Uses of Class
net.finmath.exception.CalculationException

Packages that use CalculationException

Package	Description
net.finmath.analytic.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.modelling.describedproducts	Classes providing the link/mapping from product descriptors to implementations.
net.finmath.montecarlo	Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationInterface.
net.finmath.montecarlo.conditionalexpectation	Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
net.finmath.montecarlo.crosscurrency	Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.covariancemodels	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.modelplugins	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate.products.components	Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.model	Provides an interface an a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.process.component.factordrift	Components providing the factor drift in the simulation of a proxy simulation scheme.
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.

Uses of CalculationException in net.finmath.analytic.model.curves

Methods in net.finmath.analytic.model.curves that throw CalculationException

Modifier and Type	Method and Description
static DiscountCurveInterface	DiscountCurve.createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName, LIBORModelMonteCarloSimulationInterface model, double startTime) Create a discount curve from forwards given by a LIBORMonteCarloModel.
static ForwardCurve	ForwardCurve.createForwardCurveFromMonteCarloLiborModel(String name, LIBORModelMonteCarloSimulationInterface model, double startTime) Create a forward curve from forwards given by a LIBORMonteCarloModel.
static RandomVariableInterface[]	DiscountCurve.createZeroRates(double time, double[] maturities, LIBORModelMonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.fouriermethod.products

Methods in net.finmath.fouriermethod.products that throw CalculationException

Modifier and Type	Method and Description
double	AbstractProductFourierTransform.getValue(ProcessCharacteristicFunctionInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Uses of CalculationException in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities that throw CalculationException

Modifier and Type	Method and Description
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModelInterface calibrationModel, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModelInterface calibrationModel, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)

Uses of CalculationException in net.finmath.modelling.describedproducts

Methods in net.finmath.modelling.describedproducts that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	SwaptionPhysicalMonteCarlo.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo

Methods in net.finmath.montecarlo that throw CalculationException

Modifier and Type	Method and Description
MonteCarloSimulationInterface	MonteCarloSimulationInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
RandomVariableInterface	MonteCarloSimulationInterface.getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	MonteCarloSimulationInterface.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
abstract RandomVariableInterface	AbstractMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
double	AbstractMonteCarloProduct.getValue(MonteCarloSimulationInterface model) This method returns the value of the product under the specified model.
Map<String,Object>	AbstractMonteCarloProduct.getValues(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	AbstractMonteCarloProduct.getValues(MonteCarloSimulationInterface model) This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(double evaluationTime, MonteCarloSimulationInterface model, Map<String,Object> dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(double evaluationTime, MonteCarloSimulationInterface model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationInterface model, Map<String,Object> dataModified) This method returns the value under shifted market data (or model parameters).
Map<String,Object>	AbstractMonteCarloProduct.getValuesForModifiedData(MonteCarloSimulationInterface model, String entityKey, Object dataModified) This method returns the value under shifted market data (or model parameters).

Uses of CalculationException in net.finmath.montecarlo.assetderivativevaluation

Methods in net.finmath.montecarlo.assetderivativevaluation that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloAssetModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	MonteCarloMertonModel.getAssetValue(double time, int assetIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getAssetValue(double time, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloBlackScholesModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloAssetModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	MonteCarloMertonModel.getAssetValue(int timeIndex, int assetIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getAssetValue(int timeIndex, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
AssetModelMonteCarloSimulationInterface	MonteCarloAssetModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AssetModelMonteCarloSimulationInterface	AssetModelMonteCarloSimulationInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationInterface	AssetModelMonteCarloSimulationInterface.getCloneWithModifiedSeed(int seed) Create a clone of the object implementing AssetModelMonteCarloSimulationInterface using a different Monte-Carlo seed.
RandomVariableInterface	MonteCarloMultiAssetBlackScholesModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloBlackScholesModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloAssetModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloMertonModel.getMonteCarloWeights(double time)
RandomVariableInterface	MonteCarloBlackScholesModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	MonteCarloAssetModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	MonteCarloMertonModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	MertonModel.getNumeraire(double time)
RandomVariableInterface	MonteCarloBlackScholesModel.getNumeraire(double time)
RandomVariableInterface	MonteCarloAssetModel.getNumeraire(double time)
RandomVariableInterface	MonteCarloMertonModel.getNumeraire(double time)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getNumeraire(double time) Returns the numeraire associated with the valuation measure used by this model.
RandomVariableInterface	MonteCarloBlackScholesModel.getNumeraire(int timeIndex)
RandomVariableInterface	MonteCarloAssetModel.getNumeraire(int timeIndex)
RandomVariableInterface	MonteCarloMertonModel.getNumeraire(int timeIndex)
RandomVariableInterface	AssetModelMonteCarloSimulationInterface.getNumeraire(int timeIndex) Returns the numeraire associated with the valuation measure used by this model.

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

Methods in net.finmath.montecarlo.assetderivativevaluation.products that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	BermudanDigitalOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BermudanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	FiniteDifferenceDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	BlackScholesDeltaHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	DigitalOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	DeltaHedgedPortfolioWithAAD.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	AsianOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BlackScholesHedgedPortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	BasketOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	LocalRiskMinimizingHedgePortfolio.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
RandomVariableInterface	EuropeanOption.getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	AbstractAssetMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.conditionalexpectation

Methods in net.finmath.montecarlo.conditionalexpectation that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface[]	RegressionBasisFunctionsProvider.getBasisFunctions(double evaluationTime, MonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.crosscurrency

Methods in net.finmath.montecarlo.crosscurrency that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	CrossCurrencyTermStructureModelMonteCarloSimulationInterface.getExchangeRate(String fromCurve, String toCurve, double time) Return the (cross curve or currency) exchange rate for a given simulation time.
RandomVariableInterface	CrossCurrencyTermStructureModelMonteCarloSimulationInterface.getForwardRate(String curve, double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	CrossCurrencyTermStructureModelMonteCarloSimulationInterface.getNumeraire(double time) Return the numeraire at a given time.

Uses of CalculationException in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getAssetValue(double time, int assetIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getAssetValue(int timeIndex, int assetIndex)
HybridAssetLIBORModelMonteCarloSimulationInterface	ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface baseModel, BrownianMotionInterface brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurveInterface discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface[]	HybridAssetLIBORModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	HybridAssetLIBORModelMonteCarloSimulation.getNumeraire(int timeIndex)

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

Methods in net.finmath.montecarlo.hybridassetinterestrate.products that throw CalculationException

Modifier and Type	Method and Description
double	WorstOfExpressCertificate.getValue(double evaluationTime, HybridAssetLIBORModelMonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that throw CalculationException

Modifier and Type	Method and Description
LIBORModelInterface	LIBORModelInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing LIBORModelInterface, using the new data.
TermStructureModelInterface	LIBORMarketModelWithTenorRefinement.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationInterface	LIBORModelMonteCarloSimulation.getCloneWithModifiedData(Map<String,Object> dataModified)
TermStructureModelInterface	TermStructureModelInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing TermStructureModelInterface, using the new data.
LIBORModelMonteCarloSimulationInterface	TermStructureModelMonteCarloSimulation.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModelStandard	LIBORMarketModelStandard.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationInterface	LIBORModelMonteCarloSimulation.getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).
TermStructureModelMonteCarloSimulationInterface	TermStructureModelMonteCarloSimulation.getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModelWithShiftExtension.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	TermStructureModelInterface.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	TermStructureModelMonteCarloSimulationInterface.getLIBOR(double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	LIBORMarketModelStandard.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORModelInterface.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModelWithShiftExtension.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulationInterface.getLIBOR(int timeIndex, int liborIndex) Return the forward rate for a given simulation time index and a given forward rate index.
RandomVariableInterface	LIBORMarketModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface	LIBORMarketModelStandard.getLIBOR(int timeIndex, int liborIndex)
RandomVariableInterface[]	LIBORModelMonteCarloSimulationInterface.getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
RandomVariableInterface[]	LIBORModelMonteCarloSimulation.getLIBORs(int timeIndex)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getMonteCarloWeights(double time)
RandomVariableInterface	LIBORModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	HullWhiteModelWithDirectSimulation.getNumeraire(double time)
RandomVariableInterface	LIBORMarketModelWithTenorRefinement.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	HullWhiteModelWithShiftExtension.getNumeraire(double time)
RandomVariableInterface	HullWhiteModel.getNumeraire(double time)
RandomVariableInterface	LIBORMarketModel.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	LIBORModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	TermStructureModelMonteCarloSimulationInterface.getNumeraire(double time) Return the numeraire at a given time.
RandomVariableInterface	TermStructureModelMonteCarloSimulation.getNumeraire(double time)
RandomVariableInterface	HullWhiteModelWithConstantCoeff.getNumeraire(double time)
RandomVariableInterface	LIBORMarketModelStandard.getNumeraire(double time) Return the numeraire at a given time.

Constructors in net.finmath.montecarlo.interestrate that throw CalculationException

Constructor and Description
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModelStandard.CalibrationItem[] calibrationItems) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelWithTenorRefinement(TimeDiscretizationInterface[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervalls, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, TermStructureCovarianceModelInterface covarianceModel, LIBORMarketModelWithTenorRefinement.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a model for given covariance.

Uses of CalculationException in net.finmath.montecarlo.interestrate.covariancemodels

Methods in net.finmath.montecarlo.interestrate.covariancemodels that throw CalculationException

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, RandomVariableInterface[] calibrationTargetValues, double[] calibrationWeights)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, RandomVariableInterface[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters) 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.

Uses of CalculationException in net.finmath.montecarlo.interestrate.modelplugins

Methods in net.finmath.montecarlo.interestrate.modelplugins that throw CalculationException

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters) Deprecated.
LIBORCovarianceModelCalibrateable	LIBORCovarianceModelCalibrateable.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, RandomVariableInterface[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters) 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.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, RandomVariableInterface[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters) 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.
TermStructureCovarianceModelParametric	TermStructureCovarianceModelParametric.getCloneCalibrated(TermStructureModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters) Return a calibrated clone of the covariance model.

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

Methods in net.finmath.montecarlo.interestrate.products that throw CalculationException

Modifier and Type	Method and Description
ConditionalExpectationEstimatorInterface	BermudanSwaption.getConditionalExpectationEstimator(double fixingDate, LIBORModelMonteCarloSimulationInterface model) Return the conditional expectation estimator suitable for this product.
RandomVariableInterface	Swaption.getExerciseIndicator(LIBORModelMonteCarloSimulationInterface model) Deprecated.
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, LIBORMarketModel model) 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)).
RandomVariableInterface	Caplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Portfolio.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	CMSOption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SimpleZeroSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	CancelableSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaptionSimple.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	DigitalFloorlet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	FlexiCap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaptionWithComponents.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SimpleSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	MoneyMarketAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SwaptionSingleCurve.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwapWithComponents.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaptionATM.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Swap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SimpleCappedFlooredFloatingRateBond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SwapLeg.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	DigitalCaplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BermudanSwaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Bond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Swaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValueForModifiedData(double evaluationTime, MonteCarloSimulationInterface monteCarloSimulationInterface, Map<String,Object> dataModified)
Map<String,Object>	AbstractLIBORMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
Map<String,Object>	BermudanSwaption.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

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

Methods in net.finmath.montecarlo.interestrate.products.components that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface[]	Option.getBasisFunctions(double exerciseDate, LIBORModelMonteCarloSimulationInterface model) Return the regression basis functions.
RandomVariableInterface[]	Option.getBasisFunctions(double evaluationTime, MonteCarloSimulationInterface model)
RandomVariableInterface	Period.getCoupon(LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractPeriod.getCoupon(LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AccruingNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the end of a period, given a period.
RandomVariableInterface	AccruingNotional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the start of a period, given a period.
RandomVariableInterface	Period.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	ExposureEstimator.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Numeraire.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	IndexedValue.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Selector.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	ProductCollection.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractPeriod.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Option.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	AccrualAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Cashflow.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Map<String,Object>	AbstractProductComponent.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

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

Methods in net.finmath.montecarlo.interestrate.products.indices that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	CappedFlooredIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AnalyticModelIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	UnsupportedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	PerformanceIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ConstantMaturitySwaprate.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AnalyticModelForwardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TriggerIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	DateIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	MaxIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ProductIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LaggedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	MinIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TimeDiscreteEndOfMonthIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LinearCombinationIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	PowIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LIBORIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AccruedInterest.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)

Uses of CalculationException in net.finmath.montecarlo.model

Methods in net.finmath.montecarlo.model that throw CalculationException

Modifier and Type	Method and Description
AbstractModelInterface	AbstractModelInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified.
RandomVariableInterface	AbstractModel.getMonteCarloWeights(int timeIndex)
RandomVariableInterface	AbstractModelInterface.getNumeraire(double time) Return the numeraire at a given time index.
RandomVariableInterface	AbstractModel.getProcessValue(int timeIndex, int componentIndex)

Uses of CalculationException in net.finmath.montecarlo.process

Methods in net.finmath.montecarlo.process that throw CalculationException

Modifier and Type	Method and Description
LinearInterpolatedTimeDiscreteProcess	LinearInterpolatedTimeDiscreteProcess.add(LinearInterpolatedTimeDiscreteProcess process) Create a new linear interpolated time discrete process by using the time discretization of this process and the sum of this process and the given one as its values.
RandomVariableInterface	ProcessInterface.getMonteCarloWeights(int timeIndex) This method returns the weights of a weighted Monte Carlo method (the probability density).
RandomVariableInterface	ProcessInterface.getProcessValue(int timeIndex, int component) This method returns the realization of a component of the process for a given time index.

Uses of CalculationException in net.finmath.montecarlo.process.component.factordrift

Methods in net.finmath.montecarlo.process.component.factordrift that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface[]	FactorDriftInterface.getFactorDrift(int timeIndex, RandomVariableInterface[] realizationPredictor) The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.

Uses of CalculationException in net.finmath.montecarlo.products

Methods in net.finmath.montecarlo.products that throw CalculationException

Modifier and Type	Method and Description
RandomVariableInterface	PortfolioMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationInterface model)