariableInterface, double, double, RandomVariableInterface) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
- BlackScholesHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
-
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
- BlackScholesHedgedPortfolio(double, double, double, double, double, double, BlackScholesHedgedPortfolio.HedgeStrategy) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
-
Construction of a delta-gamma hedge portfolio assuming a Black-Scholes model.
- BlackScholesHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
-
Construction of a hedge portfolio assuming a Black-Scholes model for the hedge ratios.
- BlackScholesHedgedPortfolio.HedgeStrategy - Enum in net.finmath.montecarlo.assetderivativevaluation.products
-
- BlackScholesModel - Class in net.finmath.fouriermethod.models
-
Implements the characteristic function of a Black Scholes model.
- BlackScholesModel(BlackScholesModelDescriptor) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
Create a model from a model desciptor.
- BlackScholesModel(LocalDate, double, DiscountCurveInterface, double, DiscountCurveInterface) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
- BlackScholesModel(double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
- BlackScholesModel(double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
- BlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation
-
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
- BlackScholesModel(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
Create a Black-Scholes specification implementing AbstractModel.
- BlackScholesModel(double, double, double, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
Create a Monte-Carlo simulation using given time discretization.
- BlackScholesModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
Create a Black-Scholes model from given parameters.
- BlackScholesModelDescriptor - Class in net.finmath.modelling.descriptor
-
- BlackScholesModelDescriptor(LocalDate, Double, DiscountCurveInterface, DiscountCurveInterface, Double) - Constructor for class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- BlackScholesModelFourierFactory - Class in net.finmath.modelling.modelfactory
-
- BlackScholesModelFourierFactory() - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelFourierFactory
-
Create factory.
- BlackScholesModelMonteCarloFactory - Class in net.finmath.modelling.descriptor
-
- BlackScholesModelMonteCarloFactory(AbstractRandomVariableFactory, IndependentIncrementsInterface) - Constructor for class net.finmath.modelling.descriptor.BlackScholesModelMonteCarloFactory
-
- BlackScholesModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory
-
- BlackScholesModelMonteCarloFactory(AbstractRandomVariableFactory, IndependentIncrementsInterface) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFactory
-
- BlackScholesModelMonteCarloFiniteDifference1D - Class in net.finmath.modelling.descriptor
-
- BlackScholesModelMonteCarloFiniteDifference1D(double) - Constructor for class net.finmath.modelling.descriptor.BlackScholesModelMonteCarloFiniteDifference1D
-
- BlackScholesModelMonteCarloFiniteDifference1D - Class in net.finmath.modelling.modelfactory
-
- BlackScholesModelMonteCarloFiniteDifference1D(double) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFiniteDifference1D
-
- BlackScholesModelWithCurves - Class in net.finmath.montecarlo.assetderivativevaluation
-
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
- BlackScholesModelWithCurves(RandomVariableInterface, DiscountCurveInterface, RandomVariableInterface, DiscountCurveInterface, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
Create a Black-Scholes specification implementing AbstractModel.
- BlackScholesModelWithCurves(Double, DiscountCurveInterface, Double, DiscountCurveInterface, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
Create a Black-Scholes specification implementing AbstractModel.
- blackScholesOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the delta of a call option under a Black-Scholes model
The method also handles cases where the forward and/or option strike is negative
and some limit cases where the forward or the option strike is zero.
- blackScholesOptionDelta(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the delta of a call option under a Black-Scholes model
The method also handles cases where the forward and/or option strike is negative
and some limit cases where the forward or the option strike is zero.
- blackScholesOptionDelta(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, double, RandomVariableInterface) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the delta of a call option under a Black-Scholes model
The method also handles cases where the forward and/or option strike is negative
and some limit cases where the forward or the option strike is zero.
- blackScholesOptionGamma(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
This static method calculated the gamma of a call option under a Black-Scholes model
- blackScholesOptionGamma(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
This static method calculated the gamma of a call option under a Black-Scholes model
- blackScholesOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option implied volatility of a call, i.e., the payoff
max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
- blackScholesOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
This static method calculated the rho of a call option under a Black-Scholes model
- blackScholesOptionTheta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
This static method calculated the vega of a call option under a Black-Scholes model
- blackScholesOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
- blackScholesOptionValue(double, double, double, double, double, boolean) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), or a put, i.e., the payoff max(K-S(T),0), where S follows a log-normal process with constant log-volatility.
- blackScholesOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
This static method calculated the vega of a call option under a Black-Scholes model
- BlackScholesTheta - Class in net.finmath.finitedifference.experimental
-
Implementation of the theta schemes for the Black-Scholes model (still experimental).
- BlackScholesTheta() - Constructor for class net.finmath.finitedifference.experimental.BlackScholesTheta
-
- BlendedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.covariancemodels
-
Blended model (or displaced diffusion model) build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractRandomVariableFactory, AbstractLIBORCovarianceModelParametric, ForwardCurveInterface, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractRandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.modelplugins
-
Blended model (or displaced diffusion model) build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractRandomVariableFactory, AbstractLIBORCovarianceModelParametric, ForwardCurveInterface, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractRandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurveInterface, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- Bond - Class in net.finmath.marketdata.model.bond
-
Implements the valuation of a bond (zero-coupon, fixed coupon or floating coupon)
with unit notional of 1 using curves:
a forward curve, if the bond has floating rate coupons
a discount curve as a base curve for discounting
a survival probability curve for additional credit risk related discount factor
a basis factor curve for additional bond related discount factor
Support for day counting is provided via the class implementing
ScheduleInterface.
- Bond(ScheduleInterface, String, String, String, String, double, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
-
Creates a bond.
- Bond(ScheduleInterface, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
-
Creates a fixed coupon bond with recovery rate.
- Bond(ScheduleInterface, String, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
-
Creates a fixed or floating bond without recovery rate.
- Bond(ScheduleInterface, String, String, String, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
-
Creates a fixed coupon bond without recovery rate.
- Bond - Class in net.finmath.montecarlo.interestrate.products
-
This class implements the valuation of a zero coupon bond.
- Bond(double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
-
- BondCurve - Class in net.finmath.marketdata.model.bond
-
- BondCurve(String, LocalDate, CurveInterface, CurveInterface, BondCurve.Type) - Constructor for class net.finmath.marketdata.model.bond.BondCurve
-
Creates a bond curve.
- BondCurve.Type - Enum in net.finmath.marketdata.model.bond
-
Possible curve types, where the first term stands for the reference discount curve and the
second term stands for the spread curve.
- BrownianBridge - Class in net.finmath.montecarlo
-
This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion
conditional to a given start and end value.
- BrownianBridge(TimeDiscretizationInterface, int, int, RandomVariableInterface[], RandomVariableInterface[]) - Constructor for class net.finmath.montecarlo.BrownianBridge
-
Construct a Brownian bridge, bridging from a given start to a given end.
- BrownianBridge(TimeDiscretizationInterface, int, int, RandomVariableInterface, RandomVariableInterface) - Constructor for class net.finmath.montecarlo.BrownianBridge
-
Construct a Brownian bridge, bridging from a given start to a given end.
- BrownianMotion - Class in net.finmath.montecarlo
-
Implementation of a time-discrete n-dimensional Brownian motion
W = (W1,...
- BrownianMotion(TimeDiscretizationInterface, int, int, int, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotion
-
Construct a Brownian motion.
- BrownianMotion(TimeDiscretizationInterface, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotion
-
Construct a Brownian motion.
- BrownianMotionInterface - Interface in net.finmath.montecarlo
-
Interface description of a time-discrete n-dimensional Brownian motion
W = (W1,...
- BrownianMotionView - Class in net.finmath.montecarlo
-
A Brownian motion which is defined by some factors of a given Brownian motion,
i.e., for a given multi-factorial Brownian motion W, this Brownian motion is
given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) )
where i is a given array of integers.
- BrownianMotionView(BrownianMotionInterface, Integer[]) - Constructor for class net.finmath.montecarlo.BrownianMotionView
-
Create a sub-view on a Brownian motion.
- build() - Method in class net.finmath.analytic.model.curves.Curve.CurveBuilder
-
- build() - Method in interface net.finmath.analytic.model.curves.CurveBuilderInterface
-
Build the curve.
- build() - Method in class net.finmath.marketdata.model.curves.Curve.CurveBuilder
-
- build() - Method in interface net.finmath.marketdata.model.curves.CurveBuilderInterface
-
Build the curve.
- build() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve.CurveBuilder
-
- build() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve.CurveBuilder
-
- bus(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- bus(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- bus(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- bus(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- bus(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- bus(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Applies x → randomVariable-x to this random variable.
- bus(RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- BusinessdayCalendar - Class in net.finmath.time.businessdaycalendar
-
Base class for all business day calendars.
- BusinessdayCalendar() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
- BusinessdayCalendarAny - Class in net.finmath.time.businessdaycalendar
-
A business day calendar, where every day is a business day.
- BusinessdayCalendarAny() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny
-
Create a business day calendar, where every day is a business day.
- BusinessdayCalendarExcludingGivenHolidays - Class in net.finmath.time.businessdaycalendar
-
An abstract base class for a business day calendar, where every day is a business day, except
weekends days provided by a Set provided by the method getHolidays.
- BusinessdayCalendarExcludingGivenHolidays(String, BusinessdayCalendarInterface, boolean) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
-
- BusinessdayCalendarExcludingGivenSetOfHolidays - Class in net.finmath.time.businessdaycalendar
-
A class for a business day calendar, where every day is a business day, except
weekends days provided by a Set.
- BusinessdayCalendarExcludingGivenSetOfHolidays(String, BusinessdayCalendarInterface, boolean, Set<LocalDate>) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
-
- BusinessdayCalendarExcludingGivenSetOfHolidays(String, boolean, Set<LocalDate>) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
-
- BusinessdayCalendarExcludingLONHolidays - Class in net.finmath.time.businessdaycalendar
-
A business day calendar, where every day is a business day, except for weekends and London holidays
- BusinessdayCalendarExcludingLONHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays
-
Create LONDON business day calendar.
- BusinessdayCalendarExcludingLONHolidays(BusinessdayCalendarInterface) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays
-
Create LONDON business day calendar using a given business day calendar as basis.
- BusinessdayCalendarExcludingNYCHolidays - Class in net.finmath.time.businessdaycalendar
-
A business day calendar, where every day is a business day, except for weekends and New York holidays
- BusinessdayCalendarExcludingNYCHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays
-
Create NEW YORK business day calendar.
- BusinessdayCalendarExcludingNYCHolidays(BusinessdayCalendarInterface) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays
-
Create NEW YORK business day calendar using a given business day calendar as basis.
- BusinessdayCalendarExcludingTARGETHolidays - Class in net.finmath.time.businessdaycalendar
-
A business day calendar, where every day is a business day, expect
the TARGET holidays.
- BusinessdayCalendarExcludingTARGETHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
-
Create TARGET business day calendar.
- BusinessdayCalendarExcludingTARGETHolidays(BusinessdayCalendarInterface) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
-
Create TARGET business day calendar using a given business day calendar as basis.
- BusinessdayCalendarExcludingWeekends - Class in net.finmath.time.businessdaycalendar
-
A business day calendar, where every day is a business day, expect SATURDAY and SUNDAY.
- BusinessdayCalendarExcludingWeekends() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
-
Create business day calendar.
- BusinessdayCalendarExcludingWeekends(BusinessdayCalendarInterface) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
-
Create business day calendar using a given business day calendar as basis.
- BusinessdayCalendarInterface - Interface in net.finmath.time.businessdaycalendar
-
- BusinessdayCalendarInterface.DateOffsetUnit - Enum in net.finmath.time.businessdaycalendar
-
- BusinessdayCalendarInterface.DateRollConvention - Enum in net.finmath.time.businessdaycalendar
-
- cache() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- cache() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- cache() - Method in class net.finmath.montecarlo.RandomVariable
-
- cache() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cache() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- cache() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Return a cacheable version of this object (often a self-reference).
- cache() - Method in class net.finmath.stochastic.Scalar
-
- CalculationException - Exception in net.finmath.exception
-
- CalculationException() - Constructor for exception net.finmath.exception.CalculationException
-
A wrapper for exceptions associated with numerical algorithm of finmath lib
- CalculationException(String) - Constructor for exception net.finmath.exception.CalculationException
-
Create an exception with error message.
- CalculationException(Throwable) - Constructor for exception net.finmath.exception.CalculationException
-
Create an exception from another exception.
- CalculationException(String, Throwable) - Constructor for exception net.finmath.exception.CalculationException
-
Create an exception from another exception with error message.
- CalibratedCurves - Class in net.finmath.analytic.calibration
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModelInterface, double, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel, double, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves - Class in net.finmath.marketdata.calibration
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModelInterface, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
- CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves.CalibrationSpec - Class in net.finmath.analytic.calibration
-
Specification of calibration product.
- CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata.calibration
-
Specification of calibration product.
- CalibrationItem(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
-
- CalibrationItem(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
-
- CalibrationItem(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
-
- calibrationProduct - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
-
- calibrationProduct - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
-
- calibrationProduct - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
-
- CalibrationSpec(String, String, ScheduleInterface, String, double, String, ScheduleInterface, String, double, String, String, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, ScheduleInterface, String, double, String, ScheduleInterface, String, double, String, String, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.analytic.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, String, ScheduleInterface, String, double, String, ScheduleInterface, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, ScheduleInterface, String, double, String, ScheduleInterface, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- calibrationTargetValue - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
-
- calibrationTargetValue - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
-
- calibrationTargetValue - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
-
- calibrationWeight - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
-
- calibrationWeight - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
-
- calibrationWeight - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
-
- cancel(boolean) - Method in class net.finmath.concurrency.FutureWrapper
-
- CancelableSwap - Class in net.finmath.montecarlo.interestrate.products
-
Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationInterface
- CancelableSwap(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.CancelableSwap
-
- Cap - Class in net.finmath.marketdata.products
-
Implements the valuation of a cap via an analytic model,
i.e. the specification of a forward curve, discount curve and volatility surface.
- Cap(ScheduleInterface, String, double, boolean, String, String, VolatilitySurfaceInterface.QuotingConvention) - Constructor for class net.finmath.marketdata.products.Cap
-
Create a Caplet with a given schedule, strike on a given forward curve (by name)
with a given discount curve and volatility surface (by name).
- Cap(ScheduleInterface, String, double, boolean, String, String) - Constructor for class net.finmath.marketdata.products.Cap
-
Create a Caplet with a given schedule, strike on a given forward curve (by name)
with a given discount curve and volatility surface (by name).
- cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- cap(double) - Method in class net.finmath.montecarlo.RandomVariable
-
- cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- cap(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cap(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- cap(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Applies x → min(x,cap) to this random variable.
- cap(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Applies x → min(x,cap) to this random variable.
- cap(RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- Caplet - Class in net.finmath.montecarlo.interestrate.products
-
Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
- Caplet(double, double, double, double, boolean, Caplet.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
-
Create a caplet or a floorlet.
- Caplet(double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
-
Create a caplet or a floorlet.
- Caplet(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
-
Create a caplet.
- Caplet.ValueUnit - Enum in net.finmath.montecarlo.interestrate.products
-
- CapletVolatilities - Class in net.finmath.marketdata.model.volatilities
-
A very simple container for Caplet volatilities.
- CapletVolatilities(String, LocalDate, ForwardCurveInterface, double[], double[], double[], VolatilitySurfaceInterface.QuotingConvention, DiscountCurveInterface) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilities
-
- CapletVolatilitiesParametric - Class in net.finmath.marketdata.model.volatilities
-
A parametric caplet volatility surface created form the four parameter model
for the instantaneous forward rate lognormal volatility given by
\( \sigma(t) = (a + b t) \exp(- c t) + d \).
- CapletVolatilitiesParametric(String, LocalDate, ForwardCurveInterface, DiscountCurveInterface, double, double, double, double, double, VolatilitySurfaceInterface.QuotingConvention) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
Create a model with parameters a,b,c,d defining a lognormal volatility surface.
- CapletVolatilitiesParametric(String, LocalDate, ForwardCurveInterface, DiscountCurveInterface, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
Create a model with parameters a,b,c,d defining a lognormal volatility surface.
- CapletVolatilitiesParametric(String, LocalDate, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
Create a model with parameters a,b,c,d.
- CapletVolatilitiesParametric(String, LocalDate, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
Create a model with parameters a,b,c,d.
- CapletVolatilitiesParametricDisplacedFourParameterAnalytic - Class in net.finmath.marketdata.model.volatilities
-
A parametric caplet volatility surface created form the four parameter model
for the instantaneous displaced forward rate lognormal volatility given by
\( \sigma(t) = (a + b t) \exp(- c t) + d \).
- CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String, LocalDate, ForwardCurveInterface, DiscountCurveInterface, double, boolean, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
- CapletVolatilitiesParametricFourParameterPicewiseConstant - Class in net.finmath.marketdata.model.volatilities
-
A parametric caplet volatility surface created form the
picewise constant (numerical integration) of the four parameter model
for the instantaneous forward rate volatility given by
\( \sigma(t) = (a + b t) \exp(- c t) + d \).
- CapletVolatilitiesParametricFourParameterPicewiseConstant(String, LocalDate, double, double, double, double, TimeDiscretizationInterface) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
Create a model with parameters a,b,c,d.
- CappedFlooredIndex - Class in net.finmath.montecarlo.interestrate.products.indices
-
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.
- CappedFlooredIndex(AbstractIndex, AbstractIndex, AbstractIndex) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
-
Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).
- Cashflow - Class in net.finmath.analytic.products
-
Implements the valuation of a single cashflow by a discount curve.
- Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.analytic.products.Cashflow
-
Create a single deterministic cashflow at a fixed time.
- Cashflow - Class in net.finmath.marketdata.products
-
Implements the valuation of a single cashflow by a discount curve.
- Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata.products.Cashflow
-
Create a single deterministic cashflow at a fixed time.
- Cashflow - Class in net.finmath.montecarlo.interestrate.products.components
-
A single deterministic cashflow at a fixed time
- Cashflow(String, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow
-
Create a single deterministic cashflow at a fixed time.
- Cashflow(double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow
-
Create a single deterministic cashflow at a fixed time.
- CharacteristicFunctionInterface - Interface in net.finmath.fouriermethod
-
Interface which has to be implemented by characteristic functions of
random variables, e.g., Fourier transforms of values (payoffs).
- clone() - Method in class net.finmath.analytic.model.AnalyticModel
-
- clone() - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
- clone() - Method in class net.finmath.analytic.model.curves.AbstractCurve
-
- clone() - Method in class net.finmath.analytic.model.curves.Curve
-
- clone() - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
Create a deep copied clone.
- clone() - Method in class net.finmath.analytic.model.volatilities.AbstractVolatilitySurface
-
- clone() - Method in class net.finmath.marketdata.model.AnalyticModel
-
- clone() - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
-
- clone() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- clone() - Method in class net.finmath.marketdata.model.curves.Curve
-
- clone() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
Create a deep copied clone.
- clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- clone() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- clone() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
- clone() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.AbstractLIBORCovarianceModelParametric
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.DisplacedLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelExponentialForm5Param
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelStochasticVolatility
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelFourParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelFromGivenMatrix
-
- clone() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelPiecewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- clone() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticHestonVolatility
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstantLegacy
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
-
- clone() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
-
- clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- clone() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
-
Create and return a clone of this process.
- clone() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- clone() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- clone() - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
Create and return a clone of this process.
- clone() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer.
- clone() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer.
- clone() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer.
- CMSOption - Class in net.finmath.montecarlo.interestrate.products
-
Implements the valuation of an option on a CMS rate.
- CMSOption(double, double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.CMSOption
-
Create the option on a CMS rate.
- compareTo(Period) - Method in class net.finmath.time.Period
-
- computeSeasonalAdjustments(LocalDate, Map<LocalDate, Double>, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
- computeSeasonalAdjustments(double[], int, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
Computes annualized seasonal adjustments from given monthly realized CPI values.
- ConditionalExpectationEstimatorInterface - Interface in net.finmath.stochastic
-
The interface which has to be implemented by a fixed conditional expectation operator,
i.e., E( · | Z ) for a fixed Z.
- ConstantMaturitySwaprate - Class in net.finmath.montecarlo.interestrate.products.indices
-
An idealized (single curve) CMS index with given maturity and given period length.
- ConstantMaturitySwaprate(String, String, double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
Create a CMS index with given fixing offset and given period lengths.
- ConstantMaturitySwaprate(double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
Create a CMS index with given fixing offset and given period lengths.
- ConstantMaturitySwaprate(double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
Create a CMS index with given period lengths.
- ConstantMaturitySwaprate(String, String, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
Create a CMS index with given fixing offset and given maturity and given period length.
- ConstantMaturitySwaprate(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
Create a CMS index with given fixing offset and given maturity and given period length.
- ConstantMaturitySwaprate(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
Create a CMS index with given maturity and given period length.
- convertFromTo(AnalyticModelInterface, double, double, double, VolatilitySurfaceInterface.QuotingConvention, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.analytic.model.volatilities.AbstractVolatilitySurface
-
Convert the value of a caplet from one quoting convention to another quoting convention.
- convertFromTo(double, double, double, VolatilitySurfaceInterface.QuotingConvention, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.analytic.model.volatilities.AbstractVolatilitySurface
-
Convert the value of a caplet from one quoting convention to another quoting convention.
- convertFromTo(AnalyticModelInterface, double, double, double, VolatilitySurfaceInterface.QuotingConvention, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
Convert the value of a caplet from one quoting convention to another quoting convention.
- convertFromTo(double, double, double, VolatilitySurfaceInterface.QuotingConvention, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
Convert the value of a caplet from one quoting convention to another quoting convention.
- CorrelatedBrownianMotion - Class in net.finmath.montecarlo
-
Provides a correlated Brownian motion from given (independent) increments
and a given matrix of factor loadings.
- CorrelatedBrownianMotion(BrownianMotionInterface, double[][]) - Constructor for class net.finmath.montecarlo.CorrelatedBrownianMotion
-
Create a correlated Brownian motion from given independent increments
and a given matrix of factor loadings.
- cos() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- cos() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- cos() - Method in class net.finmath.montecarlo.RandomVariable
-
- cos() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cos() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- cos() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Applies x → cos(x) to this random variable.
- cos() - Method in class net.finmath.stochastic.Scalar
-
- createDateFromDateAndOffsetCode(LocalDate, String) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
- createDateFromDateAndOffsetCode(LocalDate, String) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
-
Create a new date by "adding" a year fraction to a given base date.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariableInterface[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariableInterface[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, LocalDate, double[], RandomVariableInterface[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], RandomVariableInterface[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], RandomVariableInterface[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
- createDiscountCurveFromDiscountFactors(String, double[], RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
- createDiscountCurveFromDiscountFactors(String, LocalDate, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
- createDiscountCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationInterface, double) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from forwards given by a LIBORMonteCarloModel.
- createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariableInterface[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, Date, double[], RandomVariableInterface[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariableInterface[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, double[], RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, Date, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
- createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
- createDiscountFactorsFromForwardRates(String, TimeDiscretizationInterface, RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
Create a discount curve from given time discretization and forward rates.
- createDiscountFactorsFromForwardRates(String, TimeDiscretizationInterface, double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
-
Create a discount curve from given time discretization and forward rates.
- createForwardCurveFromDiscountFactors(String, double[], RandomVariableInterface[], double) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and discount factors.
- createForwardCurveFromDiscountFactors(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and discount factors.
- createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, Date, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModelInterface, double[], RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], RandomVariableInterface[]) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], RandomVariableInterface[], double) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], RandomVariableInterface[], AnalyticModelInterface, String, double) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
- createForwardCurveFromForwards(String, double[], double[], AnalyticModelInterface, String, double) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
- createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, Date, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], double[], AnalyticModelInterface, String, double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
- createForwardCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationInterface, double) - Static method in class net.finmath.analytic.model.curves.ForwardCurve
-
Create a forward curve from forwards given by a LIBORMonteCarloModel.
- createIndexCurveWithSeasonality(String, LocalDate, Map<LocalDate, Double>, Map<String, Double>, Integer, Map<LocalDate, Double>, String, String) - Static method in class net.finmath.marketdata.model.curves.CurveFactory
-
Creates a monthly index curve with seasonality and past fixings.
- createRandomVariable(double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
-
- createRandomVariable(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
-
- createRandomVariableNonDifferentiable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createRandomVariableNonDifferentiable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention, BusinessdayCalendarInterface, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
-
Schedule generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Schedule generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(LocalDate, LocalDate, LocalDate, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Schedule generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(Date, Date, Date, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Schedule generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(LocalDate, LocalDate, int, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Simple schedule generation where startDate and maturityDate are calculated based on tradeDate, spotOffsetDays, startOffsetString and maturityString.
- createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
-
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
- createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
- createScheduleFromConventions(LocalDate, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, startOffsetString and maturityString.
- createScheduleFromConventions(LocalDate, String, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
Schedule generation with futureCodes (in the format DEC17).
- createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
- createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String) - Static method in class net.finmath.time.ScheduleGenerator
-
- createSwaption(String, double, TimeDiscretizationInterface, String) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFactory
-
- createZeroRates(double, double[], LIBORModelMonteCarloSimulationInterface) - Static method in class net.finmath.analytic.model.curves.DiscountCurve
-
- CrossCurrencyTermStructureModelMonteCarloSimulationInterface - Interface in net.finmath.montecarlo.crosscurrency
-
Interface for cross currency term structure models.
- cumulativeDistribution(double) - Static method in class net.finmath.functions.NormalDistribution
-
Cumulative distribution function of the standard normal distribution.
- Curve - Class in net.finmath.analytic.model.curves
-
This class represents a curve build from a set of points in 2D.
- Curve(String, LocalDate, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, double[], RandomVariableInterface[]) - Constructor for class net.finmath.analytic.model.curves.Curve
-
Create a curve with a given name, reference date and an interpolation method from given points
- Curve(String, LocalDate, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Constructor for class net.finmath.analytic.model.curves.Curve
-
Create a curve with a given name, reference date and an interpolation method.
- Curve - Class in net.finmath.marketdata.model.curves
-
This class represents a curve build from a set of points in 2D.
- Curve(String, LocalDate, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, double[], double[]) - Constructor for class net.finmath.marketdata.model.curves.Curve
-
Create a curve with a given name, reference date and an interpolation method from given points
- Curve(String, LocalDate, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Constructor for class net.finmath.marketdata.model.curves.Curve
-
Create a curve with a given name, reference date and an interpolation method.
- Curve.CurveBuilder - Class in net.finmath.analytic.model.curves
-
A builder (following the builder pattern) for Curve objects.
- Curve.CurveBuilder - Class in net.finmath.marketdata.model.curves
-
A builder (following the builder pattern) for Curve objects.
- Curve.ExtrapolationMethod - Enum in net.finmath.analytic.model.curves
-
Possible extrapolation methods.
- Curve.ExtrapolationMethod - Enum in net.finmath.marketdata.model.curves
-
Possible extrapolation methods.
- Curve.InterpolationEntity - Enum in net.finmath.analytic.model.curves
-
Possible interpolation entities.
- Curve.InterpolationEntity - Enum in net.finmath.marketdata.model.curves
-
Possible interpolation entities.
- Curve.InterpolationMethod - Enum in net.finmath.analytic.model.curves
-
Possible interpolation methods.
- Curve.InterpolationMethod - Enum in net.finmath.marketdata.model.curves
-
Possible interpolation methods.
- CurveBuilder() - Constructor for class net.finmath.analytic.model.curves.Curve.CurveBuilder
-
Build a curve.
- CurveBuilder(String, LocalDate) - Constructor for class net.finmath.analytic.model.curves.Curve.CurveBuilder
-
Build a curve with a given name and given reference date.
- CurveBuilder(Curve) - Constructor for class net.finmath.analytic.model.curves.Curve.CurveBuilder
-
Build a curve by cloning a given curve.
- CurveBuilder() - Constructor for class net.finmath.marketdata.model.curves.Curve.CurveBuilder
-
Build a curve.
- CurveBuilder(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.Curve.CurveBuilder
-
Build a curve with a given name and given reference date.
- CurveBuilder(Curve) - Constructor for class net.finmath.marketdata.model.curves.Curve.CurveBuilder
-
Build a curve by cloning a given curve.
- CurveBuilder(PiecewiseCurve) - Constructor for class net.finmath.marketdata.model.curves.PiecewiseCurve.CurveBuilder
-
Create a CurveBuilder from a given piecewiseCurve
- CurveBuilder(SeasonalCurve) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve.CurveBuilder
-
Create a CurveBuilder from a given seasonalCurve.
- CurveBuilderInterface - Interface in net.finmath.analytic.model.curves
-
Interface of builders which allow to build curve objects by successively adding
points.
- CurveBuilderInterface - Interface in net.finmath.marketdata.model.curves
-
Interface of builders which allow to build curve objects by successively adding
points.
- CurveEstimation - Class in net.finmath.marketdata.model.curves.locallinearregression
-
This class implements the method of local linear regression with discrete kernel function, see see https://ssrn.com/abstract=3073942
In particular it represents the implementation of proposition 2 and 3 of the paper.
- CurveEstimation(LocalDate, double, double[], double[], double[], double, CurveEstimation.Distribution) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation
-
Creates a curve estimation object.
- CurveEstimation(LocalDate, double, double[], double[], double[], double) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation
-
Creates a curve estimation object with a normal kernel.
- CurveEstimation.Distribution - Enum in net.finmath.marketdata.model.curves.locallinearregression
-
Possible kernel types.
- CurveFactory - Class in net.finmath.marketdata.model.curves
-
A collection of convenient methods constructing some more specialized curves.
- CurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves
-
A curve derived from other curves by multiplying the values.
- CurveFromProductOfCurves(String, LocalDate, CurveInterface...) - Constructor for class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
Create a curve using one or more curves.
- CurveInterface - Interface in net.finmath.analytic.model.curves
-
The interface which is implemented by a general curve.
- CurveInterface - Interface in net.finmath.marketdata.model.curves
-
The interface which is implemented by a general curve.
- GammaDistribution - Class in net.finmath.functions
-
- GammaDistribution(double, double) - Constructor for class net.finmath.functions.GammaDistribution
-
- GammaProcess - Class in net.finmath.montecarlo
-
Implementation of a time-discrete n-dimensional Gamma process
\(
\Gamma = (\Gamma_{1},\ldots,\Gamma_{n})
\), where \( \Gamma_{i} \) is
a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are
independent for i not equal j.
- GammaProcess(TimeDiscretizationInterface, int, int, int, double, double) - Constructor for class net.finmath.montecarlo.GammaProcess
-
Construct a Gamma process with a given shape parameter.
- GammaProcess(TimeDiscretizationInterface, int, int, int, double) - Constructor for class net.finmath.montecarlo.GammaProcess
-
Construct a Gamma process with a given shape parameter.
- GARCH - Class in net.finmath.timeseries.models.parametric
-
Log-normal process with GARCH(1,1) volatility.
- GARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.GARCH
-
Create GARCH model estimated form the given time series of values.
- GARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.GARCH
-
Create GARCH model estimated form the given time series of values.
- get() - Method in class net.finmath.concurrency.FutureWrapper
-
- get(long, TimeUnit) - Method in class net.finmath.concurrency.FutureWrapper
-
- get(int) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- get(int) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- get(int) - Method in class net.finmath.montecarlo.RandomVariable
-
- get(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- get(int) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- get() - Method in interface net.finmath.stochastic.RandomVariableAccumulatorInterface
-
- get(double, double) - Method in interface net.finmath.stochastic.RandomVariableAccumulatorInterface
-
- get(int) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Evaluate at a given path or state.
- get(int) - Method in class net.finmath.stochastic.Scalar
-
- getAccruedInterest(LocalDate, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
-
Returns the accrued interest of the bond for a given date.
- getAccruedInterest(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
-
Returns the accrued interest of the bond for a given time.
- getAccuracy() - Method in class net.finmath.analytic.calibration.Solver
-
Returns the accuracy achieved in the last solver run.
- getAccuracy() - Method in class net.finmath.marketdata.calibration.Solver
-
Returns the accuracy achieved in the last solver run.
- getAccuracy() - Method in class net.finmath.optimizer.GoldenSectionSearch
-
- getAdjustedDate(LocalDate, BusinessdayCalendarInterface.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
- getAdjustedDate(LocalDate, String, BusinessdayCalendarInterface.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
- getAdjustedDate(LocalDate, BusinessdayCalendarInterface.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
-
Get an adjusted date for a given date.
- getAdjustedDate(LocalDate, String, BusinessdayCalendarInterface.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
-
Get an adjusted date for a given date and offset code.
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getAnalyticModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
-
Return the associated analytic model, a collection of market date object like discount curve, forward curve
and volatility surfaces.
- getAsArrayList() - Method in class net.finmath.time.TimeDiscretization
-
- getAsArrayList() - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Return a clone of this time discretization as ArrayList<Double>.
- getAsDoubleArray() - Method in class net.finmath.time.TimeDiscretization
-
- getAsDoubleArray() - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Return a clone of this time discretization as double[].
- getAssetValue(int, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Returns the random variable representing the asset's value at a given time for a given asset.
- getAssetValue(double, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Returns the random variable representing the asset's value at a given time for a given asset.
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getATMForward(AnalyticModelInterface, boolean) - Method in class net.finmath.marketdata.products.Cap
-
Return the ATM forward for this cap.
- getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getAverage() - Method in class net.finmath.montecarlo.RandomVariable
-
- getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- getAverage() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getAverage() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getAverage() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the expectation of this random variable.
- getAverage(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the expectation of this random variable for a given probability measure (weight).
- getAverage() - Method in class net.finmath.stochastic.Scalar
-
- getAverage(RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- getBarrierDiracWidth() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
- getBaseCalendar() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
-
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
Returns the base covariance model, i.e., the model providing the factor loading F
such that this model's i-th factor loading is
(a Li,0 + (1-a)Li(t)) Fi(t)
where a is the displacement and Li is
the realization of the i-th component of the stochastic process and
Fi is the factor loading loading from the given covariance model.
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.DisplacedLocalVolatilityModel
-
Returns the base covariance model, i.e., the model providing the factor loading F
such that this model's i-th factor loading is
(a Li,0 + (1-a)Li(t)) Fi(t)
where a is the displacement and Li is
the realization of the i-th component of the stochastic process and
Fi is the factor loading loading from the given covariance model.
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
Returns the base covariance model, i.e., the model providing the factor loading F
such that this model's i-th factor loading is
(a Li,0 + (1-a)Li(t)) Fi(t)
where a is the displacement and Li is
the realization of the i-th component of the stochastic process and
Fi is the factor loading loading from the given covariance model.
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
-
Returns the base covariance model, i.e., the model providing the factor loading F
such that this model's i-th factor loading is
(a Li,0 + (1-a)Li(t)) Fi(t)
where a is the displacement and Li is
the realization of the i-th component of the stochastic process and
Fi is the factor loading loading from the given covariance model.
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
-
Returns the base covariance model, i.e., the model providing the factor loading F.
- getBaseCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getBasisFactorCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getBasisFunctions() - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctions
-
- getBasisFunctions() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven
-
- getBasisFunctions(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsFromProducts
-
- getBasisFunctions(double, MonteCarloSimulationInterface) - Method in interface net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsProvider
-
- getBasisFunctions(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
-
- getBasisFunctions(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
-
Return the regression basis functions.
- getBestFitParameters() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getBestFitParameters() - Method in interface net.finmath.optimizer.OptimizerInterface
-
Get the best fit parameter vector.
- getBestFitParameters() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getBestFitParameters() - Method in interface net.finmath.optimizer.StochasticOptimizerInterface
-
Get the best fit parameter vector.
- getBestFitParameters() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
- getBestParameters() - Method in interface net.finmath.timeseries.HistoricalSimulationModel
-
Returns the parameters estimated for the given time series.
- getBestParameters(Map<String, Object>) - Method in interface net.finmath.timeseries.HistoricalSimulationModel
-
Returns the parameters estimated for the given time series, using a parameter guess.
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.GARCH
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.GARCH
-
- getBestParameters() - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
-
- getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
-
- getBestPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotion
-
- getBrownianIncrement(int, int) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Return the Brownian increment for a given timeIndex.
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getBrownianMotion() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Returns the Brownian motion used to simulate the curve.
- getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getBrownianMotion() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getBuildString() - Static method in class net.finmath.information.Library
-
Return the build string of this instance of finmath-lib.
- getCalibratedModel(Set<ParameterObjectInterface>) - Method in class net.finmath.analytic.calibration.Solver
-
Find the model such that the equation
objectiveFunctions.getValue(model) = 0
holds.
- getCalibratedModel(Set<ParameterObjectInterface>) - Method in class net.finmath.marketdata.calibration.Solver
-
Find the model such that the equation
objectiveFunctions.getValue(model) = 0
holds.
- getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
- getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
- getCalibrationProductForSymbol(String) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Returns the first product found in the vector of calibration products
which matches the given symbol, where symbol is the String set in
the calibrationSpecs.
- getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Returns the first product found in the vector of calibration products
which matches the given symbol, where symbol is the String set in
the calibrationSpecs.
- getCloneBuilder() - Method in class net.finmath.analytic.model.curves.Curve
-
- getCloneBuilder() - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
Returns a curve builder bases on a clone of this curve.
- getCloneBuilder() - Method in class net.finmath.analytic.model.curves.DiscountCurveFromForwardCurve
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.Curve
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
- getCloneBuilder() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
Returns a curve builder bases on a clone of this curve.
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
- getCloneCalibrated(AnalyticModelInterface, Vector<AnalyticProductInterface>, List<Double>, Map<String, Object>) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
-
- getCloneCalibrated(AnalyticModelInterface, Vector<AnalyticProductInterface>, List<Double>, Map<String, Object>, ParameterTransformation) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
-
- getCloneCalibrated(AnalyticModelInterface, Vector<AnalyticProductInterface>, List<Double>, Map<String, Object>, ParameterTransformation, OptimizerFactoryInterface) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
-
Create a clone of this volatility surface using a generic calibration
of its parameters to given market data.
- getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], RandomVariableInterface[], double[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.AbstractLIBORCovarianceModelParametric
-
- getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], RandomVariableInterface[], double[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.AbstractLIBORCovarianceModelParametric
-
Performs a generic calibration of the parametric model by
trying to match a given vector of calibration product to a given vector of target values
using a given vector of weights.
- getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], double[], double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
-
- getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], double[], double[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
-
Deprecated.
- getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], RandomVariableInterface[], double[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
-
Performs a generic calibration of the parametric model by
trying to match a given vector of calibration product to a given vector of target values
using a given vector of weights.
- getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], RandomVariableInterface[], double[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelCalibrateable
-
Performs a calibration of the model by
trying to match a given vector of calibration product to a given vector of target values
using a given vector of weights.
- getCloneCalibrated(TermStructureModelInterface, AbstractLIBORMonteCarloProduct[], double[], double[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
-
Return a calibrated clone of the covariance model.
- getCloneCalibrated(TimeSeriesInterface) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getCloneCalibrated(TimeSeriesInterface) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getCloneCalibrated(TimeSeriesInterface) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getCloneCalibrated(TimeSeriesInterface) - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
-
- getCloneForParameter(RandomVariableInterface[]) - Method in class net.finmath.analytic.calibration.ParameterAggregation
-
- getCloneForParameter(RandomVariableInterface[]) - Method in interface net.finmath.analytic.calibration.ParameterObjectInterface
-
Create a clone with a modified parameter.
- getCloneForParameter(Map<ParameterObjectInterface, RandomVariableInterface[]>) - Method in class net.finmath.analytic.model.AnalyticModel
-
- getCloneForParameter(Map<ParameterObjectInterface, RandomVariableInterface[]>) - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
- getCloneForParameter(RandomVariableInterface[]) - Method in class net.finmath.analytic.model.curves.AbstractCurve
-
- getCloneForParameter(RandomVariableInterface[]) - Method in class net.finmath.analytic.model.curves.Curve
-
- getCloneForParameter(RandomVariableInterface[]) - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
-
- getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterObjectInterface
-
Create a clone with a modified parameter.
- getCloneForParameter(Map<ParameterObjectInterface, double[]>) - Method in class net.finmath.marketdata.model.AnalyticModel
-
- getCloneForParameter(Map<ParameterObjectInterface, double[]>) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.Curve
-
- getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
-
Returns a clone of this volatility surface with modified parameters.
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
- getCloneIndependent() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getCloneIndependent() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface
-
Returns a clone of this differentiable random variable with a new ID.
- getCloneShifted(double) - Method in class net.finmath.analytic.calibration.CalibratedCurves.CalibrationSpec
-
- getCloneShifted(String, double) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShifted(Map<String, Double>) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShifted(Pattern, double) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShifted(double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
- getCloneShifted(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShifted(Map<String, Double>) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShifted(Pattern, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShiftedForRegExp(String, double) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Returns the set curves calibrated to "shifted" market data, that is,
the market date of this object, modified by the shifts
provided to this methods.
- getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel) - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModelInterface
-
Create a new object implementing LIBORMarketModelInterface, using the new covariance model.
- getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Create a clone of this simulation modifying some of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
-
Create a new object implementing LIBORModelInterface, using the new data.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
Create a clone of this simulation modifying one of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
-
Create a new object implementing TermStructureModelInterface, using the new data.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
Create a clone of this simulation modifying one of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
Create a clone of this simulation modifying some of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstantLegacy
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- getCloneWithModifiedParameter(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
-
- getCloneWithModifiedParameters(RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.AbstractLIBORCovarianceModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
- getCloneWithModifiedParameters(RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.DisplacedLocalVolatilityModel
-
- getCloneWithModifiedParameters(RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelExponentialForm5Param
-
- getCloneWithModifiedParameters(RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCloneWithModifiedParameters(RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelStochasticVolatility
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticHestonVolatility
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelParametricInterface
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
-
Create a new object constructed from a clone of this time scaling, where some parameters have been modified.
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Create a clone of the object implementing AssetModelMonteCarloSimulationInterface
using a different Monte-Carlo seed.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotion
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Return a new object implementing BrownianMotionInterface
having the same specifications as this object but a different seed
for the random number generator.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.GammaProcess
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
Deprecated.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Return a new object implementing BrownianMotionInterface
having the same specifications as this object but a different seed
for the random number generator.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Deprecated.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getCloneWithModifiedTargetValues(double[], double[], boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
- getCloneWithModifiedTargetValues(List<Number>, List<Number>, boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
- getCloneWithModifiedTargetValues(RandomVariableInterface[], RandomVariableInterface[], boolean) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
- getCloneWithModifiedTargetValues(List<RandomVariableInterface>, List<RandomVariableInterface>, boolean) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
- getCloneWithModifiedTargetValues(RandomVariableInterface[], RandomVariableInterface[], boolean) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
- getCloneWithModifiedTargetValues(List<RandomVariableInterface>, List<RandomVariableInterface>, boolean) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.BrownianMotion
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Return a new object implementing BrownianMotionInterface
having the same specifications as this object but a different
time discretization.
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.GammaProcess
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Return a new object implementing BrownianMotionInterface
having the same specifications as this object but a different
time discretization.
- getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getCloneWithWindow(int, int) - Method in interface net.finmath.timeseries.HistoricalSimulationModel
-
Create a new model, using only a window of the times series.
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.GARCH
-
- getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
-
- getConditionalExpectation(ConditionalExpectationEstimatorInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getConditionalExpectation(ConditionalExpectationEstimatorInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getConditionalExpectation(RandomVariableInterface) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
-
- getConditionalExpectation(ConditionalExpectationEstimatorInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- getConditionalExpectation(RandomVariableInterface) - Method in interface net.finmath.stochastic.ConditionalExpectationEstimatorInterface
-
Return the conditional expectation of a given random variable.
- getConditionalExpectation(ConditionalExpectationEstimatorInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the conditional expectation using a given conditional expectation estimator.
- getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
Return the conditional expectation estimator suitable for this product.
- getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
-
- getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getCorrelationModel() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCorrelationModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCoupon(LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getCoupon(LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Period
-
- getCoupon() - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
-
Returns the coupon.
- getCouponPayment(int, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
-
Returns the coupon payment of the period with the given index.
- getCovariance(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCovariance(double, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
Returns the instantaneous covariance calculated from factor loadings.
- getCovariance(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
Returns the instantaneous covariance calculated from factor loadings.
- getCovariance(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getCovarianceModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModelInterface
-
Return the libor covariance model.
- getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
Returns the term structure covariance model.
- getCurrency() - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
Returns the currency string of this notional.
- getCurrency() - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
-
Returns the currency string of this notional.
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.Option
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
-
- getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
-
- getCurve(String) - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Get a curve for a given name.
- getCurve(String) - Method in class net.finmath.analytic.model.AnalyticModel
-
- getCurve(String) - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
Get a curve by a given curve name.
- getCurve(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Get a curve for a given name.
- getCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModel
-
- getCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
-
Get a curve by a given curve name.
- getCurves() - Method in class net.finmath.analytic.model.AnalyticModel
-
- getCurves() - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
Returns an unmodifiable map of all curves.
- getCurves() - Method in class net.finmath.marketdata.model.AnalyticModel
-
- getCurves() - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
-
Returns an unmodifiable map of all curves.
- getDate(int) - Method in class net.finmath.time.Tenor
-
- getDate(int) - Method in interface net.finmath.time.TenorInterface
-
Returns the date for the given time index.
- getDate() - Method in class net.finmath.timeseries.MarketData
-
- getDateFromFloatingPointDate(LocalDate, double) - Static method in class net.finmath.time.FloatingpointDate
-
Convert a floating point date to a LocalDate.
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360
-
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
-
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30U_360
-
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT
-
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NL_365
-
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NONE
-
- getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_UNKNOWN
-
- getDaycount(LocalDate, LocalDate, String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory
-
Return the number of days between startDate and endDate given the
specific daycount convention.
- getDaycount(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConventionInterface
-
Return the number of days between startDate and endDate given the
specific daycount convention.
- getDayCountConvention(String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory
-
Create a day count convention base on a convention string.
- getDaycountconvention() - Method in class net.finmath.time.RegularSchedule
-
- getDaycountconvention() - Method in class net.finmath.time.Schedule
-
- getDaycountconvention() - Method in interface net.finmath.time.ScheduleInterface
-
Returns the daycount convention used to calculate period lengths.
- getDaycountFraction() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30U_360
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_360
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365A
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365L
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NL_365
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NONE
-
- getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_UNKNOWN
-
- getDaycountFraction(LocalDate, LocalDate, String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory
-
Return the daycount fraction corresponding to the period from startDate to endDate given the
specific daycount convention.
- getDaycountFraction(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConventionInterface
-
Return the daycount fraction corresponding to the period from startDate to endDate given the
specific daycount convention.
- getDaycountFraction(int) - Method in class net.finmath.time.Tenor
-
- getDaycountFraction(int) - Method in interface net.finmath.time.TenorInterface
-
Returns the day count fraction for the period form timeIndex to to timeIndex+1.
- getDenominatorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
-
Returns the denominator index.
- getDescriptor() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getDescriptor() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getDescriptor() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getDescriptor() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getDescriptor() - Method in interface net.finmath.modelling.DescribedModel
-
Return a model descriptor representing this model.
- getDescriptor() - Method in interface net.finmath.modelling.DescribedProduct
-
Return a product descriptor representing this product.
- getDescriptor() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
-
- getDescriptor() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
-
- getDescriptor() - Method in class net.finmath.montecarlo.interestrate.products.SwapLeg
-
- getDimension() - Method in class net.finmath.randomnumbers.AccceptanceRejectionRandomNumberGenerator
-
- getDimension() - Method in class net.finmath.randomnumbers.HaltonSequence
-
- getDimension() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator
-
- getDiscountCurve(String) - Method in class net.finmath.analytic.model.AnalyticModel
-
- getDiscountCurve(String) - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
Returns a discount curve for a given name.
- getDiscountCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModel
-
- getDiscountCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
-
Returns a discount curve for a given name.
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getDiscountCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
-
Return the discount curve associated the forwards.
- getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getDiscountCurveName() - Method in class net.finmath.analytic.model.curves.AbstractForwardCurve
-
- getDiscountCurveName() - Method in interface net.finmath.analytic.model.curves.ForwardCurveInterface
-
- getDiscountCurveName() - Method in class net.finmath.analytic.products.Deposit
-
- getDiscountCurveName() - Method in class net.finmath.analytic.products.SwapLeg
-
- getDiscountCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
- getDiscountCurveName() - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
-
- getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getDiscountCurveName() - Method in class net.finmath.marketdata.products.Cap
-
Returns the name of the discount curve referenced by this cap.
- getDiscountCurveName() - Method in class net.finmath.marketdata.products.Deposit
-
- getDiscountCurveName() - Method in class net.finmath.marketdata.products.SwapLeg
-
- getDiscountFactor(double) - Method in class net.finmath.analytic.model.curves.DiscountCurve
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.DiscountCurve
-
- getDiscountFactor(double) - Method in class net.finmath.analytic.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(double) - Method in interface net.finmath.analytic.model.curves.DiscountCurveInterface
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(AnalyticModelInterface, double) - Method in interface net.finmath.analytic.model.curves.DiscountCurveInterface
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getDiscountFactor(double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurveInterface
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(AnalyticModelInterface, double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurveInterface
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
Return the discount factor within a given model context for a given maturity.
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getDoubleValue() - Method in class net.finmath.swing.JNumberField
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
This method has to be implemented to return the drift, i.e.
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getDrift(int, int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getDrift(int, int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
Get the the drift.
- getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getDriftEuler(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getEnum(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface.DateOffsetUnit
-
Get the date offset unit enum for a string (using common synonyms like "d", "b", "bd", "w").
- getEnum(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface.DateRollConvention
-
Get the date roll convention enum for a string (using common synonyms like "modfollow".
- getEnum(String) - Static method in enum net.finmath.time.ScheduleGenerator.DaycountConvention
-
- getExchangeRate(String, String, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
-
Return the (cross curve or currency) exchange rate for a given simulation time.
- getExerciseDate() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getExerciseDates() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getExerciseIndicator(LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
Deprecated.
- getExerciseTimes() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getExtrapolationMethod() - Method in class net.finmath.analytic.model.curves.Curve
-
Returns the extrapolation method used by this curve.
- getExtrapolationMethod() - Method in class net.finmath.marketdata.model.curves.Curve
-
Returns the extrapolation method used by this curve.
- getFactorDrift(LIBORModelMonteCarloSimulationInterface, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
- getFactorDrift(int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.process.component.factordrift.FactorDriftInterface
-
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
- getFactorDriftDeterminant(int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.process.component.factordrift.FactorDriftInterface
-
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.DisplacedLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelExponentialForm5Param
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelStochasticVolatility
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getFactorLoading(double, double, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
Return the factor loading for a given time and a given component.
- getFactorLoading(double, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
Return the factor loading for a given time and component index.
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
Return the factor loading for a given time index and component index.
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
-
- getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
-
- getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticHestonVolatility
-
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
-
- getFactorLoading(double, double, double, TimeDiscretizationInterface, RandomVariableInterface[], TermStructureModelInterface) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModel
-
- getFactorLoading(double, double, double, TimeDiscretizationInterface, RandomVariableInterface[], TermStructureModelInterface) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getFactorLoading(double, double, double, TimeDiscretizationInterface, RandomVariableInterface[], TermStructureModelInterface) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelInterface
-
Return the factor loading for a given time and a term structure period.
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
This method has to be implemented to return the factor loadings, i.e.
- getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getFactorLoading(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getFactorLoading(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
This method should be overwritten and return the factor loading, i.e.
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.DisplacedLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelExponentialForm5Param
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelStochasticVolatility
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
Returns the pseudo inverse of the factor matrix.
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticHestonVolatility
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
-
- getFactorMatrix(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra
-
Returns the matrix of the n Eigenvectors corresponding to the first n largest Eigenvalues of a correlation matrix.
- getFactorScaling(int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.process.component.factordrift.FactorDriftInterface
-
The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.
- getFactory() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariable
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getFiltrationTime() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the filtration time.
- getFiltrationTime() - Method in class net.finmath.stochastic.Scalar
-
- getFinalMaturity() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getFixedCoupon() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getFixedPartCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getFixedPartEndTime() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getFixedPartStartTime() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getFixing() - Method in class net.finmath.time.Period
-
- getFixing(int) - Method in class net.finmath.time.RegularSchedule
-
- getFixing(int) - Method in class net.finmath.time.Schedule
-
- getFixing(int) - Method in interface net.finmath.time.ScheduleInterface
-
Return the fixing converted to the internal daycounting relative
to the schedules reference date.
- getFixingDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getFixingDates(double) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getFixingDates() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
- getFixingDates() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getFixingTime() - Method in class net.finmath.analytic.products.Deposit
-
- getFixingTime() - Method in class net.finmath.marketdata.products.Deposit
-
- getFloatingPointDateFromDate(LocalDate, LocalDate) - Static method in class net.finmath.time.FloatingpointDate
-
Convert a given date to a floating point date using a given reference date.
- getFloatingSpread() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getForward(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.ForwardCurve
-
- getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.analytic.model.curves.ForwardCurve
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.analytic.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModelInterface, double) - Method in interface net.finmath.analytic.model.curves.ForwardCurveInterface
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModelInterface, double, double) - Method in interface net.finmath.analytic.model.curves.ForwardCurveInterface
-
Returns the forward for the corresponding fixing time and paymentOffset.
- getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurve
-
- getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModelInterface, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModelInterface, double, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
-
Returns the forward for the corresponding fixing time and paymentOffset.
- getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getForwardCurve(String) - Method in class net.finmath.analytic.model.AnalyticModel
-
- getForwardCurve(String) - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
Returns a forward curve for a given name.
- getForwardCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModel
-
- getForwardCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
-
Returns a forward curve for a given name.
- getForwardCurveName() - Method in class net.finmath.analytic.products.SwapLeg
-
- getForwardCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getForwardCurveName() - Method in class net.finmath.marketdata.products.Cap
-
Returns the name of the forward curve references by this cap.
- getForwardCurveName() - Method in class net.finmath.marketdata.products.SwapLeg
-
- getForwardRate(String, double, double, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
-
Return the forward rate for a given simulation time and a given period start and period end.
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getForwardRateCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
-
Return the initial forward rate curve.
- getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.analytic.model.curves.AbstractForwardCurve
-
Returns the forwards for a given vector fixing times.
- getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
Returns the forwards for a given vector fixing times.
- getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
Returns the forwards for a given vector fixing times.
- getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
Returns the forwards for a given vector fixing times.
- getForwardSwapRate(TimeDiscretizationInterface, TimeDiscretizationInterface, ForwardCurveInterface) - Static method in class net.finmath.analytic.products.Swap
-
- getForwardSwapRate(TimeDiscretizationInterface, TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface) - Static method in class net.finmath.analytic.products.Swap
-
- getForwardSwapRate(ScheduleInterface, ScheduleInterface, ForwardCurveInterface) - Static method in class net.finmath.analytic.products.Swap
-
- getForwardSwapRate(ScheduleInterface, ScheduleInterface, ForwardCurveInterface, AnalyticModelInterface) - Static method in class net.finmath.analytic.products.Swap
-
- getForwardSwapRate(TimeDiscretizationInterface, TimeDiscretizationInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(TimeDiscretizationInterface, TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(ScheduleInterface, ScheduleInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(ScheduleInterface, ScheduleInterface, ForwardCurveInterface, AnalyticModelInterface) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardValue(double) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getForwardValue(double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getGradient(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
Returns the gradient of this random variable with respect to all its leaf nodes.
- getGradient(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
Returns the gradient of this random variable with respect to all its leaf nodes.
- getGradient() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface
-
Returns the gradient of this random variable with respect to all its leaf nodes.
- getGradient(Set<Long>) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface
-
Returns the gradient of this random variable with respect to the given IDs.
- getHaltonNumber(long) - Method in class net.finmath.randomnumbers.HaltonSequence
-
- getHaltonNumber(long, int) - Method in class net.finmath.randomnumbers.HaltonSequence
-
- getHaltonNumberForGivenBase(long, int) - Static method in class net.finmath.randomnumbers.HaltonSequence
-
Return a Halton number, sequence starting at index = 0, base > 1.
- getHistogram(double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getHistogram(double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariable
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariable
-
- getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getHistogram(double[]) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Generates a Histogram based on the realizations stored in this random variable.
- getHistogram(int, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
- getHistogram(double[]) - Method in class net.finmath.stochastic.Scalar
-
- getHistogram(int, double) - Method in class net.finmath.stochastic.Scalar
-
- getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
-
- getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
-
- getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays
-
- getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays
-
- getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface, BrownianMotionInterface, double[], double, double[][], double[], double[], double[], DiscountCurveInterface) - Method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory
-
Create a simple equity hybrid LIBOR market model with a calibration of the equity processes
to a given Black-Scholes implied volatility.
- getID() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getID() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getID() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface
-
A unique id for this random variable.
- getImpliedBachelierATMOptionVolatility(RandomVariableInterface, double, double) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionATM
-
Calculates ATM Bachelier implied volatilities.
- getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getImpliedVolatility(double, AnalyticModelInterface, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.products.Cap
-
Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).
- getIncrement(int) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotion
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.GammaProcess
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getIncrement(int) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Return the increment for a given timeIndex.
- getIncrement(int, int) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Return the increment for a given timeIndex and given factor.
- getIncrement(int, int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getIndex() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
- getIndex() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getIndex1() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
-
Returns the index 1.
- getIndex2() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
-
Returns the index 2.
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getInitialState() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Returns the initial value of the state variable of the process Y, not to be
confused with the initial value of the model X (which is the state space transform
applied to this state value.
- getInitialState() - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getInitialValue() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getInitialValue() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getInitialValue() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
Return the initial value of this model.
- getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
Return the initial value of this model.
- getInitialValue() - Method in class net.finmath.montecarlo.model.AbstractModel
-
Returns the initial value of the model.
- getInitialValue() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getInitialValue() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getInstance() - Static method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getIntegratedLIBORCovariance() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getIntegratedLIBORCovariance() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModelInterface
-
Returns the integrated instantaneous log-forward rate covariance, i.e.,
\( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).
- getIntegratedLIBORCovariance() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
-
- getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
-
- getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
- getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
-
- getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
-
Return the lower bound of the imaginary part of the domain where
the characteristic function can be integrated.
- getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
-
Return the upper bound of the imaginary part of the domain where
the characteristic function can be integrated.
- getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getInterpolationEntity() - Method in class net.finmath.analytic.model.curves.Curve
-
Returns the interpolation entity used by this curve.
- getInterpolationEntity() - Method in class net.finmath.marketdata.model.curves.Curve
-
Returns the interpolation entity used by this curve.
- getInterpolationEntityForward() - Method in class net.finmath.analytic.model.curves.ForwardCurve
-
Returns the special interpolation method used for this forward curve.
- getInterpolationEntityForward() - Method in class net.finmath.marketdata.model.curves.ForwardCurve
-
Returns the special interpolation method used for this forward curve.
- getInterpolationMethod() - Method in class net.finmath.analytic.interpolation.RationalFunctionInterpolation
-
Returns the interpolation method used.
- getInterpolationMethod() - Method in class net.finmath.analytic.model.curves.Curve
-
Returns the interpolation method used by this curve.
- getInterpolationMethod() - Method in class net.finmath.interpolation.RationalFunctionInterpolation
-
Returns the interpolation method used.
- getInterpolationMethod() - Method in class net.finmath.marketdata.model.curves.Curve
-
Returns the interpolation method used by this curve.
- getIntervalLength(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getIntervalNumber(double) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
Returns for a given x the number of the interval where x is included.
- getIntervalReferencePoint(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getIntValue() - Method in class net.finmath.swing.JNumberField
-
- getIsCallable() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getIterations() - Method in class net.finmath.analytic.calibration.Solver
-
Returns the number of iterations required in the last solver step.
- getIterations() - Method in class net.finmath.marketdata.calibration.Solver
-
Returns the number of iterations required in the last solver step.
- getIterations() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getIterations() - Method in interface net.finmath.optimizer.OptimizerInterface
-
Get the number of iterations.
- getIterations() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getIterations() - Method in interface net.finmath.optimizer.StochasticOptimizerInterface
-
Get the number of iterations.
- getIterations() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
- getJumpIntensity() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getJumpSizeMean() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getJumpSizeStdDev() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getKappa() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getLambda() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix,
that is the \( \lambda \) in \( H + \lambda \diag H \).
- getLambda() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix,
that is the \( \lambda \) in \( H + \lambda \diag H \).
- getLambda() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix,
that is the \( \lambda \) in \( H + \lambda \diag H \).
- getLambdaDivisor() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
Get the divisor applied to lambda (for the next iteration) if the inversion of regularized
Hessian succeeds, that is, if \( H + \lambda \diag H \) is invertable.
- getLambdaDivisor() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
Get the divisor applied to lambda (for the next iteration) if the inversion of regularized
Hessian succeeds, that is, if \( H + \lambda \diag H \) is invertable.
- getLambdaDivisor() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
Get the divisor applied to lambda (for the next iteration) if the inversion of regularized
Hessian succeeds, that is, if \( H + \lambda \diag H \) is invertable.
- getLambdaMultiplicator() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
Get the multiplicator applied to lambda if the inversion of regularized
Hessian fails, that is, if \( H + \lambda \diag H \) is not invertable.
- getLambdaMultiplicator() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
Get the multiplicator applied to lambda if the inversion of regularized
Hessian fails, that is, if \( H + \lambda \diag H \) is not invertable.
- getLambdaMultiplicator() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
Get the multiplicator applied to lambda if the inversion of regularized
Hessian fails, that is, if \( H + \lambda \diag H \) is not invertable.
- getLastAccuracy() - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Return the accuracy achieved in the last calibration.
- getLastAccuracy() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Return the accuracy achieved in the last calibration.
- getLastNumberOfInterations() - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Return the number of iterations needed to calibrate the model.
- getLastNumberOfInterations() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Return the number of iterations needed to calibrate the model.
- getLastOperationTimingDerivative() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
-
- getLastOperationTimingValuation() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
-
- getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getLastResidualForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getLastResidualForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getLastResidualForParameters(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
-
Returns the last estimate of the time series volatility.
- getLastValuationExerciseTime() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getLegPayer() - Method in class net.finmath.analytic.products.Swap
-
Return the payer leg of the swap, i.e. the leg who's value is subtracted from the swap value.
- getLegPayer() - Method in class net.finmath.marketdata.products.Swap
-
Return the payer leg of the swap, i.e. the leg who's value is subtracted from the swap value.
- getLegReceiver() - Method in class net.finmath.analytic.products.Swap
-
Return the receiver leg of the swap, i.e. the leg who's value is added to the swap value.
- getLegReceiver() - Method in class net.finmath.marketdata.products.Swap
-
Return the receiver leg of the swap, i.e. the leg who's value is added to the swap value.
- getLegSchedule() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
- getLength() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getLIBOR(int, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Return the forward rate for a given simulation time index and a given forward rate index.
- getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
-
Return the forward rate for a given simulation time and a given period start and period end.
- getLIBORForStateVariable(TimeDiscretizationInterface, RandomVariableInterface[], double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
-
The period start corresponding to a given forward rate discretization index.
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Returns the period start of the specified forward rate period.
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
-
The tenor time discretization of the forward rate curve.
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Returns the libor period discretization as time discretization representing start and end dates of periods.
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
The forward rate time discretization associated with this model (defines the components).
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
-
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getLIBORs(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getLIBORs(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Return the forward rate curve for a given simulation time index.
- getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getLinearRegressionParameters(RandomVariableInterface) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
-
Return the solution x of XTX x = XT y for a given y.
- getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getLogLikelihoodForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getLogLikelihoodForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getLogLikelihoodForParameters(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
-
Get log likelihood of the sample time series for given model parameters.
- getLogSwaprateDerivative(TimeDiscretizationInterface, DiscountCurveInterface, ForwardCurveInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
-
This function calculate the partial derivative d log(S) / d log(Lk) for
a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
- getLogSwaprateDerivative(TimeDiscretizationInterface, DiscountCurveInterface, ForwardCurveInterface, double[]) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
-
This function calculate the partial derivative d log(S) / d log(Lk) for
a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
- getLogSwapRateDerivative(TimeDiscretizationInterface, DiscountCurveInterface, ForwardCurveInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
This function calculate the partial derivative d log(S) / d log(Lk) for
a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
- getLogSwaprateDerivative(TimeDiscretizationInterface, ForwardCurveInterface, double[]) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
-
This function calculate the partial derivative d log(S) / d log(Lk) for
a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
- getLowerBound() - Method in class net.finmath.integration.AbstractRealIntegral
-
Get the lower integration bound.
- getMaturity() - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
-
Return the maturity of the associated payoff.
- getMaturity() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getMaturity() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getMaturity() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
-
- getMaturity() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
-
- getMaturity() - Method in class net.finmath.montecarlo.interestrate.products.Bond
-
- getMax() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getMax() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getMax() - Method in class net.finmath.montecarlo.RandomVariable
-
- getMax() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getMax() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getMax() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the maximum value attained by this random variable.
- getMax() - Method in class net.finmath.stochastic.Scalar
-
- getMaxAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getMaxAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getMeanReversion(int) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolailityModelInterface
-
Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
- getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel
-
- getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModelHoLee
-
- getMeanSquaredError(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getMeanSquaredError(RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getMeanSquaredError(RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
- getMeasure() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getMeasure() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getMin() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getMin() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getMin() - Method in class net.finmath.montecarlo.RandomVariable
-
- getMin() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getMin() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getMin() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the minimum value attained by this random variable.
- getMin() - Method in class net.finmath.stochastic.Scalar
-
- getMinAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getMinAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getModel() - Method in class net.finmath.analytic.calibration.CalibratedCurves
-
Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the
given calibration specifications.
- getModel() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the
given calibration specifications.
- getModel() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getModel() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getModel() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
-
Returns the underlying model.
- getModel() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getModel() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
Returns the underlying model.
- getModel() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
-
Returns the underlying model.
- getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.descriptor.BlackScholesModelMonteCarloFactory
-
- getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.descriptor.BlackScholesModelMonteCarloFiniteDifference1D
-
- getModelFromDescriptor(HestonModelDescriptor) - Method in class net.finmath.modelling.descriptor.HestonModelMonteCarloFactory
-
- getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.modelfactory.BlackScholesModelFourierFactory
-
- getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFactory
-
- getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFiniteDifference1D
-
- getModelFromDescriptor(T) - Method in interface net.finmath.modelling.ModelFactory
-
Get the model for the given descriptor.
- getModelFromDescriptor(HestonModelDescriptor) - Method in class net.finmath.modelling.modelfactory.HestonModelFourierFactory
-
- getModelFromDescriptor(HestonModelDescriptor) - Method in class net.finmath.modelling.modelfactory.HestonModelMonteCarloFactory
-
- getModelFromDescriptor(HullWhiteModelDescriptor) - Method in class net.finmath.modelling.modelfactory.HullWhiteMonteCarloFactory
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.model.AbstractModel
-
- getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getMonteCarloWeights(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getName() - Method in class net.finmath.analytic.model.curves.AbstractCurve
-
- getName() - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
Get the name of the curve.
- getName() - Method in class net.finmath.analytic.model.volatilities.AbstractVolatilitySurface
-
- getName() - Method in interface net.finmath.analytic.model.volatilities.VolatilitySurfaceInterface
-
Returns the name of the volatility surface.
- getName() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getName() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- getName() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
Get the name of the curve.
- getName() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getName() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getName() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getName() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
-
Returns the name of the volatility surface.
- getName() - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
-
Returns the name of the index.
- getName() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
-
- getNameOfUnderlying() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
-
- getNext() - Method in class net.finmath.randomnumbers.AccceptanceRejectionRandomNumberGenerator
-
- getNext() - Method in class net.finmath.randomnumbers.HaltonSequence
-
- getNext() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator
-
- getNextPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch
-
Returns the next point for which a valuation is requested.
- getNotional() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
- getNotional() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getNotional() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
- getNotional() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
-
Calculates the notional at the end of a period, given a period.
- getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
-
- getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
-
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
-
Calculates the notional at the start of a period, given a period.
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
-
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
-
- getNotionals() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getNumberOfAssets() - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Returns the number of asset price processes.
- getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
This method is just a synonym to getNumberOfLibors
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getNumberOfComponents() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Returns the number of components
- getNumberOfComponents() - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getNumberOfComponents() - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianBridge
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotion
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Returns the number of factors.
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.GammaProcess
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Returns the number of factors.
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelInterface
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.model.AbstractModel
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Returns the number of factors m, i.e., the number of independent Brownian drivers.
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getNumberOfIntervals() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getNumberOfIterations() - Method in class net.finmath.optimizer.GoldenSectionSearch
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
-
Get the number of LIBORs in the LIBOR discretization.
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianBridge
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotion
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Returns the number of paths.
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.GammaProcess
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Returns the number of paths.
- getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
Returns the numberOfPaths.
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getNumberOfPeriods() - Method in class net.finmath.time.RegularSchedule
-
- getNumberOfPeriods() - Method in class net.finmath.time.Schedule
-
- getNumberOfPeriods() - Method in interface net.finmath.time.ScheduleInterface
-
Returns the number of periods.
- getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeries
-
- getNumberOfTimePoints() - Method in interface net.finmath.timeseries.TimeSeriesInterface
-
- getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeriesView
-
- getNumberOfTimes() - Method in class net.finmath.time.TimeDiscretization
-
- getNumberOfTimes() - Method in interface net.finmath.time.TimeDiscretizationInterface
-
- getNumberOfTimeSteps() - Method in class net.finmath.time.TimeDiscretization
-
- getNumberOfTimeSteps() - Method in interface net.finmath.time.TimeDiscretizationInterface
-
- getNumeraire(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Returns the numeraire associated with the valuation measure used by this model.
- getNumeraire(double) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
-
Returns the numeraire associated with the valuation measure used by this model.
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getNumeraire(double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getNumeraire(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getNumeraire(double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Return the numeraire at a given time index.
- getNumeraire(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getNumeratorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
-
Returns the numerator index.
- getNumSpacesteps() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getNumSpacesteps() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getNumStandardDeviations() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getNumStandardDeviations() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getNumTimesteps() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getObjectsToModifyForParameter(RandomVariableInterface[]) - Method in class net.finmath.analytic.calibration.ParameterAggregation
-
- getObjectsToModifyForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
-
- getOperator() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getOperator() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getOperator() - Method in class net.finmath.montecarlo.RandomVariable
-
- getOperator() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getOperator() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getOperator() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the operator path → this.get(path) corresponding to this random variable.
- getOperator() - Method in class net.finmath.stochastic.Scalar
-
- getOperatorTreeNode() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getOperatorTreeNode() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactoryInterface
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactoryInterface
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactoryInterface
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
-
- getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactoryInterface
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactoryInterface
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactoryInterface
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizerInterface.ObjectiveFunction, RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
-
- getOptionMaturities() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
- getOptionMaturities() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getParameter() - Method in class net.finmath.analytic.calibration.ParameterAggregation
-
- getParameter() - Method in interface net.finmath.analytic.calibration.ParameterObjectInterface
-
Get the current parameter associated with the state of the objects.
- getParameter(RandomVariableInterface[]) - Method in interface net.finmath.analytic.calibration.ParameterTransformation
-
Return the original parameter for the given (unbounded) solver parameter.
- getParameter() - Method in class net.finmath.analytic.model.curves.Curve
-
- getParameter() - Method in class net.finmath.analytic.model.curves.DiscountCurveFromForwardCurve
-
- getParameter() - Method in class net.finmath.analytic.model.curves.ForwardCurveFromDiscountCurve
-
- getParameter() - Method in class net.finmath.marketdata.calibration.ParameterAggregation
-
- getParameter() - Method in interface net.finmath.marketdata.calibration.ParameterObjectInterface
-
Get the current parameter associated with the state of the objects.
- getParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation
-
Return the original parameter for the given (unbounded) solver parameter.
- getParameter() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.Curve
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
- getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
- getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
- getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.AbstractLIBORCovarianceModelParametric
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.BlendedLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.DisplacedLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelExponentialForm5Param
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelStochasticVolatility
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelFourParameterExponentialForm
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelFromGivenMatrix
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelPiecewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticHestonVolatility
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstantLegacy
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelParametricInterface
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
-
- getParameterIndex(double) - Method in class net.finmath.analytic.model.curves.Curve
-
- getParameterIndex(double) - Method in class net.finmath.marketdata.model.curves.Curve
-
- getParameterNames() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getParameterNames() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getParameterNames() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getParameterNames() - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
-
- getParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getParameters() - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
-
- getPayment() - Method in class net.finmath.time.Period
-
- getPayment(int) - Method in class net.finmath.time.RegularSchedule
-
- getPayment(int) - Method in class net.finmath.time.Schedule
-
- getPayment(int) - Method in interface net.finmath.time.ScheduleInterface
-
Return the payment date converted to the internal daycounting relative
to the schedules reference date.
- getPaymentDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getPaymentDates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getPaymentDates() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
- getPaymentDates() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getPaymentOffset(double) - Method in class net.finmath.analytic.model.curves.AbstractForwardCurve
-
- getPaymentOffset(double) - Method in interface net.finmath.analytic.model.curves.ForwardCurveInterface
-
Returns the payment offset associated with this forward curve and a corresponding fixingTime.
- getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
- getPaymentOffset(double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
-
Returns the payment offset associated with this forward curve and a corresponding fixingTime.
- getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getPeriod(int) - Method in class net.finmath.time.RegularSchedule
-
- getPeriod(int) - Method in class net.finmath.time.Schedule
-
- getPeriod(int) - Method in interface net.finmath.time.ScheduleInterface
-
Return the period for a given period index.
- getPeriodEnd() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getPeriodEnd() - Method in class net.finmath.time.Period
-
- getPeriodEnd(int) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodEnd(int) - Method in class net.finmath.time.Schedule
-
- getPeriodEnd(int) - Method in interface net.finmath.time.ScheduleInterface
-
Return the period end date converted to the internal daycounting relative
to the schedules reference date.
- getPeriodEndTime() - Method in class net.finmath.analytic.products.Deposit
-
- getPeriodEndTime() - Method in class net.finmath.marketdata.products.Deposit
-
- getPeriodIndex(double) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodIndex(LocalDate) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodIndex(double) - Method in class net.finmath.time.Schedule
-
- getPeriodIndex(LocalDate) - Method in class net.finmath.time.Schedule
-
- getPeriodIndex(double) - Method in interface net.finmath.time.ScheduleInterface
-
Return the index of the period which contains the given time point.
- getPeriodIndex(LocalDate) - Method in interface net.finmath.time.ScheduleInterface
-
Return the index of the period which contains the given date.
- getPeriodLength() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
-
Returns the tenor encoded as an pseudo act/365 daycount fraction.
- getPeriodLength(int) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodLength(int) - Method in class net.finmath.time.Schedule
-
- getPeriodLength(int) - Method in interface net.finmath.time.ScheduleInterface
-
Return the period length for a given period index.
- getPeriodLengths() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getPeriodLengths() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
- getPeriodLengths() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getPeriodNotionals() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getPeriods() - Method in class net.finmath.time.RegularSchedule
-
- getPeriods() - Method in class net.finmath.time.Schedule
-
- getPeriods() - Method in interface net.finmath.time.ScheduleInterface
-
Returns the array of periods.
- getPeriodStart() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getPeriodStart() - Method in class net.finmath.time.Period
-
- getPeriodStart(int) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodStart(int) - Method in class net.finmath.time.Schedule
-
- getPeriodStart(int) - Method in interface net.finmath.time.ScheduleInterface
-
Return the period start date converted to the internal daycounting relative
to the schedules reference date.
- getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
-
Returns the fixingOffet as an act/365 day count.
- getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
-
Returns the fixingOffet as an act/365 day count.
- getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
-
Returns the periodStartOffset as an act/365 daycount.
- getPoint(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getPoints() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getPreferedValueIncrement() - Method in class net.finmath.swing.JNumberField
-
- getProcess() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
-
- getProcess() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getProcess() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getProcess() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getProcess() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
-
- getProcess() - Method in class net.finmath.montecarlo.model.AbstractModel
-
- getProcess() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Get the numerical scheme used to generate the stochastic process.
- getProcessValue(int, int) - Method in class net.finmath.montecarlo.model.AbstractModel
-
- getProcessValue(double, int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
Returns the (possibly interpolated) value of this stochastic process at a given time \( t \).
- getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
This method returns the realization of the process at a certain time index.
- getProcessValue(int, int) - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
This method returns the realization of a component of the process for a given time index.
- getProcessValue(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
This method returns the realization of the process at a certain time index.
- getProcessValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
This method returns the realization of the process at a certain time index.
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getProductFromDescriptor(ProductDescriptor) - Method in interface net.finmath.modelling.DescribedModel
-
Construct a product from a product descriptor, which may be valued by this model.
- getProductFromDescriptor(ProductDescriptor) - Method in interface net.finmath.modelling.ProductFactory
-
Constructs the product from a given product descriptor.
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory
-
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.ProductFactoryCascade
-
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.SingleAssetEuropeanOptionMonteCarloProductFactory
-
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory
-
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory
-
- getProductname() - Static method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
- getProducts() - Method in class net.finmath.analytic.products.Portfolio
-
Returns the list of products as an unmodifiable list.
- getProducts() - Method in class net.finmath.marketdata.products.Portfolio
-
Returns the list of products as an unmodifiable list.
- getProducts() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
-
Returns the collection containing all products as an unmodifiable collection.
- getProducts() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
-
- getQuantile(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getQuantile(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariable
-
- getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getQuantile(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile,
where P denotes the probability measure.
- getQuantile(double, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile,
where P denotes the probability measure.
- getQuantile(double) - Method in class net.finmath.stochastic.Scalar
-
- getQuantile(double, RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariable
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getQuantileExpectation(double, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the expectation over a quantile for this given random variable.
- getQuantileExpectation(double, double) - Method in class net.finmath.stochastic.Scalar
-
- getQuantilPredictions(int, double[]) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
-
- getQuantilPredictionsForParameters(double[], double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getQuantilPredictionsForParameters(double, double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
-
- getQuantilPredictionsForParameters(double, double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getQuantilPredictionsForParameters(double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.GARCH
-
- getQuotingConvention() - Method in class net.finmath.analytic.model.volatilities.AbstractVolatilitySurface
-
- getQuotingConvention() - Method in interface net.finmath.analytic.model.volatilities.VolatilitySurfaceInterface
-
Return the default quoting convention of this surface.
- getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getQuotingConvention() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
-
Return the default quoting convention of this surface.
- getRandomVariable() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getRandomVariableForConstant(double) - Method in class net.finmath.analytic.model.AnalyticModel
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.analytic.model.AnalyticModelInterface
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotion
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Returns a random variable which is initialized to a constant,
but has exactly the same number of paths or discretization points as the ones used by this BrownianMotionInterface.
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.GammaProcess
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Returns a random variable which is initialized to a constant,
but has exactly the same number of paths or discretization points as the ones used by this BrownianMotionInterface.
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Return a random variable initialized with a constant using the models random variable factory.
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
Returns a random variable which is initialized to a constant,
but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getRate(AnalyticModelInterface) - Method in class net.finmath.analytic.products.Deposit
-
Return the deposit rate implied by the given model's curve.
- getRate() - Method in class net.finmath.analytic.products.Deposit
-
- getRate(AnalyticModelInterface) - Method in class net.finmath.analytic.products.ForwardRateAgreement
-
Return the par FRA rate for a given curve.
- getRate(AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Deposit
-
Return the deposit rate implied by the given model's curve.
- getRate() - Method in class net.finmath.marketdata.products.Deposit
-
- getRate(AnalyticModelInterface) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
-
Return the par FRA rate for a given curve.
- getRealizations() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getRealizations() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getRealizations() - Method in class net.finmath.montecarlo.RandomVariable
-
- getRealizations() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getRealizations() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getRealizations() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns a vector representing the realization of this random variable.
- getRealizations() - Method in class net.finmath.stochastic.Scalar
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariable
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getRealizationsStream() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns a stream of doubles corresponding to the realizations of this random variable.
- getRealizationsStream() - Method in class net.finmath.stochastic.Scalar
-
- getRecoveryRate() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getReferenceCurve() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getReferenceDate() - Method in class net.finmath.analytic.model.curves.AbstractCurve
-
- getReferenceDate() - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
Return the reference date of this curve, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.analytic.model.volatilities.AbstractVolatilitySurface
-
- getReferenceDate() - Method in interface net.finmath.analytic.model.volatilities.VolatilitySurfaceInterface
-
Return the reference date of this surface, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- getReferenceDate() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
Return the reference date of this curve, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getReferenceDate() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
-
Return the reference date of this surface, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getReferenceDate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getReferenceDate() - Method in class net.finmath.time.RegularSchedule
-
- getReferenceDate() - Method in class net.finmath.time.Schedule
-
- getReferenceDate() - Method in interface net.finmath.time.ScheduleInterface
-
Returns the reference data of this schedule.
- getReferenceDate() - Method in class net.finmath.time.Tenor
-
- getReferenceDate() - Method in interface net.finmath.time.TenorInterface
-
- getReferencePoints() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getRegressionCurve() - Method in class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation
-
Returns the curve resulting from the local linear regression with discrete kernel.
- getRho() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getRiskFreeRate() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getRiskFreeRate() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
-
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
Returns the riskFreeRate.
- getRolledDate(LocalDate, int) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
- getRolledDate(LocalDate, int) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
-
Find a new date by adding the given number of business days to a given base date.
- getRootMeanSquaredError() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getRootMeanSquaredError() - Method in interface net.finmath.optimizer.OptimizerInterface
-
- getRootMeanSquaredError() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getRootMeanSquaredError() - Method in interface net.finmath.optimizer.StochasticOptimizerInterface
-
- getRootMeanSquaredError() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
- getSampleVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getSampleVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariable
-
- getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getSampleVariance() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the sample variance of this random variable, i.e.,
V * size()/(size()-1) where V = getVariance().
- getSampleVariance() - Method in class net.finmath.stochastic.Scalar
-
- getSampleVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getSampleVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getScaledTenorTime(double, double) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getScaledTenorTime(double, double) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
-
- getScaledTenorTime(double, double) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
-
- getScaling1() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
-
Returns the scaling 1.
- getScaling2() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
-
Returns the scaling 2.
- getSchedule() - Method in class net.finmath.analytic.products.Deposit
-
- getSchedule() - Method in class net.finmath.analytic.products.SwapLeg
-
- getSchedule() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getSchedule() - Method in class net.finmath.marketdata.products.Deposit
-
- getSchedule() - Method in class net.finmath.marketdata.products.SwapLeg
-
- getScheme() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getScheme() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getSeed() - Method in class net.finmath.montecarlo.BrownianMotion
-
- getSeed() - Method in class net.finmath.montecarlo.GammaProcess
-
- getSeed() - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getSeed() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
-
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is
\(
\int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau
\) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
- getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
-
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is
\(
\int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot a \cdot (t-\tau)) \ \mathrm{d}\tau
\) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
- getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
-
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is
\(
\int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau
\) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
- getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
-
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is
\(
\int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau
\) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
- getSolverParameter(RandomVariableInterface[]) - Method in interface net.finmath.analytic.calibration.ParameterTransformation
-
Return the (unbounded) solver parameter for the given original parameter.
- getSolverParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation
-
Return the (unbounded) solver parameter for the given original parameter.
- getSpread() - Method in class net.finmath.analytic.products.SwapLeg
-
- getSpread(double, CurveInterface, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
-
Returns the spread value such that the sum of cash flows of the bond discounted with a given reference curve
with the additional spread coincides with a given price.
- getSpread() - Method in class net.finmath.marketdata.products.SwapLeg
-
- getSpread() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
- getSpreadCurve() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariable
-
- getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getStandardDeviation() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the standard deviation of this random variable, i.e.,
sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
- getStandardDeviation(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the standard deviation of this random variable, i.e.,
sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
- getStandardDeviation() - Method in class net.finmath.stochastic.Scalar
-
- getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- getStandardDeviationAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardDeviationAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardError() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardError() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardError() - Method in class net.finmath.montecarlo.RandomVariable
-
- getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
-
- getStandardError() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardError() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getStandardError() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the standard error (discretization error) of this random variable.
- getStandardError(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the standard error (discretization error) of this random variable.
- getStandardError() - Method in class net.finmath.stochastic.Scalar
-
- getStandardError(RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
-
- getStandardErrorAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardErrorAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStartTime() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
- getStateVariable(int, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getStateVariableForPeriod(TimeDiscretizationInterface, RandomVariableInterface[], double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
-
- getStochasticDriver() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
-
- getStochasticDriver() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
-
- getStrike() - Method in class net.finmath.marketdata.products.Cap
-
Returns the strike of this caplet.
- getStrike() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
-
- getStrike() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
-
- getStrikes() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getStrikes() - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap
-
- getSurvivalProbabilityCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getSwap() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getSwapAnnuity(TimeDiscretizationInterface, DiscountCurveInterface) - Static method in class net.finmath.analytic.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(TimeDiscretizationInterface, ForwardCurveInterface) - Static method in class net.finmath.analytic.products.SwapAnnuity
-
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
- getSwapAnnuity(ScheduleInterface, DiscountCurveInterface) - Static method in class net.finmath.analytic.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(ScheduleInterface, ForwardCurveInterface) - Static method in class net.finmath.analytic.products.SwapAnnuity
-
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
- getSwapAnnuity(double, ScheduleInterface, DiscountCurveInterface, AnalyticModelInterface) - Static method in class net.finmath.analytic.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(TimeDiscretizationInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(TimeDiscretizationInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
- getSwapAnnuity(ScheduleInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(ScheduleInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
- getSwapAnnuity(double, ScheduleInterface, DiscountCurveInterface, AnalyticModelInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapPeriodLength() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
- getSwapPeriodLength() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getSwapRateDerivative(TimeDiscretizationInterface, DiscountCurveInterface, ForwardCurveInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
- getSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
- getSwaprates() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
-
Return the swaption market data used for calibration (if any, may be null).
- getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
-
Return the swaption market data used for calibration (if any, may be null).
- getSymbol() - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
- getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getSzenarios(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
-
- getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getSzenarios(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
-
- getSzenarios(int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
-
- getTangents(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getTangents(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getTangents() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getTangents() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface
-
Returns the tangents of this random variable with respect to all its dependent nodes.
- getTangents(Set<Long>) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface
-
Returns the tangents of this random variable with respect to the given dependent node IDs (if dependent).
- getTenor() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
- getTenor() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getTheta() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getTickSize() - Method in class net.finmath.time.TimeDiscretization
-
- getTickSize() - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Returns the smallest time span distinguishable in this time discretization.
- getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getTime(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getTime(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getTime(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getTime(int) - Method in class net.finmath.montecarlo.model.AbstractModel
-
Return the simulation time for a given time index.
- getTime(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
Returns the time for a given time index.
- getTime(int) - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getTime(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getTime(int) - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
- getTime(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
Returns the time for a given simulation time index.
- getTime(int) - Method in class net.finmath.time.TimeDiscretization
-
- getTime(int) - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Returns the time for the given time index.
- getTime(int) - Method in class net.finmath.timeseries.TimeSeries
-
- getTime(int) - Method in interface net.finmath.timeseries.TimeSeriesInterface
-
- getTime(int) - Method in class net.finmath.timeseries.TimeSeriesView
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianBridge
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotion
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.BrownianMotionInterface
-
Returns the time discretization used for this set of time-discrete Brownian increments.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.GammaProcess
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.IndependentIncrements
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
-
Returns the time discretization used for this set of time-discrete Brownian increments.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
-
The simulation time discretization associated with this model.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolailityModelInterface
-
Returns the time discretization \( \{ t_{i} \} \) associated
with the piecewise constant functions.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModelHoLee
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.model.AbstractModel
-
Get the time discretization of the model (simulation time).
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
-
Returns the time discretization of the model parameters.
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
Returns the timeDiscretization.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getTimeIndex(double) - Method in class net.finmath.analytic.model.curves.Curve
-
- getTimeIndex(double) - Method in class net.finmath.marketdata.model.curves.Curve
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.model.AbstractModel
-
Return the time index associated for the given simulation time.
- getTimeIndex(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
-
Returns the time index for a given time.
- getTimeIndex(double) - Method in class net.finmath.montecarlo.process.AbstractProcess
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getTimeIndex(double) - Method in interface net.finmath.montecarlo.process.ProcessInterface
-
Returns the time index for a given simulation time.
- getTimeIndex(double) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
Returns the time index for a given simulation time.
- getTimeIndex(double) - Method in class net.finmath.time.TimeDiscretization
-
- getTimeIndex(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Returns the time index for the given time.
- getTimeIndexNearestGreaterOrEqual(double) - Method in class net.finmath.time.TimeDiscretization
-
- getTimeIndexNearestGreaterOrEqual(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Returns the time index for the time in the time discretization which is the nearest
to the given time, being greater or equal (i.e. min(i : timeDiscretization[i] ≥ time
where timeDiscretization[i] ≤ timeDiscretization[j]).
- getTimeIndexNearestLessOrEqual(double) - Method in class net.finmath.time.TimeDiscretization
-
- getTimeIndexNearestLessOrEqual(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Returns the time index for the time in the time discretization which is the nearest
to the given time, being less or equal (i.e. max(i : timeDiscretization[i] ≤ time
where timeDiscretization[i] ≤ timeDiscretization[j]).
- getTimeScaling() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getTimeShiftedTimeDiscretization(double) - Method in class net.finmath.time.TimeDiscretization
-
- getTimeShiftedTimeDiscretization(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Return a new time discretization where all time points have been shifted by
a given time shift.
- getTimeStep(int) - Method in class net.finmath.time.TimeDiscretization
-
- getTimeStep(int) - Method in interface net.finmath.time.TimeDiscretizationInterface
-
Returns the time step from the given time index to the next one.
- getType() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getTypePriority() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getTypePriority() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getTypePriority() - Method in class net.finmath.montecarlo.RandomVariable
-
- getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
-
- getTypePriority() - Method in interface net.finmath.stochastic.RandomVariableInterface
-
Returns the type priority.
- getTypePriority() - Method in class net.finmath.stochastic.Scalar
-
- getUnderlyingName() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
-
- getUpperBound() - Method in class net.finmath.integration.AbstractRealIntegral
-
Get the upper integration bound.
- getValue(double) - Method in class net.finmath.analytic.interpolation.RationalFunctionInterpolation
-
Get an interpolated value for a given argument x.
- getValue(double) - Method in class net.finmath.analytic.model.curves.AbstractCurve
-
- getValue(double) - Method in class net.finmath.analytic.model.curves.Curve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.Curve
-
- getValue(double) - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
Returns the value for the time using the interpolation method associated with this curve.
- getValue(AnalyticModelInterface, double) - Method in interface net.finmath.analytic.model.curves.CurveInterface
-
Returns the value for the time using the interpolation method associated with this curve
within a given context, i.e., a model.
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.DiscountCurveFromForwardCurve
-
- getValue(double) - Method in class net.finmath.analytic.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.analytic.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in interface net.finmath.analytic.model.volatilities.VolatilitySurfaceInterface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in interface net.finmath.analytic.model.volatilities.VolatilitySurfaceInterface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(double, ModelInterface) - Method in class net.finmath.analytic.products.AbstractAnalyticProduct
-
- getValue(AnalyticModelInterface) - Method in class net.finmath.analytic.products.AbstractAnalyticProduct
-
- getValue(double, AnalyticModelInterface) - Method in interface net.finmath.analytic.products.AnalyticProductInterface
-
Return the valuation of the product using the given model.
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.Cashflow
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.Deposit
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.Forward
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.ForwardRateAgreement
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.MarketForwardRateAgreement
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.Performance
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.Portfolio
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.Swap
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.SwapAnnuity
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.analytic.products.SwapLeg
-
- getValue(double, double, DoubleUnaryOperator, FiniteDifference1DBoundary) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getValue(double, double, DoubleUnaryOperator, FiniteDifference1DBoundary) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.
- getValue(double, FiniteDifference1DModel) - Method in class net.finmath.finitedifference.products.FDMEuropeanCallOption
-
- getValue(double, FiniteDifference1DModel) - Method in interface net.finmath.finitedifference.products.FiniteDifference1DProduct
-
Return the value of the product under the given model.
- getValue(double, ModelInterface) - Method in interface net.finmath.finitedifference.products.FiniteDifference1DProduct
-
- getValue(double, double, DoubleUnaryOperator) - Method in class net.finmath.finitedifference.solvers.FDMThetaMethod
-
- getValue(double, ModelInterface) - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
-
- getValue(ProcessCharacteristicFunctionInterface) - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation
-
Get an interpolated value for a given argument x.
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
-
- getValue(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.Curve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.Curve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
- getValue(double) - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
Returns the value for the time using the interpolation method associated with this curve.
- getValue(AnalyticModelInterface, double) - Method in interface net.finmath.marketdata.model.curves.CurveInterface
-
Returns the value for the time using the interpolation method associated with this curve
within a given context, i.e., a model.
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
-
- getValue(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
Returns the option price of a swaption for a given option maturity and tenor length.
- getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
-
- getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
-
- getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
- getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
- getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
- getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
- getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
- getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
- getValue(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(double, ModelInterface) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
-
- getValue(AnalyticModelInterface) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
-
- getValue(double, AnalyticModelInterface) - Method in interface net.finmath.marketdata.products.AnalyticProductInterface
-
Return the valuation of the product using the given model.
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Cap
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Cashflow
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Deposit
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Forward
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.MarketForwardRateAgreement
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Performance
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Portfolio
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Swap
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.SwapAnnuity
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.SwapLeg
-
- getValue(double, ModelInterface) - Method in interface net.finmath.modelling.ProductInterface
-
Return the valuation of the product using the given model.
- getValue(double, ModelInterface) - Method in class net.finmath.modelling.UnsupportedProduct
-
- getValue(double, AnalyticModelInterface) - Method in class net.finmath.modelling.UnsupportedProduct
-
- getValue(double, ModelInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
This method returns the value of the product under the specified model.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
-
- getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
-
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption
-
This method returns the value random variable of the product within the specified model,
evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
This method returns the value random variable of the product within the specified model,
evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
-
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.LocalRiskMinimizingHedgePortfolio
-
- getValue(double, ModelInterface) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
-
- getValue(double, HybridAssetLIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Bond
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.CancelableSwap
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Caplet
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.CMSOption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(ForwardCurveInterface, double) - Method in class net.finmath.montecarlo.interestrate.products.CMSOption
-
This method returns the value of the product using a Black-Scholes model for the swap rate with the Hunt-Kennedy convexity adjustment.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Cashflow
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Numeraire
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Period
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Selector
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.DigitalFloorlet
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.DateIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.MinIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.PowIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.ProductIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SimpleCappedFlooredFloatingRateBond
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SimpleZeroSwap
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Swap
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwapLeg
-
- getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation
-
- getValue(double, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation
-
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)).
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(ForwardCurveInterface, double) - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
This method returns the value of the product using a Black-Scholes model for the swap rate
The model is determined by a discount factor curve and a swap rate volatility.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionATM
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSimple
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(ForwardCurveInterface, double) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
-
This method returns the value of the product using a Black-Scholes model for the swap rate
The model is determined by a discount factor curve and a swap rate volatility.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
-
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionWithComponents
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwapWithComponents
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.products.PortfolioMonteCarloProduct
-
- getValue() - Method in class net.finmath.swing.JNumberField
-
- getValue(String) - Method in class net.finmath.timeseries.MarketData
-
- getValue(int) - Method in class net.finmath.timeseries.TimeSeries
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- getValue(int) - Method in interface net.finmath.timeseries.TimeSeriesInterface
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- getValue(int) - Method in class net.finmath.timeseries.TimeSeriesView
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- getValueAsPrice(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Cap
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Returns the value of this product under the given model.
- getValueAtLowerBoundary(FiniteDifference1DModel, double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DBoundary
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Return the value of the value process at the lower boundary for a given time and asset value.
- getValueAtLowerBoundary(FiniteDifference1DModel, double, double) - Method in class net.finmath.finitedifference.products.FDMEuropeanCallOption
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- getValueAtUpperBoundary(FiniteDifference1DModel, double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DBoundary
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Return the value of the value process at the upper boundary for a given time and asset value.
- getValueAtUpperBoundary(FiniteDifference1DModel, double, double) - Method in class net.finmath.finitedifference.products.FDMEuropeanCallOption
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- getValueForModifiedData(double, MonteCarloSimulationInterface, Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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- getValues(double[]) - Method in class net.finmath.analytic.model.curves.AbstractCurve
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Return a vector of values corresponding to a given vector of times.
- getValues(double, ModelInterface) - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
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- getValues(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
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Return a vector of values corresponding to a given vector of times.
- getValues(double, ModelInterface) - Method in interface net.finmath.modelling.ProductInterface
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Return the valuation of the product using the given model.
- getValues(double, ModelInterface) - Method in class net.finmath.modelling.UnsupportedProduct
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- getValues(double, ModelInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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- getValues(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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This method returns the value of the product under the specified model and other information in a key-value map.
- getValues(MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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This method returns the value of the product under the specified model and other information in a key-value map.
- getValues(double, ModelInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
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- getValues() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
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Returns the underlying values.
- getValues() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
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Returns the underlying values.
- getValues(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
- getValues(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
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- getValues(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
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- getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
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Calculates the squared curvature of the LIBOR instantaneous variance.
- getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
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Calculates the approximated integrated instantaneous variance of the swap rate,
using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
- getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
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Calculates the approximated integrated instantaneous variance of the swap rate,
using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
- getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
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Calculates the approximated integrated instantaneous variance of the swap rate,
using the approximation d S/d L (t) = d S/d L (0).
- getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
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Calculates the approximated integrated instantaneous variance of the swap rate,
using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
- getValues() - Method in interface net.finmath.stochastic.RandomVariableInterface
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Returns the underlying values and a random variable.
- getValues() - Method in class net.finmath.timeseries.TimeSeries
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- getValues() - Method in interface net.finmath.timeseries.TimeSeriesInterface
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- getValues() - Method in class net.finmath.timeseries.TimeSeriesView
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- getValuesForModifiedData(double, MonteCarloSimulationInterface, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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This method returns the value under shifted market data (or model parameters).
- getValuesForModifiedData(double, MonteCarloSimulationInterface, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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This method returns the value under shifted market data (or model parameters).
- getValuesForModifiedData(MonteCarloSimulationInterface, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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This method returns the value under shifted market data (or model parameters).
- getValuesForModifiedData(MonteCarloSimulationInterface, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
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This method returns the value under shifted market data (or model parameters).
- getValueWithGivenSpreadOverCurve(double, CurveInterface, double, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
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Returns the value of the sum of discounted cash flows of the bond where
the discounting is done with the given reference curve and an additional spread.
- getValueWithGivenYield(double, double, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
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Returns the value of the sum of discounted cash flows of the bond where
the discounting is done with the given yield curve.
- getVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
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- getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
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- getVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
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- getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
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- getVariance() - Method in class net.finmath.montecarlo.RandomVariable
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- getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
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- getVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
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- getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
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- getVariance() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
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- getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
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- getVariance() - Method in interface net.finmath.stochastic.RandomVariableInterface
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Returns the variance of this random variable, i.e.,
V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
- getVariance(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
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Returns the variance of this random variable, i.e.,
V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
- getVariance() - Method in class net.finmath.stochastic.Scalar
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- getVariance(RandomVariableInterface) - Method in class net.finmath.stochastic.Scalar
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- getVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
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- getVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
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- getVersionString() - Static method in class net.finmath.information.Library
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Return the version string of this instance of finmath-lib.
- getVolatilities() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
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Returns the volatility parameters of this model.
- getVolatility() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
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- getVolatility() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
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- getVolatility(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
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Returns the option implied volatility of a swaption for a given option maturity and tenor length.
- getVolatility(double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
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- getVolatility(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
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- getVolatility() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
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- getVolatility() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
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- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModelWithCurves
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.DisplacedLognomalModelExperimental
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
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Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModel
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Implement this method to complete the implementation.
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelFourParameterExponentialForm
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelFromGivenMatrix
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORVolatilityModelPiecewiseConstant
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
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Implement this method to complete the implementation.
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstantLegacy
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
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- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
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- getVolatility(int) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolailityModelInterface
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Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
- getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel
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- getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModelHoLee
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- getVolatility() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
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Returns the volatility.
- getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.covariancemodels.LIBORCovarianceModelFromVolatilityAndCorrelation
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- getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
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- getVolatilitySurface(String) - Method in class net.finmath.analytic.model.AnalyticModel
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- getVolatilitySurface(String) - Method in interface net.finmath.analytic.model.AnalyticModelInterface
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- getVolatilitySurface(String) - Method in class net.finmath.marketdata.model.AnalyticModel
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- getVolatilitySurface(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
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- getWeight() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
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- getWeights() - Method in class net.finmath.analytic.products.Portfolio
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Returns the list of weights as an unmodifiable list.
- getWeights() - Method in class net.finmath.marketdata.products.Portfolio
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Returns the list of weights as an unmodifiable list.
- getWeights() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
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- getXi() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
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- getYield(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.model.bond.Bond
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Returns the yield value such that the sum of cash flows of the bond discounted with the yield curve
coincides with a given price.
- getZeroRate(double) - Method in class net.finmath.analytic.model.curves.DiscountCurve
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Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is
the discount factor at time $T$.
- getZeroRate(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
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Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is
the discount factor at time $T$.
- getZeroRate(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
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Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is
the discount factor at time $T$.
- getZeroRate(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
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Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is
the discount factor at time $T$.
- getZeroRates(double[]) - Method in class net.finmath.analytic.model.curves.DiscountCurve
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Returns the zero rates for a given vector maturities.
- getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
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Returns the zero rates for a given vector maturities.
- getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
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Returns the zero rates for a given vector maturities.
- GoldenSectionSearch - Class in net.finmath.optimizer
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This class implements a Golden Section search algorithm, i.e., a minimization,
implemented as a question-and-answer search algorithm.
- GoldenSectionSearch(double, double) - Constructor for class net.finmath.optimizer.GoldenSectionSearch
-