- bachelierGeneralizedOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the vega 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
\[
\mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t)
\]
- BachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation.models
-
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.models.BachelierModel
-
Create a Monte-Carlo simulation using given time discretization.
- bachelierOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a
normal process with constant volatility, i.e., a Bachelier model
\[
\mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t)
\]
- 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(RandomVariable, RandomVariable, double, double, RandomVariable) - 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 - Interface in net.finmath.montecarlo.process.component.barrier
-
The interface describes how an barrier has to be specified for the generation of a process (see LogNormalProcessWithBarrierStrategy).
- BasicPiterbargAnnuityMapping - Class in net.finmath.singleswaprate.annuitymapping
-
Implements an annuity mapping following Vladimir Piterbarg's approach.
- BasicPiterbargAnnuityMapping(Schedule, Schedule, VolatilityCubeModel, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
-
Create the annuity mapping.
- BasicPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
-
Create the annuity mapping.
- BasicPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String, double, double, int) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
-
Create the annuity mapping.
- 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(LocalDate, double, DiscountCurve, DiscountCurve, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
-
Create a two factor Bates model.
- BatesModel(double, DiscountCurve, DiscountCurve, 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 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 LIBORModelMonteCarloSimulationModel
- BermudanSwaption(boolean[], double[], double[], double[], double[], double[], boolean, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- 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
-
- BermudanSwaptionFromSwapSchedules - Class in net.finmath.montecarlo.interestrate.products
-
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
- BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[], MonteCarloConditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.
- BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[], RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Create a Bermudan swaption.
- BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Create a Bermudan swaption.
- BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double, double, Schedule[], Schedule[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Create a Bermudan swaption.
- BermudanSwaptionFromSwapSchedules.SwaptionType - Enum in net.finmath.montecarlo.interestrate.products
-
- 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(RandomVariable, RandomVariable, double, double, RandomVariable) - 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.
- blackScholesGeneralizedOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
-
Calculates the vega 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 Black-Scholes model
\[
\mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t)
\]
- 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(LocalDate, double, DiscountCurve, DiscountCurve, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
Create a Black Scholes model (characteristic function)
- BlackScholesModel(double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
Create a Black Scholes model (characteristic function)
- BlackScholesModel(double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
-
Create a Black Scholes model (characteristic function)
- BlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation.models
-
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(RandomVariable, RandomVariable, RandomVariable, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
Create a Black-Scholes specification implementing AbstractProcessModel.
- BlackScholesModel(double, double, double, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
Create a Monte-Carlo simulation using given time discretization.
- BlackScholesModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
Create a Black-Scholes model from given parameters.
- BlackScholesModelDescriptor - Class in net.finmath.modelling.descriptor
-
- BlackScholesModelDescriptor(LocalDate, Double, DiscountCurve, DiscountCurve, Double) - Constructor for class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- BlackScholesModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory
-
- BlackScholesModelMonteCarloFactory(AbstractRandomVariableFactory, IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFactory
-
- BlackScholesModelMonteCarloFiniteDifference1D - Class in net.finmath.modelling.modelfactory
-
- BlackScholesModelMonteCarloFiniteDifference1D(double) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFiniteDifference1D
-
- BlackScholesModelWithCurves - Class in net.finmath.montecarlo.assetderivativevaluation.models
-
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(RandomVariable, DiscountCurve, RandomVariable, DiscountCurve, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
Create a Black-Scholes specification implementing AbstractProcessModel.
- BlackScholesModelWithCurves(Double, DiscountCurve, Double, DiscountCurve, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
Create a Black-Scholes specification implementing AbstractProcessModel.
- 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(RandomVariable, RandomVariable, RandomVariable, 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(RandomVariable, RandomVariable, RandomVariable, double, RandomVariable) - 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(RandomVariable, RandomVariable, RandomVariable, 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
-
Calculates the vega 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 Black-Scholes model
\[
\mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t)
\]
- 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.models.covariance
-
Blended model (or displaced diffusion model) build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurve, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractRandomVariableFactory, AbstractLIBORCovarianceModelParametric, ForwardCurve, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractRandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurve, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
Displaced diffusion model build on top of a standard covariance model.
- BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.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
Schedule.
- Bond(Schedule, String, String, String, String, double, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
-
Creates a bond.
- Bond(Schedule, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
-
Creates a fixed coupon bond with recovery rate.
- Bond(Schedule, 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(Schedule, 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(LocalDateTime, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
-
- Bond(double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
-
- BondCurve - Class in net.finmath.marketdata.model.bond
-
Implements the bond curve as a curve object, see
Curve.
- BondCurve(String, LocalDate, Curve, Curve, 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.
- BoundConstraint - Class in net.finmath.fouriermethod.calibration
-
A class applying a bound constraint to a parameter.
- BoundConstraint(double, double) - Constructor for class net.finmath.fouriermethod.calibration.BoundConstraint
-
- 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(TimeDiscretization, int, int, RandomVariable[], RandomVariable[]) - Constructor for class net.finmath.montecarlo.BrownianBridge
-
Construct a Brownian bridge, bridging from a given start to a given end.
- BrownianBridge(TimeDiscretization, int, int, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.BrownianBridge
-
Construct a Brownian bridge, bridging from a given start to a given end.
- BrownianMotion - Interface in net.finmath.montecarlo
-
Interface description of a time-discrete n-dimensional Brownian motion
W = (W1,...
- BrownianMotionFromRandomNumberGenerator - Class in net.finmath.montecarlo
-
Implementation of a time-discrete n-dimensional Brownian motion
W = (W1,...
- BrownianMotionFromRandomNumberGenerator(TimeDiscretization, int, int, RandomNumberGenerator, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
Construct a Brownian motion.
- BrownianMotionFromRandomNumberGenerator(TimeDiscretization, int, int, RandomNumberGenerator) - Constructor for class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
Construct a Brownian motion.
- BrownianMotionLazyInit - Class in net.finmath.montecarlo
-
Implementation of a time-discrete n-dimensional Brownian motion
W = (W1,...
- BrownianMotionLazyInit(TimeDiscretization, int, int, int, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionLazyInit
-
Construct a Brownian motion.
- BrownianMotionLazyInit(TimeDiscretization, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotionLazyInit
-
Construct a Brownian motion.
- 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(BrownianMotion, Integer[]) - Constructor for class net.finmath.montecarlo.BrownianMotionView
-
Create a sub-view on a Brownian motion.
- BrownianMotionWithControlVariate - Class in net.finmath.montecarlo
-
Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.
- BrownianMotionWithControlVariate(BrownianMotion) - Constructor for class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
Create a controlled Brownian motion.
- build() - Method in interface net.finmath.marketdata.model.curves.CurveBuilder
-
Build the curve.
- build() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
-
- build() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve.Builder
-
- build() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve.Builder
-
- build() - Method in interface net.finmath.marketdata2.model.curves.CurveBuilder
-
Build the curve.
- build() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
-
- build(AnnuityMapping.AnnuityMappingType, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
-
Build the annuity mapping.
- build(String) - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
-
Perform the calibrations and build the cube.
- buildAnnuityMapping(double, Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType, VolatilityCubeModel) - Static method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
-
Build an annuity mapping.
- buildAnnuityMapping(double, Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType, VolatilityCubeModel, double, double, int) - Static method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
-
Build an annuity mapping.
- buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue,
the product needs to dynamically be able to build its annuity mapping.
- buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AnnuityDummyProduct
-
- buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledPayerSwaption
-
- buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
-
- buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
-
- buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.NormalizingDummyProduct
-
- buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
Build the cube from a set of parameters.
- buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.StaticCubeCalibration
-
- Builder() - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
-
Build a curve.
- Builder(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
-
Build a curve with a given name and given reference date.
- Builder(CurveInterpolation) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
-
Build a curve by cloning a given curve.
- Builder(PiecewiseCurve) - Constructor for class net.finmath.marketdata.model.curves.PiecewiseCurve.Builder
-
Create a CurveBuilder from a given piecewiseCurve
- Builder(SeasonalCurve) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve.Builder
-
Create a CurveBuilder from a given seasonalCurve.
- Builder() - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
-
Build a curveFromInterpolationPoints.
- Builder(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
-
Build a curveFromInterpolationPoints with a given name and given reference date.
- Builder(CurveInterpolation) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
-
Build a curveFromInterpolationPoints by cloning a given curveFromInterpolationPoints.
- buildParallelSABRCube(String, double, double, SwaptionDataLattice, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- buildSABRVolatilityCube(String, VolatilityCubeModel, int[]) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- buildSABRVolatilityCube(String, VolatilityCubeModel, int[], DataTable, DataTable, DataTable) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- buildShiftedSmileSABRCube(String, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- bus(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- bus(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- bus(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- bus(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
Applies x → randomVariable-x to this random variable.
- bus(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- bus(RandomVariable) - Method in class net.finmath.stochastic.Scalar
-
- BusinessdayCalendar - Interface in net.finmath.time.businessdaycalendar
-
- BusinessdayCalendar.DateOffsetUnit - Enum in net.finmath.time.businessdaycalendar
-
- BusinessdayCalendar.DateRollConvention - Enum in net.finmath.time.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, BusinessdayCalendar, 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, BusinessdayCalendar, 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(BusinessdayCalendar) - 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(BusinessdayCalendar) - 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(BusinessdayCalendar) - 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(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
-
Create business day calendar using a given business day calendar as basis.
- 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.RandomVariableFromDoubleArray
-
- cache() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- cache() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cache() - Method in interface net.finmath.stochastic.RandomVariable
-
Return a cacheable version of this object (often a self-reference).
- cache() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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.
- CalibratableHestonModel - Class in net.finmath.fouriermethod.calibration.models
-
This class is creates new instances of HestonModel and communicates with the optimization algorithm.
- CalibratableHestonModel(HestonModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
Basic constructor where all parameters are to be calibrated.
- CalibratableHestonModel(HestonModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, boolean) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
This constructor allows for the specification of constraints.
- CalibratableMertonModel - Class in net.finmath.fouriermethod.calibration.models
-
This class is creates new instances of MertonModel and communicates with the optimization algorithm.
- CalibratableMertonModel(MertonModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
Basic constructor where all parameters are to be calibrated.
- CalibratableMertonModel(MertonModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
This constructor allows for the specification of constraints.
- CalibratableProcess - Interface in net.finmath.fouriermethod.calibration.models
-
Every class implementing this interface communicates with the calibration routine by providing
clones of the model with changed parameters.
- calibrate(String) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
Run the calibration.
- calibrate(String, int[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
Run the calibration.
- 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>, 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[], AnalyticModelFromCurvesAndVols, 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[], AnalyticModelFromCurvesAndVols, 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[], AnalyticModelFromCurvesAndVols) - 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 - Class in net.finmath.marketdata2.calibration
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModel, double, double) - Constructor for class net.finmath.marketdata2.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[], AnalyticModelFromCurvesAndVols, double, double) - Constructor for class net.finmath.marketdata2.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[], AnalyticModelFromCurvesAndVols, double) - Constructor for class net.finmath.marketdata2.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[], AnalyticModelFromCurvesAndVols) - Constructor for class net.finmath.marketdata2.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.marketdata2.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.marketdata2.calibration.CalibratedCurves
-
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
- CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata.calibration
-
Specification of calibration product.
- CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata2.calibration
-
Specification of calibration product.
- CalibratedModel - Class in net.finmath.fouriermethod.calibration
-
This class solves a calibration problem.
- CalibratedModel(OptionSurfaceData, CalibratableProcess, OptimizerFactory, EuropeanOptionSmile, double[], double[]) - Constructor for class net.finmath.fouriermethod.calibration.CalibratedModel
-
- CalibratedModel.OptimizationResult - Class in net.finmath.fouriermethod.calibration
-
Helper class for calibration results.
- CalibrationProduct - Class in net.finmath.montecarlo.interestrate
-
A class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.
- CalibrationProduct(String, AbstractLIBORMonteCarloProduct, RandomVariable, double, int) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
-
Construct a calibration product.
- CalibrationProduct(String, AbstractLIBORMonteCarloProduct, RandomVariable, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- CalibrationProduct(String, AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- CalibrationProduct(AbstractLIBORMonteCarloProduct, RandomVariable, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- CalibrationProduct(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- CalibrationSpec(String, String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, Schedule, String, double, String, Schedule, 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.
- CalibrationSpec(String, String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
-
Calibration specification.
- 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 LIBORModelMonteCarloSimulationModel
- 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(Schedule, String, double, boolean, String, String, VolatilitySurface.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(Schedule, 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(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- cap(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- cap(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- cap(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- cap(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cap(double) - Method in interface net.finmath.stochastic.RandomVariable
-
Applies x → min(x,cap) to this random variable.
- cap(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
Applies x → min(x,cap) to this random variable.
- cap(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- cap(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- cap(double) - Method in class net.finmath.stochastic.Scalar
-
- cap(RandomVariable) - 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, ForwardCurve, double[], double[], double[], VolatilitySurface.QuotingConvention, DiscountCurve) - 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, ForwardCurve, DiscountCurve, double, double, double, double, double, VolatilitySurface.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, ForwardCurve, DiscountCurve, 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, ForwardCurve, DiscountCurve, 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, TimeDiscretization) - 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.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.marketdata2.products
-
Implements the valuation of a single cashflow by a discount curve.
- Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata2.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.
- CashSettledPayerSwaption - Class in net.finmath.singleswaprate.products
-
A European cash settled payer swaption.
- CashSettledPayerSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.CashSettledPayerSwaption
-
Create the product.
- CashSettledPayerSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType, double, double, int) - Constructor for class net.finmath.singleswaprate.products.CashSettledPayerSwaption
-
Create the product with custom replication settings.
- CashSettledReceiverSwaption - Class in net.finmath.singleswaprate.products
-
A European cash settled receiver swaption.
- CashSettledReceiverSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
-
Create the product.
- CashSettledReceiverSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType, double, double, int) - Constructor for class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
-
Create the product with custom replication settings.
- CharacteristicFunction - Interface in net.finmath.fouriermethod
-
Interface which has to be implemented by characteristic functions of
random variables, e.g., Fourier transforms of values (payoffs).
- CharacteristicFunctionModel - Interface in net.finmath.fouriermethod.models
-
Interface which has to be implemented by models providing the
characteristic functions of stochastic processes.
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- choose(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
Applies x → (x ≥ 0 ?
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- choose(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
-
- clone() - Method in interface net.finmath.marketdata.model.AnalyticModel
-
- clone() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- clone() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- clone() - Method in interface net.finmath.marketdata.model.curves.Curve
-
Create a deep copied clone.
- clone() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- clone() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
-
- 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 interface net.finmath.marketdata2.model.AnalyticModel
-
- clone() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- clone() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
-
- clone() - Method in interface net.finmath.marketdata2.model.curves.Curve
-
Create a deep copied clone.
- clone() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- clone() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
-
- clone() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- clone() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- clone() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- clone() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
-
Create and return a clone of this process.
- clone() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- clone() - Method in interface net.finmath.montecarlo.process.Process
-
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.
- clone() - Method in interface net.finmath.singleswaprate.data.DataTable
-
- clone() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- clone() - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
-
- clone() - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
-
- clone() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- clone() - Method in class net.finmath.singleswaprate.data.DataTableLinear
-
- clone() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
-
- clone() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- 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(CurveInterpolation.Point) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
-
- 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.
- ConditionalExpectationEstimator - 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.
- ConstantBarrier(AssetModelMonteCarloSimulationModel) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
-
- ConstantMaturitySwap - Class in net.finmath.singleswaprate.products
-
A constant maturity swap.
- ConstantMaturitySwap(Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.ConstantMaturitySwap
-
Create the single swap rate product.
- 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.
- ConstantNormalizer - Class in net.finmath.singleswaprate.annuitymapping
-
Constant normalizer returning the value one.
- ConstantNormalizer() - Constructor for class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
-
- Constraint - Interface in net.finmath.fouriermethod.calibration
-
Constraint base interface (scalar and multivariate)
- containsEntryFor(int, int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Returns true if the lattice contains an entry at the specified location.
- containsEntryFor(int, int) - Method in interface net.finmath.singleswaprate.data.DataTable
-
Checks whether the table has an actual entry at the specified coordinates.
- containsEntryFor(double, double) - Method in interface net.finmath.singleswaprate.data.DataTable
-
Checks whether the table has an actual entry at the specified coordinates.
- containsEntryFor(int, int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- containsEntryFor(double, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- containsEntryFor(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- containsEntryFor(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- convertCashLatticeToNormalVolatility(SwaptionDataLattice, VolatilityCubeModel) - Static method in class net.finmath.singleswaprate.Utils
-
Convert a lattice containing cash settled swaption prices to payer normal volatilities.
- convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.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, VolatilitySurface.QuotingConvention, VolatilitySurface.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(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
Convert the value of a caplet from one quoting convention to another quoting convention.
- convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
Convert the value of a caplet from one quoting convention to another quoting convention.
- convertLattice(SwaptionDataLattice.QuotingConvention, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Convert this lattice to store data in the given convention.
- convertLattice(SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Convert this lattice to store data in the given convention.
- convertMapOfTablesToLattice(Map<Integer, DataTable>, SwaptionDataLattice.QuotingConvention, LocalDate, String, String, SchedulePrototype, SchedulePrototype) - Static method in class net.finmath.singleswaprate.Utils
-
- convertOffsetCodesToTimes(String[]) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
-
- convertTableToLattice(DataTable, SwaptionDataLattice.QuotingConvention, LocalDate, String, String, SchedulePrototype, SchedulePrototype) - Static method in class net.finmath.singleswaprate.Utils
-
- CorrelatedBrownianMotion - Class in net.finmath.montecarlo
-
Provides a correlated Brownian motion from given (independent) increments
and a given matrix of factor loadings.
- CorrelatedBrownianMotion(BrownianMotion, 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.RandomVariableFromDoubleArray
-
- cos() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- cos() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- cos() - Method in interface net.finmath.stochastic.RandomVariable
-
Applies x → cos(x) to this random variable.
- cos() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- cos() - Method in class net.finmath.stochastic.Scalar
-
- createDateFromDateAndOffsetCodes(LocalDate, String[]) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
-
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
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.DiscountCurveInterpolation
-
Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
- createDiscountCurveFromDiscountFactors(String, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
- createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
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.marketdata2.model.curves.DiscountCurveInterpolation
-
- createDiscountCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationModel, double) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from forwards given by a LIBORMonteCarloModel.
- createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, Date, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
- createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
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.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, Date, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
- createDiscountCurveFromZeroRates(String, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
- createDiscountFactorsFromForwardRates(String, TimeDiscretization, double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given time discretization and forward rates.
- createDiscountFactorsFromForwardRates(String, TimeDiscretization, RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Create a discount curve from given time discretization and forward rates.
- createForwardCurveFromDiscountFactors(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and discount factors.
- createForwardCurveFromDiscountFactors(String, double[], RandomVariable[], double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and discount factors.
- createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, Date, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], double[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
- createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, Date, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], RandomVariable[], double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards.
- createForwardCurveFromForwards(String, double[], RandomVariable[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
- createForwardCurveFromForwards(String, double[], double[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
- createForwardCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationModel, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
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) - 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.RandomVariableFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFloatFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFloatFactory
-
- createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
-
- createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
-
- createRandomVariableArray(double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
-
- createRandomVariableMatrix(double[][]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
-
- createRandomVariableNonDifferentiable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createRandomVariableNonDifferentiable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
-
- createSABRVolatilityCube(String, LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel, double, double, double, double) - Static method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
-
Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility.
- createSABRVolatilityCubeParallel(String, LocalDate, SchedulePrototype, SchedulePrototype, double, double, double, double, double, double, SwaptionDataLattice, VolatilityCubeModel, String) - Static method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallelFactory
-
- createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
-
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(LocalDate, LocalDate, LocalDate, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(Date, Date, Date, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
- createScheduleFromConventions(LocalDate, LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, 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, BusinessdayCalendar, 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, BusinessdayCalendar, 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, BusinessdayCalendar, 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, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
-
ScheduleFromPeriods generation with futureCodes (in the format DEC17).
- createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String, String, BusinessdayCalendar, 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, TimeDiscretization, String) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFactory
-
- createVolatilityCubeLattice(String, LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel) - Static method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
-
Return all data points as volatilities that serve as calibration targets.
- createZeroRates(double, double[], LIBORModelMonteCarloSimulationModel) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
- CrossCurrencyTermStructureMonteCarloSimulationModel - 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 - Interface in net.finmath.marketdata.model.curves
-
The interface which is implemented by a general curve.
- Curve - Interface in net.finmath.marketdata2.model.curves
-
The interface which is implemented by a general curve.
- CurveBuilder - Interface in net.finmath.marketdata.model.curves
-
Interface of builders which allow to build curve objects by successively adding
points.
- CurveBuilder - Interface in net.finmath.marketdata2.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, Curve...) - Constructor for class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
Create a curve using one or more curves.
- CurveInterpolation - Class in net.finmath.marketdata.model.curves
-
This class represents a curve build from a set of points in 2D.
- CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, double[], double[]) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation
-
Create a curve with a given name, reference date and an interpolation method from given points
- CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation
-
Create a curve with a given name, reference date and an interpolation method.
- CurveInterpolation - Class in net.finmath.marketdata2.model.curves
-
This class represents a curveFromInterpolationPoints build from a set of points in 2D.
- CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, double[], RandomVariable[]) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation
-
Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given points
- CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation
-
Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.
- CurveInterpolation.Builder - Class in net.finmath.marketdata.model.curves
-
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
- CurveInterpolation.Builder - Class in net.finmath.marketdata2.model.curves
-
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
- CurveInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata.model.curves
-
Possible extrapolation methods.
- CurveInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata2.model.curves
-
Possible extrapolation methods.
- CurveInterpolation.InterpolationEntity - Enum in net.finmath.marketdata.model.curves
-
Possible interpolation entities.
- CurveInterpolation.InterpolationEntity - Enum in net.finmath.marketdata2.model.curves
-
Possible interpolation entities.
- CurveInterpolation.InterpolationMethod - Enum in net.finmath.marketdata.model.curves
-
Possible interpolation methods.
- CurveInterpolation.InterpolationMethod - Enum in net.finmath.marketdata2.model.curves
-
Possible interpolation methods.
- CurveInterpolation.Point - Class in net.finmath.marketdata.model.curves
-
Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.
- 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(TimeDiscretization, int, int, int, double, double) - Constructor for class net.finmath.montecarlo.GammaProcess
-
Construct a Gamma process with a given shape parameter.
- GammaProcess(TimeDiscretization, 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.
- generateSchedule(LocalDate, LocalDate, LocalDate) - Method in class net.finmath.time.SchedulePrototype
-
Generate a schedule for the given start and end date.
- generateSchedule(LocalDate, int, int) - Method in class net.finmath.time.SchedulePrototype
-
Generate a schedule with start / end date determined by an offset in months from the reference date.
- generateSchedule(LocalDate, int, int, SchedulePrototype.OffsetUnit) - Method in class net.finmath.time.SchedulePrototype
-
Generate a schedule with start / end date determined by an offset from the reference date.
- generateScheduleDescriptor(LocalDate, LocalDate) - Method in class net.finmath.time.SchedulePrototype
-
Generate a schedule descriptor for the given start and end date.
- 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.RandomVariableFromDoubleArray
-
- get(int) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- get(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- get(int) - Method in interface net.finmath.stochastic.RandomVariable
-
Evaluate at a given path or state.
- get() - Method in interface net.finmath.stochastic.RandomVariableAccumulator
-
- get(double, double) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
-
- get(int) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- get(int) - Method in class net.finmath.stochastic.Scalar
-
- getAccruedInterest(LocalDate, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
-
Returns the accrued interest of the bond for a given date.
- getAccruedInterest(double, AnalyticModel) - 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.marketdata.calibration.Solver
-
Returns the accuracy achieved in the last solver run.
- getAccuracy() - Method in class net.finmath.marketdata2.calibration.Solver
-
Returns the accuracy achieved in the last solver run.
- getAccuracy() - Method in class net.finmath.optimizer.GoldenSectionSearch
-
- getAdjustedDate(LocalDate, BusinessdayCalendar.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
-
- getAdjustedDate(LocalDate, String, BusinessdayCalendar.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
-
- getAdjustedDate(LocalDate, BusinessdayCalendar.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
Get an adjusted date for a given date.
- getAdjustedDate(LocalDate, String, BusinessdayCalendar.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
Get an adjusted date for a given date and offset code.
- getAlpha() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getAnalyticModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
-
Return the associated analytic model, a collection of market date object like discount curve, forward curve
and volatility surfaces.
- getAsArrayList() - Method in interface net.finmath.time.TimeDiscretization
-
Return a clone of this time discretization as ArrayList<Double>.
- getAsArrayList() - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getAsDoubleArray() - Method in interface net.finmath.time.TimeDiscretization
-
Return a clone of this time discretization as double[].
- getAsDoubleArray() - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getAssetValue(int, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
-
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.AssetModelMonteCarloSimulationModel
-
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(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getAssetValue(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getAssetValue(double, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- 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(AnalyticModel, 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(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getAverage(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getAverage() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getAverage() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getAverage() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getAverage() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the expectation of this random variable.
- getAverage(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the expectation of this random variable for a given probability measure (weight).
- getAverage() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getAverage(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getAverage() - Method in class net.finmath.stochastic.Scalar
-
- getAverage(RandomVariable) - Method in class net.finmath.stochastic.Scalar
-
- getBarrier() - Method in interface net.finmath.montecarlo.process.component.barrier.ProcessWithBarrier
-
- getBarrierDiracWidth() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
Deprecated.
- getBarrierDirection(int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
-
- getBarrierDirection(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier
-
The barrier direction, i.e. a (stochastic) projection vector for the components)
- getBarrierLevel(int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
-
- getBarrierLevel(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier
-
The barrier level
- getBaseCalendar() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
-
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.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.models.covariance.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.models.covariance.ExponentialDecayLocalVolatilityModel
-
Returns the base covariance model, i.e., the model providing the factor loading F
such that this model's i-th factor loading is
exp(- a t) Fi(t)
where a is the decay parameter and
Fi is the factor loading from the given covariance model.
- getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.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
-
- getBaseVolTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- 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, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsFromProducts
-
- getBasisFunctions(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsProvider
-
Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
- getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
Return the basis functions for the regression suitable for this product.
- getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
Return the basis functions for the regression suitable for this product.
- getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
- getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
-
- getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
-
Return the regression basis functions.
- getBasisFunctionsEstimator() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
-
- getBasisFunctionsPredictor() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
-
- getBasisFunctionsProviderWithForwardRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getBasisFunctionsProviderWithSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getBestFitParameters() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
-
- getBestFitParameters() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getBestFitParameters() - Method in interface net.finmath.optimizer.Optimizer
-
Get the best fit parameter vector.
- getBestFitParameters() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getBestFitParameters() - Method in interface net.finmath.optimizer.StochasticOptimizer
-
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
-
- getBeta() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getBeta() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getBoundaryAdjustment(double, double, AssetModelMonteCarloSimulationModel, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getBrownianIncrement(int, int) - Method in interface net.finmath.montecarlo.BrownianMotion
-
Return the Brownian increment for a given timeIndex.
- getBrownianIncrement(double, int) - Method in interface net.finmath.montecarlo.BrownianMotion
-
Return the Brownian increment for a given timeIndex.
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getBrownianMotion() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Returns the Brownian motion used to simulate the curve.
- getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getBrownianMotion() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getBrownianMotion() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getBuildString() - Static method in class net.finmath.information.Library
-
Return the build string of this instance of finmath-lib.
- getBusinessdayCalendar() - Method in class net.finmath.time.SchedulePrototype
-
- getCalibratedModel(Set<ParameterObject>) - Method in class net.finmath.marketdata.calibration.Solver
-
Find the model such that the equation
objectiveFunctions.getValue(model) = 0
holds.
- getCalibratedModel(Set<ParameterObject>) - Method in class net.finmath.marketdata2.calibration.Solver
-
Find the model such that the equation
objectiveFunctions.getValue(model) = 0
holds.
- getCalibration() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel
-
Solves the calibration problem thus providing a calibrated model.
- getCalibrationOutput() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
-
- getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
- getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
-
- 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.
- getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata2.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.
- getCashAverageError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the average error in cash settled swaption premiums.
- getCashAverageError(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the average error in cash settled swaption premiums at a specific node on the tenor grid.
- getCashAverageErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the average error in cash settled swaption premiums, in percent difference from the market data.
- getCashAverageErrorPercent(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the average error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
- getCashMaxError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the maximal error in cash settled swaption premiums.
- getCashMaxError(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the maximal error in cash settled swaption premiums at a specific node on the tenor grid.
- getCashMaxErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the maximal error in cash settled swaption premiums, in percent difference from the market data.
- getCashMaxErrorPercent(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the maximal error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
- getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
- getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
- getCharacteristicFunctionModel() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
-
Directly returns the characteristic function.
- getCloneBuilder() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getCloneBuilder() - Method in interface net.finmath.marketdata.model.curves.Curve
-
Returns a curve builder bases on a clone of this curve.
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
- getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- 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
-
- getCloneBuilder() - Method in interface net.finmath.marketdata2.model.curves.Curve
-
Returns a curve builder bases on a clone of this curve.
- getCloneBuilder() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- getCloneBuilder() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
-
- getCloneBuilder() - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
-
- getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
-
- getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>, ParameterTransformation) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
-
- getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>, ParameterTransformation, OptimizerFactory) - 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(LIBORMarketModel, CalibrationProduct[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
- getCloneCalibrated(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.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(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
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(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.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(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelCalibrateable
-
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(TermStructureModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
-
Return a calibrated clone of the covariance model.
- getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
-
- getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
-
- getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
-
- getCloneCalibrated(TimeSeries) - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
-
- getCloneCalibratedLegazy(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
- getCloneCalibratedLegazy(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
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.
- getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
- getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
- getCloneForModifiedParameters(double[]) - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
-
Calibration substitutes in the model the parameters of the process with calibrated ones.
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
-
- getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterObject
-
Create a clone with a modified parameter.
- getCloneForParameter(Map<ParameterObject, double[]>) - Method in interface net.finmath.marketdata.model.AnalyticModel
-
- getCloneForParameter(Map<ParameterObject, double[]>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.model.curves.Curve
-
- getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- 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
-
- getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
-
- getCloneForParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterObject
-
Create a clone with a modified parameter.
- getCloneForParameter(Map<ParameterObject, RandomVariable[]>) - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
- getCloneForParameter(Map<ParameterObject, RandomVariable[]>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
-
- getCloneForParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.model.curves.Curve
-
- getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- getCloneIndependent() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getCloneIndependent() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable
-
Returns a clone of this differentiable random variable with a new ID.
- 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.
- getCloneShifted(double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
-
- getCloneShifted(String, double) - Method in class net.finmath.marketdata2.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.marketdata2.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.marketdata2.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.
- getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata2.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(LIBORCovarianceModel) - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel
-
Create a new object implementing LIBORMarketModel, using the new covariance model.
- getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
-
Create a clone of this simulation modifying some of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- 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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
-
Create a new object implementing LIBORModel, using the new data.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
Create a clone of this simulation modifying one of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
Create a clone of this simulation modifying one of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
-
Create a new object implementing TermStructureModel, using the new data.
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
Create a clone of this simulation modifying some of its properties (if any).
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
-
Returns a clone of this model where the specified properties have been modified.
- getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
-
- getCloneWithModifiedParameters(double, double[]) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
Returns the same valuation method for different parameters (maturity and strikes).
- getCloneWithModifiedParameters(double, double[]) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- getCloneWithModifiedParameters(RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelParametricInterface
-
Return an instance of this model using a new set of parameters.
- getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.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.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
-
Create a clone of the object implementing AssetModelMonteCarloSimulationModel
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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.BrownianMotion
-
Return a new object implementing BrownianMotion
having the same specifications as this object but a different seed
for the random number generator.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- 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.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
Deprecated.
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Return a new object implementing BrownianMotion
having the same specifications as this object but a different seed
for the random number generator.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Deprecated.
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- 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(RandomVariable[], RandomVariable[], 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<RandomVariable>, List<RandomVariable>, 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(RandomVariable[], RandomVariable[], 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<RandomVariable>, List<RandomVariable>, 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(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in interface net.finmath.montecarlo.BrownianMotion
-
Return a new object implementing BrownianMotion
having the same specifications as this object but a different
time discretization.
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.GammaProcess
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Return a new object implementing BrownianMotion
having the same specifications as this object but a different
time discretization.
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel) - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel
-
Create a new object implementing ShortRateModel, using the new volatility model.
- 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(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getConditionalExpectation(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
-
- getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getConditionalExpectation(RandomVariable) - Method in interface net.finmath.stochastic.ConditionalExpectationEstimator
-
Return the conditional expectation of a given random variable.
- getConditionalExpectation(ConditionalExpectationEstimator) - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the conditional expectation using a given conditional expectation estimator.
- getConditionalExpectation(ConditionalExpectationEstimator) - Method in interface net.finmath.stochastic.RandomVariableArray
-
- getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory
-
- getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
-
- getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionFactory
-
Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.
- getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
Return the conditional expectation estimator suitable for this product.
- getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
The conditional expectation is calculated using a Monte-Carlo regression technique.
- getConstraint() - Method in interface net.finmath.fouriermethod.calibration.ScalarParameterInformation
-
Returns the constraint.
- getConstraint() - Method in class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation
-
- getConvention() - Method in class net.finmath.marketdata.model.volatilities.OptionData
-
- getConvention() - Method in interface net.finmath.singleswaprate.data.DataTable
-
Returns the convention the table understands its coordinates in.
- getConvention() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getConvention() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getCorrelationDecay() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Return the correlation decay parameter of the cube.
- getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- getCorrelationModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCoupon(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getCoupon(double, LIBORModelMonteCarloSimulationModel) - 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, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
-
Returns the coupon payment of the period with the given index.
- getCovariance(double, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getCovariance(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getCovariance(double, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Returns the instantaneous covariance calculated from factor loadings.
- getCovariance(int, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Returns the instantaneous covariance calculated from factor loadings.
- getCovariance(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getCovarianceModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel
-
Return the forward rate (LIBOR) covariance model.
- getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
Returns the term structure covariance model.
- getCurrency() - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- 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.NotionalFromComponent
-
- 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
-
- getCurrency() - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
Returns the currency string of this product.
- getCurve(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Get a curve for a given name.
- getCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModel
-
Get a curve by a given curve name.
- getCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getCurve(String) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
-
Get a curve for a given name.
- getCurve(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
Get a curve by a given curve name.
- getCurve(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getCurves() - Method in interface net.finmath.marketdata.model.AnalyticModel
-
Returns an unmodifiable map of all curves.
- getCurves() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getCurves() - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
Returns an unmodifiable map of all curves.
- getCurves() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getCurvesMap() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
-
- getDate(int) - Method in interface net.finmath.time.Tenor
-
Returns the date for the given time index.
- getDate(int) - Method in class net.finmath.time.TenorFromArray
-
- getDate() - Method in class net.finmath.timeseries.MarketData
-
- getDateFromDateAndOffsetCode(LocalDate, String) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
-
- getDateFromDateAndOffsetCode(LocalDate, String) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
Create a new date by "adding" a year fraction to a given base date.
- getDateFromFloatingPointDate(LocalDateTime, double) - Static method in class net.finmath.time.FloatingpointDate
-
Convert a floating point date to a LocalDateTime.
- getDateFromFloatingPointDate(LocalDate, double) - Static method in class net.finmath.time.FloatingpointDate
-
Convert a floating point date to a LocalDate.
- getDateRollConvention() - Method in class net.finmath.time.SchedulePrototype
-
- getDaycount(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConvention
-
Return the number of days between startDate and endDate given the
specific daycount convention.
- 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.
- getDaycountConvention() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getDaycountConvention() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- 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 interface net.finmath.time.Schedule
-
Returns the daycount convention used to calculate period lengths.
- getDaycountconvention() - Method in class net.finmath.time.ScheduleFromPeriods
-
- getDaycountConvention() - Method in class net.finmath.time.SchedulePrototype
-
- getDaycountFraction() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getDaycountFraction(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConvention
-
Return the daycount fraction corresponding to the period from startDate to endDate given the
specific daycount convention.
- 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(int) - Method in interface net.finmath.time.Tenor
-
Returns the day count fraction for the period form timeIndex to to timeIndex+1.
- getDaycountFraction(int) - Method in class net.finmath.time.TenorFromArray
-
- getDelta() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getDenominatorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
-
Returns the denominator index.
- getDescriptor(LocalDate, int) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
Return a product descriptor for a specific strike.
- getDescriptor() - Method in class net.finmath.marketdata.products.Swap
-
- getDescriptor() - Method in class net.finmath.marketdata.products.SwapLeg
-
- 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.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapLegMonteCarlo
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapMonteCarlo
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.DigitalOptionFourierMethod
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.EuropeanOptionFourierMethod
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo
-
- getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo
-
- getDescriptors(LocalDate) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
Return a collection of product descriptors for each option in the smile.
- getDimension() - Method in class net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator
-
- getDimension() - Method in class net.finmath.randomnumbers.HaltonSequence
-
- getDimension() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator
-
- getDiracDeltaApproximationDensityRegressionWidthPerStdDev() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
- getDiracDeltaApproximationMethod() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
- getDiracDeltaApproximationWidthPerStdDev() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
-
- getDiscountCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModel
-
Returns a discount curve for a given name.
- getDiscountCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getDiscountCurve() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getDiscountCurve() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getDiscountCurve(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
Returns a discount curve for a given name.
- getDiscountCurve(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getDiscountCurve() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getDiscountCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
-
Return the discount curve associated the forwards.
- getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getDiscountCurveForDiscountRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getDiscountCurveForForwardRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- 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.ForwardCurve
-
- 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.model.volatilities.SwaptionDataLattice
-
- 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
-
- getDiscountCurveName() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
-
- getDiscountCurveName() - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface
-
- getDiscountCurveName() - Method in class net.finmath.marketdata2.products.Deposit
-
- getDiscountCurveName() - Method in class net.finmath.marketdata2.products.SwapLeg
-
- getDiscountCurveName() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
Return the name of the discount curve in this descriptor.
- getDiscountCurveName() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getDiscountFactor(double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurve
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(AnalyticModel, double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurve
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
- getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getDiscountFactor(AnalyticModel, 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(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getDiscountFactor(double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
-
- getDiscountFactor(double) - Method in interface net.finmath.marketdata2.model.curves.DiscountCurveInterface
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(AnalyticModel, double) - Method in interface net.finmath.marketdata2.model.curves.DiscountCurveInterface
-
Returns the discount factor for the corresponding maturity.
- getDiscountFactor(double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
- getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
- getDiscountRate() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getDiscountRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getDiscountRate() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getDiscountRate() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getDiscountRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getDiscountRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getDisplacement() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
- getDisplacement() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getDisplacement() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getDisplacement() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getDoubleValue() - Method in class net.finmath.swing.JNumberField
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in interface net.finmath.montecarlo.model.ProcessModel
-
This method has to be implemented to return the drift, i.e.
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getDrift(int, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getDrift(int, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
Get the the drift.
- getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getDriftEuler(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getElement(int) - Method in interface net.finmath.stochastic.RandomVariableArray
-
- getElement(int) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getEnum(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.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.BusinessdayCalendar.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
-
- getEquityForwardCurve() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getExcerciseDate() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
-
Return the exercise date of the option.
- getExchangeRate(String, String, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel
-
Return the (cross curve or currency) exchange rate for a given simulation time.
- getExecutor() - Static method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
-
- getExerciseDate() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
- getExerciseDate() - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
-
- getExerciseDates() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getExerciseDates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Returns the exercise dates.
- getExerciseIndicator(LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Swaption
-
Deprecated.
- getExerciseProbabilitiesFromTimes(LocalDateTime, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
Determines the vector of exercise probabilities for a given
RandomVariable of exerciseTimes.
- getExerciseTimes() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getExtrapolationMethod() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
Returns the extrapolation method used by this curve.
- getExtrapolationMethod() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
Returns the extrapolation method used by this curveFromInterpolationPoints.
- getFactorDrift(LIBORModelMonteCarloSimulationModel, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- getFactorDrift(LIBORModelMonteCarloSimulationModel, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct
-
Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
- getFactorDrift(int, RandomVariable[]) - 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, RandomVariable[]) - 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, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getFactorLoading(double, double, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getFactorLoading(double, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
-
- getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getFactorLoading(double, double, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Return the factor loading for a given time and a given component.
- getFactorLoading(double, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Return the factor loading for a given time and component index.
- getFactorLoading(int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Return the factor loading for a given time index and component index.
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- getFactorLoading(double, double, double, TimeDiscretization, RandomVariable[], TermStructureModel) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel
-
- getFactorLoading(double, double, double, TimeDiscretization, RandomVariable[], TermStructureModel) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getFactorLoading(double, double, double, TimeDiscretization, RandomVariable[], TermStructureModel) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelInterface
-
Return the factor loading for a given time and a term structure period.
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getFactorLoading(int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.model.ProcessModel
-
This method has to be implemented to return the factor loadings, i.e.
- getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getFactorLoading(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getFactorLoading(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
This method should be overwritten and return the factor loading, i.e.
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Returns the pseudo inverse of the factor matrix.
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.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, RandomVariable[]) - 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.RandomVariableFromDoubleArray
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getFiltrationTime() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the filtration time.
- getFiltrationTime() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getFiltrationTime() - Method in class net.finmath.stochastic.Scalar
-
- getFinalMaturity() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getFirstDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping
-
Return the first derivative of the annuity mapping for the given swap rate.
- getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
-
- getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
-
- getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
-
- getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping
-
- getFirstDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.NormalizingFunction
-
Return the first derivative of the normalizing function at the given swap rate.
- getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
-
- 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 interface net.finmath.time.Schedule
-
Return the fixing converted to the internal daycounting relative
to the schedules reference date.
- getFixing(int) - Method in class net.finmath.time.ScheduleFromPeriods
-
- 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
-
- getFixingOffsetDays() - Method in class net.finmath.time.SchedulePrototype
-
- getFixingTime() - Method in class net.finmath.marketdata.products.Deposit
-
- getFixingTime() - Method in class net.finmath.marketdata2.products.Deposit
-
- getFixMetaSchedule() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
- getFixSchedule() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getFloatingPointDateFromDate(LocalDateTime, LocalDateTime) - Static method in class net.finmath.time.FloatingpointDate
-
Convert a given date to a floating point date using a given reference date.
- 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
-
- getFloatMetaSchedule() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
- getFloatSchedule() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getForward(AnalyticModel, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurve
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModel, double, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurve
-
Returns the forward for the corresponding fixing time and paymentOffset.
- getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
- getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
- getForward(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
-
- getForward(AnalyticModel, double) - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface
-
Returns the forward for the corresponding fixing time.
- getForward(AnalyticModel, double, double) - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface
-
Returns the forward for the corresponding fixing time and paymentOffset.
- getForward(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
- getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Returns the forward for the corresponding fixing time.
- getForwardCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModel
-
Returns a forward curve for a given name.
- getForwardCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getForwardCurve() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getForwardCurve(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
Returns a forward curve for a given name.
- getForwardCurve(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getForwardCurve() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- getForwardCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getForwardCurveName() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
- 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
-
- getForwardCurveName() - Method in class net.finmath.marketdata2.products.SwapLeg
-
- getForwardCurveName() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
Return the name of the forward curve in this descriptor.
- getForwardCurveName() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getForwardCurveName() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getForwardDiscountBond(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getForwardDiscountBond(double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getForwardDiscountBond(double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
-
Returns the time \( t \) forward bond derived from the numeraire, i.e., \( P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) \).
- getForwardRate(String, double, double, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel
-
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.models.HullWhiteModel
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getForwardRateCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
-
Return the initial forward rate curve.
- getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
Returns the forwards for a given vector fixing times.
- getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
Returns the forwards for a given vector fixing times.
- getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
-
Returns the forwards for a given vector fixing times.
- getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
-
Returns the forwards for a given vector fixing times.
- getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurve) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurve, DiscountCurve) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(Schedule, Schedule, ForwardCurve) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(Schedule, Schedule, ForwardCurve, AnalyticModel) - Static method in class net.finmath.marketdata.products.Swap
-
- getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.Swap
-
- getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurveInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata2.products.Swap
-
- getForwardSwapRate(Schedule, Schedule, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.Swap
-
- getForwardSwapRate(Schedule, Schedule, ForwardCurveInterface, AnalyticModel) - Static method in class net.finmath.marketdata2.products.Swap
-
- getForwardValue(double) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getForwardValue(double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getFrequency() - Method in class net.finmath.time.SchedulePrototype
-
- getGammaProcess() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- 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.RandomVariableDifferentiable
-
Returns the gradient of this random variable with respect to all its leaf nodes.
- getGradient(Set<Long>) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable
-
Returns the gradient of this random variable with respect to the given IDs.
- getGridNodesPerMoneyness() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Get a view of the locations of swaptions in this lattice.
- 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.RandomVariableFromDoubleArray
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getHistogram(double[]) - Method in interface net.finmath.stochastic.RandomVariable
-
Generates a Histogram based on the realizations stored in this random variable.
- getHistogram(int, double) - Method in interface net.finmath.stochastic.RandomVariable
-
- getHistogram(double[]) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getHistogram(int, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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(LIBORModelMonteCarloSimulationModel, BrownianMotion, double[], double, double[][], double[], double[], double[], DiscountCurve) - 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.
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getIborOisDecorrelation() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Return the IBOR vs OIS decorrelation parameter.
- getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- 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.RandomVariableDifferentiable
-
A unique id for this random variable.
- getImpliedBachelierATMOptionVolatility(RandomVariable, 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.models.BachelierModel
-
- getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getImpliedVolatility(double, AnalyticModel, VolatilitySurface.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.BrownianMotionFromRandomNumberGenerator
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.GammaProcess
-
- getIncrement(int) - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Return the increment for a given timeIndex.
- getIncrement(int, int) - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Return the increment for a given timeIndex and given factor.
- getIncrement(int, int) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getIncrement(int, int) - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- 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.
- getInitialBeta() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- getInitialCorrelationDecay() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- getInitialDisplacement() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- getInitialIborOisDecorrelation() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- getInitialParameters() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getInitialRho() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getInitialState() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getInitialState() - Method in interface net.finmath.montecarlo.model.ProcessModel
-
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.MonteCarloProcessFromProcessModel
-
- getInitialValue() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getInitialValue() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getInitialValue() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getInitialValue() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getInitialValue() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getInitialValue() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getInitialValue() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getInitialValue() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getInitialValue() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
Return the initial value of this model.
- getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
Return the initial value of this model.
- getInitialValue() - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
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
-
- getInitialVolvol() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
-
- getInstance() - Static method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getIntegratedLIBORCovariance() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel
-
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.models.LIBORMarketModelFromCovarianceModel
-
- getIntegratedLIBORCovariance() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
-
- getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
-
- getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
- getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
-
- getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
-
- getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getIntegrationDomainImagLowerBound() - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
-
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.smile.EuropeanOptionSmile
-
- getIntegrationDomainImagLowerBound() - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform
-
Return the lower bound of the imaginary part of the domain where
the characteristic function can be integrated.
- getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
-
- getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getIntegrationDomainImagUpperBound() - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
-
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.smile.EuropeanOptionSmile
-
- getIntegrationDomainImagUpperBound() - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform
-
Return the upper bound of the imaginary part of the domain where
the characteristic function can be integrated.
- getIntegrationLowerBound() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getIntegrationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getIntegrationUpperBound() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getInterpolationEntity() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
Returns the interpolation entity used by this curve.
- getInterpolationEntity() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
Returns the interpolation entity used by this curveFromInterpolationPoints.
- getInterpolationEntityForward() - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
-
Returns the special interpolation method used for this forward curve.
- getInterpolationEntityForward() - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
-
Returns the special interpolation method used for this forward curve.
- getInterpolationMethod() - Method in class net.finmath.interpolation.RationalFunctionInterpolation
-
Returns the interpolation method used.
- getInterpolationMethod() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
Returns the interpolation method used by this curve.
- getInterpolationMethod() - Method in class net.finmath.marketdata2.interpolation.RationalFunctionInterpolation
-
Returns the interpolation method used.
- getInterpolationMethod() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
Returns the interpolation method used by this curveFromInterpolationPoints.
- getInterpolationMethod() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- 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
-
- getIsParameterToCalibrate() - Method in interface net.finmath.fouriermethod.calibration.ScalarParameterInformation
-
Boolean flag for parameters that need to be calibrated.
- getIsParameterToCalibrate() - Method in class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation
-
- getIterations() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
-
- 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.marketdata2.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.Optimizer
-
Get the number of iterations.
- getIterations() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getIterations() - Method in interface net.finmath.optimizer.StochasticOptimizer
-
Get the number of iterations.
- getIterations() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
- getJumpIntensity() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getJumpIntensity() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getJumpIntensity() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getJumpSizeMean() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getJumpSizeMean() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getJumpSizeMean() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getJumpSizeStdDev() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getJumpSizeStdDev() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getJumpSizeStdDev() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getK() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getKappa() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getKappa() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getLambda() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- 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.marketdata.calibration.CalibratedCurves
-
Return the accuracy achieved in the last calibration.
- getLastAccuracy() - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
-
Return the accuracy achieved in the last calibration.
- getLastNumberOfInterations() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
-
Return the number of iterations needed to calibrate the model.
- getLastNumberOfInterations() - Method in class net.finmath.marketdata2.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.marketdata.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.marketdata2.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.modelling.descriptor.InterestRateSwapProductDescriptor
-
Return the descriptor of the payer leg of this swap.
- 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.
- getLegReceiver() - Method in class net.finmath.marketdata2.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.modelling.descriptor.InterestRateSwapProductDescriptor
-
Return the descriptor of the receiver leg of this swap.
- getLegScheduleDescriptor() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
Return the descriptor of the schedule of this product descriptor.
- getLength() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getLevel() - Method in interface net.finmath.stochastic.RandomVariableArray
-
Returns the level of the array
The level of the array is given by 1 if the elements are of type RandomVariable but not of type RandomVariableArray.
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
-
Return the forward rate at a given timeIndex and for a given liborIndex.
- getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Return the forward rate for a given simulation time index and a given forward rate index.
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getLIBOR(int, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
-
Returns the time \( t \) forward rate on the models forward curve.
- getLIBOR(LocalDateTime, LocalDateTime, LocalDateTime) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
-
Return the forward rate for a given simulation time and a given period start and period end.
- getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
-
Return the forward rate for a given simulation time and a given period start and period end.
- getLIBORForStateVariable(TimeDiscretization, RandomVariable[], double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
-
The period start corresponding to a given forward rate discretization index.
- getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Returns the period start of the specified forward rate period.
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
-
The tenor time discretization of the forward rate curve.
- getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Returns the libor period discretization as time discretization representing start and end dates of periods.
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
The forward rate time discretization associated with this model (defines the components).
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
-
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
- getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getLIBORs(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getLIBORs(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Return the forward rate curve for a given simulation time index.
- getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getLinearRegressionParameters(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
-
Return the solution x of XTX x = XT y for a given y.
- getLinearRegressionParameters(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents
-
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(TimeDiscretization, DiscountCurve, ForwardCurve) - 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(TimeDiscretization, DiscountCurve, ForwardCurve, 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(TimeDiscretization, DiscountCurve, ForwardCurve) - 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(TimeDiscretization, ForwardCurve, 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.fouriermethod.calibration.BoundConstraint
-
Return the lower bound.
- getLowerBound() - Method in interface net.finmath.fouriermethod.calibration.ScalarConstraint
-
Returns the lower bound, possibly given by Double.NEGATIVE_INFINITY.
- getLowerBound() - Method in class net.finmath.integration.AbstractRealIntegral
-
Get the lower integration bound.
- getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getLowestStrike(VolatilityCubeModel) - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Returns the lowest possible value of strike that can be evaluated by this cube.
- getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- getMaturities() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getMaturities() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all maturities for which data exists.
- getMaturities(int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all valid maturities for a given moneyness.
- getMaturities(double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all valid maturities for a given moneyness.
- getMaturities() - Method in interface net.finmath.singleswaprate.data.DataTable
-
Get a sorted set view of all maturities in the table.
- getMaturities() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getMaturities() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getMaturitiesForTermination(int) - Method in interface net.finmath.singleswaprate.data.DataTable
-
Get a sorted set view of all maturities for a speceific termination in the table.
- getMaturitiesForTermination(int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getMaturitiesForTermination(int) - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getMaturity() - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
-
- getMaturity() - Method in class net.finmath.fouriermethod.products.DigitalOption
-
- getMaturity() - Method in class net.finmath.fouriermethod.products.EuropeanOption
-
- getMaturity() - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
-
Return the maturity of the associated payoff.
- getMaturity() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
- getMaturity() - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform
-
Return the maturity of the associated payoff.
- getMaturity() - Method in class net.finmath.marketdata.model.volatilities.OptionData
-
- getMaturity() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
-
- 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
-
- getMaturity() - Method in class net.finmath.montecarlo.interestrate.products.LIBORBond
-
- 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.RandomVariableFromDoubleArray
-
- getMax() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getMax() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getMax() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the maximum value attained by this random variable.
- getMax() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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
-
- getMaxIterations() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getMaxIterations() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getMaxIterations() - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
-
- getMaxIterations() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- getMeanReversion(int) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel
-
Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
- getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
-
- getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
-
- getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- getMeanSquaredError(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getMeanSquaredError(RandomVariable[]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getMeanSquaredError(RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
-
- getMeasure() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getMeasure() - Method in class net.finmath.montecarlo.interestrate.models.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.RandomVariableFromDoubleArray
-
- getMin() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getMin() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getMin() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the minimum value attained by this random variable.
- getMin() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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.fouriermethod.calibration.CalibratedModel.OptimizationResult
-
- 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.marketdata2.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.CrossCurrencyTermStructureMonteCarloSimulationModel
-
Returns the underlying model.
- getModel() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
Returns the underlying model.
- getModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
-
Returns the underlying model.
- getModel() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getModelDescriptor() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
- getModelDescriptor() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
- getModelDescriptor() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
-
Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.
- getModelFromDescriptor(AnalyticModelDescriptor) - Method in class net.finmath.modelling.modelfactory.AnalyticModelFactory
-
- getModelFromDescriptor(AssetModelDescriptor) - Method in class net.finmath.modelling.modelfactory.AssetModelFourierMethodFactory
-
- getModelFromDescriptor(AssetModelDescriptor) - Method in class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory
-
- 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.HestonModelMonteCarloFactory
-
- getModelParameters() - Method in interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider
-
Returns a map of independent model parameters of this model.
- getModelParameters() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getMoneyness() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all levels of moneyness for which data exists.
- getMoneynessAsOffsets() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all levels of moneyness for which data exists.
- getMoneynessPerGridNode() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Get a view of the locations of swaptions in this lattice.
- 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(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
- getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getMonteCarloWeights(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
This method returns the weights of a weighted Monte Carlo method (the probability density).
- getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
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 interface net.finmath.montecarlo.process.Process
-
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.marketdata.model.bond.BondCurve
-
- getName() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
- getName() - Method in interface net.finmath.marketdata.model.curves.Curve
-
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 class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getName() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface
-
Returns the name of the volatility surface.
- getName() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
-
- getName() - Method in interface net.finmath.marketdata2.model.curves.Curve
-
Get the name of the curve.
- getName() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- getName() - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface
-
Returns the name of the volatility surface.
- getName() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
-
The method returns a short name for this calibration product.
- getName() - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
-
Returns the name of the index.
- getName() - Method in interface net.finmath.singleswaprate.data.DataTable
-
- getName() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getName() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getName() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getName() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getName() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getName() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getName() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getName() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Returns the name of the volatility cube.
- getName() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- 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.AcceptanceRejectionRandomNumberGenerator
-
- 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.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, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
-
Calculates the notional at the end of a period, given a period.
- getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
-
- getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
-
- getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
-
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
-
Calculates the notional at the start of a period, given a period.
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
-
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
-
- getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
-
- getNotionals() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
Return the notionals per period of this descriptor.
- getNotionals() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getNu() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getNu() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getNu() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getNumberOfAssets() - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
-
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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getNumberOfAssets() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
This method is just a synonym to getNumberOfLibors
- getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getNumberOfComponents() - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Returns the number of components
- getNumberOfComponents() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getNumberOfComponents() - Method in interface net.finmath.montecarlo.process.Process
-
- getNumberOfComponents() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getNumberOfElements() - Method in interface net.finmath.stochastic.RandomVariableArray
-
- getNumberOfElements() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getNumberOfFactors() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianBridge
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.BrownianMotion
-
Returns the number of factors.
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.GammaProcess
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Returns the number of factors.
- getNumberOfFactors() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelInterface
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel
-
Return the number of factors.
- getNumberOfFactors() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Returns the number of factors m, i.e., the number of independent Brownian drivers.
- getNumberOfFactors() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getNumberOfFactors() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getNumberOfFactors() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- 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.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
-
Get the number of LIBORs in the LIBOR discretization.
- getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- 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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianBridge
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.BrownianMotion
-
Returns the number of paths.
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.GammaProcess
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Returns the number of paths.
- getNumberOfPaths() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
Returns the numberOfPaths.
- getNumberOfPaths() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getNumberOfPaths() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getNumberOfPaths() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getNumberOfPeriods() - Method in class net.finmath.modelling.descriptor.ScheduleDescriptor
-
The number of periods any schedule from this descriptor will have.
- getNumberOfPeriods() - Method in class net.finmath.time.RegularSchedule
-
- getNumberOfPeriods() - Method in interface net.finmath.time.Schedule
-
Returns the number of periods.
- getNumberOfPeriods() - Method in class net.finmath.time.ScheduleFromPeriods
-
- getNumberOfThreads() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getNumberOfThreads() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getNumberOfThreads() - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
-
- getNumberOfThreads() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- getNumberOfTimePoints() - Method in interface net.finmath.timeseries.TimeSeries
-
- getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeriesFromArray
-
- getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeriesView
-
- getNumberOfTimes() - Method in interface net.finmath.time.TimeDiscretization
-
- getNumberOfTimes() - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getNumberOfTimeSteps() - Method in interface net.finmath.time.TimeDiscretization
-
- getNumberOfTimeSteps() - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getNumeraire(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
-
Returns the numeraire associated with the valuation measure used by this model.
- getNumeraire(double) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
-
Returns the numeraire associated with the valuation measure used by this model.
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- 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(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getNumeraire(double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getNumeraire(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
Return the numeraire at a given time.
- getNumeraire(LocalDateTime) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
-
Return the numeraire at a given time.
- getNumeraire(double) - Method in interface net.finmath.montecarlo.model.ProcessModel
-
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
-
- getNumeraireAdjustments() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getNumerairetUnAdjusted(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getNumerairetUnAdjustedAtLIBORIndex(int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- 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(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
-
- getObjectsToModifyForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
-
- getOffsetCodeFromCurveName(String) - Static method in class net.finmath.time.SchedulePrototype
-
Determines the offset code of a forward contract from the name of a forward curve.
- getOffsetCodeFromSchedule(Schedule) - Static method in class net.finmath.time.SchedulePrototype
-
Determines the offset code of a forward contract from a schedule.
- 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.RandomVariableFromDoubleArray
-
- getOperator() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getOperator() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getOperator() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the operator path → this.get(path) corresponding to this random variable.
- getOperator() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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(Optimizer.ObjectiveFunction, double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactory
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactory
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactory
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
-
- getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactory
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactory
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactory
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
-
- getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
-
- getOption(double) - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
-
- 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.marketdata.calibration.ParameterAggregation
-
- getParameter() - Method in interface net.finmath.marketdata.calibration.ParameterObject
-
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.CurveFromProductOfCurves
-
- getParameter() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- 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.marketdata2.calibration.ParameterAggregation
-
- getParameter() - Method in interface net.finmath.marketdata2.calibration.ParameterObject
-
Get the current parameter associated with the state of the objects.
- getParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterTransformation
-
Return the original parameter for the given (unbounded) solver parameter.
- getParameter() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- getParameter() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
-
- getParameter() - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
Get the parameters of determining this parametric
volatility model.
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
-
- getParameter() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
-
Get the parameters of determining this parametric
volatility model.
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelParametricInterface
-
Get the parameters of determining this parametric
covariance model.
- getParameter() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
-
- getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
-
- getParameter() - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
-
Get the parameters of determining this parametric
covariance model.
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
-
- getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
- getParameterAsDouble() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
-
Get the parameters of determining this parametric
volatility model.
- getParameterIndex(double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- getParameterIndex(double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- getParameterLowerBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
- getParameterLowerBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
- getParameterLowerBounds() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
-
Extracts parameter lower bounds for the optimizer factory.
- 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.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getParameters() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Returns a map with all implementation dependent parameters of this volatility cube.
- getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- 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
-
- getParameterUpperBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
-
- getParameterUpperBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
-
- getParameterUpperBounds() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
-
Extracts parameter upper bounds for the optimizer factory.
- getPayment() - Method in class net.finmath.time.Period
-
- getPayment(int) - Method in class net.finmath.time.RegularSchedule
-
- getPayment(int) - Method in interface net.finmath.time.Schedule
-
Return the payment date converted to the internal daycounting relative
to the schedules reference date.
- getPayment(int) - Method in class net.finmath.time.ScheduleFromPeriods
-
- getPaymentBusinessdayCalendar() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
- getPaymentBusinessdayCalendar() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
-
- getPaymentDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getPaymentDateRollConvention() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
- getPaymentDateRollConvention() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
-
- 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.marketdata.model.curves.AbstractForwardCurve
-
- getPaymentOffset(double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurve
-
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
-
- getPaymentOffset(double) - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
-
- getPaymentOffset(double) - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface
-
Returns the payment offset associated with this forward curve and a corresponding fixingTime.
- getPaymentOffsetCode() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
-
- getPaymentOffsetCode() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
-
- getPaymentOffsetDays() - Method in class net.finmath.time.SchedulePrototype
-
- getPeriod(int) - Method in class net.finmath.time.RegularSchedule
-
- getPeriod(int) - Method in interface net.finmath.time.Schedule
-
Return the period for a given period index.
- getPeriod(int) - Method in class net.finmath.time.ScheduleFromPeriods
-
- 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 interface net.finmath.time.Schedule
-
Return the period end date converted to the internal daycounting relative
to the schedules reference date.
- getPeriodEnd(int) - Method in class net.finmath.time.ScheduleFromPeriods
-
- getPeriodEndTime() - Method in class net.finmath.marketdata.products.Deposit
-
- getPeriodEndTime() - Method in class net.finmath.marketdata2.products.Deposit
-
- getPeriodIndex(double) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodIndex(LocalDate) - Method in class net.finmath.time.RegularSchedule
-
- getPeriodIndex(double) - Method in interface net.finmath.time.Schedule
-
Return the index of the period which contains the given time point.
- getPeriodIndex(LocalDate) - Method in interface net.finmath.time.Schedule
-
Return the index of the period which contains the given date.
- getPeriodIndex(double) - Method in class net.finmath.time.ScheduleFromPeriods
-
- getPeriodIndex(LocalDate) - Method in class net.finmath.time.ScheduleFromPeriods
-
- getPeriodLength(LIBORModelMonteCarloSimulationModel, double) - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
-
- 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 interface net.finmath.time.Schedule
-
Return the period length for a given period index.
- getPeriodLength(int) - Method in class net.finmath.time.ScheduleFromPeriods
-
- 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.modelling.descriptor.ScheduleDescriptor
-
The periods of a schedule generated from this descriptor.
- getPeriods() - Method in class net.finmath.time.RegularSchedule
-
- getPeriods() - Method in interface net.finmath.time.Schedule
-
Returns the array of periods.
- getPeriods() - Method in class net.finmath.time.ScheduleFromPeriods
-
- 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 interface net.finmath.time.Schedule
-
Return the period start date converted to the internal daycounting relative
to the schedules reference date.
- getPeriodStart(int) - Method in class net.finmath.time.ScheduleFromPeriods
-
- 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.
- getPhysicalAverageError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the average error in physically settled swaption premiums.
- getPhysicalAverageErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the average error in physically settled swaption premiums, in percent difference from the market data.
- getPhysicalMaxError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the maximal error in physically settled swaption premiums.
- getPhysicalMaxErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
-
Get the maximal error in physically settled swaption premiums, in percent difference from the market data.
- getPoint(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getPoints() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
Returns the interpolation points.
- getPoints() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getPreferedValueIncrement() - Method in class net.finmath.swing.JNumberField
-
- getPriority() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- getProcess() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel
-
- getProcess() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getProcess() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getProcess() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getProcess() - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
-
- getProcess() - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
- getProcess() - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Get the numerical scheme used to generate the stochastic process.
- getProcessTimeDiscretization(LocalDateTime) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getProcessTimeDiscretization(LocalDateTime) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
-
- getProcessTimeDiscretization(LocalDateTime) - Method in interface net.finmath.montecarlo.process.ProcessTimeDiscretizationProvider
-
Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.
- getProcessValue(int, int) - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
- getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
This method returns the realization of the process at a certain time index.
- 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 interface net.finmath.montecarlo.process.Process
-
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.
- getProduct() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- getProductDescriptor(File) - Method in class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser
-
- getProductDescriptor(File) - Method in class net.finmath.modelling.descriptor.xmlparser.FPMLParser
-
- getProductDescriptor(File) - Method in interface net.finmath.modelling.descriptor.xmlparser.XMLParser
-
Parse a product descriptor from a file.
- 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 class net.finmath.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel
-
- 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.InterestRateAnalyticProductFactory
-
- 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.SingleAssetFourierProductFactory
-
- getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory
-
- getProducts() - Method in class net.finmath.marketdata.products.Portfolio
-
Returns the list of products as an unmodifiable list.
- getProducts() - Method in class net.finmath.marketdata2.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, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getQuantile(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getQuantile(double) - Method in interface net.finmath.stochastic.RandomVariable
-
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, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
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.RandomVariableArrayImplementation
-
- getQuantile(double, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getQuantile(double) - Method in class net.finmath.stochastic.Scalar
-
- getQuantile(double, RandomVariable) - 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.RandomVariableFromDoubleArray
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getQuantileExpectation(double, double) - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the expectation over a quantile for this given random variable.
- getQuantileExpectation(double, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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.marketdata.model.volatilities.AbstractVolatilitySurface
-
- getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
- getQuotingConvention() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface
-
Return the default quoting convention of this surface.
- getQuotingConvention() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- getQuotingConvention() - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface
-
Return the default quoting convention of this surface.
- getRandomVariable() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- 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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianBridge
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.BrownianMotion
-
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 BrownianMotion.
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- 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.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.IndependentIncrements
-
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 BrownianMotion.
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Return a random variable initialized with a constant using the models random variable factory.
- getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
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 MonteCarloSimulationModel.
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getRate(AnalyticModel) - 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(AnalyticModel) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
-
Return the par FRA rate for a given curve.
- getRate(AnalyticModel) - Method in class net.finmath.marketdata2.products.Deposit
-
Return the deposit rate implied by the given model's curve.
- getRate() - Method in class net.finmath.marketdata2.products.Deposit
-
- getRate(AnalyticModel) - Method in class net.finmath.marketdata2.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.RandomVariableFromDoubleArray
-
- getRealizations() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getRealizations() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getRealizations() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns a vector representing the realization of this random variable.
- getRealizations() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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.RandomVariableFromDoubleArray
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getRealizationsStream() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns a stream of doubles corresponding to the realizations of this random variable.
- getRealizationsStream() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getRealizationsStream() - Method in class net.finmath.stochastic.Scalar
-
- getRecoveryRate() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getReferenceCubeName() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getReferenceCubeName() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- getReferenceCurve() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getReferenceDate() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getReferenceDate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getReferenceDate() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getReferenceDate() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getReferenceDate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
Returns the reference date of the curves of this model.
- 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.Curve
-
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 class net.finmath.marketdata.model.volatilities.OptionData
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
- getReferenceDate() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface
-
Return the reference date of this surface, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
-
- getReferenceDate() - Method in interface net.finmath.marketdata2.model.curves.Curve
-
Return the reference date of this curve, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
-
- getReferenceDate() - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface
-
Return the reference date of this surface, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
-
- getReferenceDate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getReferenceDate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getReferenceDate() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
-
- getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
-
- getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getReferenceDate() - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
- getReferenceDate() - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Returns the model's date corresponding to the time discretization's \( t = 0 \).
- getReferenceDate() - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
Returns the model's date corresponding to the time discretization's \( t = 0 \).
- getReferenceDate() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getReferenceDate() - Method in interface net.finmath.singleswaprate.data.DataTable
-
The reference date of the table.
- getReferenceDate() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getReferenceDate() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Return the reference date of this cube, i.e. the date
associated with t=0.
- getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- getReferenceDate() - Method in class net.finmath.time.RegularSchedule
-
- getReferenceDate() - Method in interface net.finmath.time.Schedule
-
Returns the reference data of this schedule.
- getReferenceDate() - Method in class net.finmath.time.ScheduleFromPeriods
-
- getReferenceDate() - Method in interface net.finmath.time.Tenor
-
- getReferenceDate() - Method in class net.finmath.time.TenorFromArray
-
- getReferencePoints() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getRegressionCoefficients(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.LinearRegression
-
Get the vector of regression coefficients.
- getRegressionCurve() - Method in class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation
-
Returns the curve resulting from the local linear regression with discrete kernel.
- getReplicationLowerBound() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getReplicationLowerBound() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getReplicationLowerBound() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- getReplicationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getReplicationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getReplicationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- getReplicationUpperBound() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
-
- getReplicationUpperBound() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
-
- getReplicationUpperBound() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
-
- getRho() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getRho() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getRho() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getRhoTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getRiskFreeRate() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getRiskFreeRate() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
Returns the risk free rate parameter of this model.
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- 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.AbstractBusinessdayCalendar
-
- getRolledDate(LocalDate, int) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar
-
Find a new date by adding the given number of business days to a given base date.
- getRootMeanSquaredError() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
-
- getRootMeanSquaredError() - Method in class net.finmath.optimizer.LevenbergMarquardt
-
- getRootMeanSquaredError() - Method in interface net.finmath.optimizer.Optimizer
-
- getRootMeanSquaredError() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
-
- getRootMeanSquaredError() - Method in interface net.finmath.optimizer.StochasticOptimizer
-
- 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.RandomVariableFromDoubleArray
-
- getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getSampleVariance() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the sample variance of this random variable, i.e.,
V * size()/(size()-1) where V = getVariance().
- getSampleVariance() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- 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.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
-
- getScaledTenorTime(double, double) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
-
- getScaledTenorTime(double, double) - Method in class net.finmath.montecarlo.interestrate.models.covariance.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.marketdata.model.bond.Bond
-
- getSchedule() - Method in class net.finmath.marketdata.products.Deposit
-
- getSchedule() - Method in class net.finmath.marketdata.products.SwapLeg
-
- getSchedule() - Method in class net.finmath.marketdata2.products.Deposit
-
- getSchedule() - Method in class net.finmath.marketdata2.products.SwapLeg
-
- getSchedule(LocalDate) - Method in class net.finmath.modelling.descriptor.ScheduleDescriptor
-
Generate a schedule relative to the given reference date.
- getScheduleMetaData() - Method in interface net.finmath.singleswaprate.data.DataTable
-
- getScheduleMetaData() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getScheduleMetaData() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getScheme() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getScheme() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getSecondDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping
-
Return the second derivative of the annuity mapping for the given swap rate.
- getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
-
- getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
-
- getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
-
- getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping
-
- getSecondDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.NormalizingFunction
-
Return the second derivative of the normalizing function at the given swap rate.
- getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
-
- getSeed() - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getSeed() - Method in class net.finmath.montecarlo.GammaProcess
-
- getSeed() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getSeed() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getShortPeriodConvention() - Method in class net.finmath.time.SchedulePrototype
-
- getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.models.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.models.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.models.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.models.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.
- getSigma() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getSigma() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getSigma() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getSigma() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getSimulationTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- getSmile() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
-
- getSmile(double) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getSolverParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation
-
Return the (unbounded) solver parameter for the given original parameter.
- getSolverParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterTransformation
-
Return the (unbounded) solver parameter for the given original parameter.
- getSpread(double, Curve, AnalyticModel) - 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
-
Returns the constant spread, , if the spread of this leg is constant.
- getSpread() - Method in class net.finmath.marketdata2.products.SwapLeg
-
- getSpreadCurve() - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getSpreads() - Method in class net.finmath.marketdata.products.SwapLeg
-
- getSpreads() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
-
Return the spreads per period of this descriptor.
- getStandardDeviation() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardDeviation() - Method in interface net.finmath.stochastic.RandomVariable
-
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(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
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.RandomVariableArrayImplementation
-
- getStandardDeviation(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getStandardDeviation() - Method in class net.finmath.stochastic.Scalar
-
- getStandardDeviation(RandomVariable) - 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(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getStandardError() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getStandardError() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getStandardError() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getStandardError() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getStandardError() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the standard error (discretization error) of this random variable.
- getStandardError(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the standard error (discretization error) of this random variable.
- getStandardError() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getStandardError(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getStandardError() - Method in class net.finmath.stochastic.Scalar
-
- getStandardError(RandomVariable) - 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.models.LIBORMarketModelWithTenorRefinement
-
- getStateVariableForPeriod(TimeDiscretization, RandomVariable[], double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
-
- getStochasticDriver() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
-
- getStochasticDriver() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
-
- getStrike() - Method in class net.finmath.marketdata.model.volatilities.OptionData
-
- 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
-
- getStrikeRate() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
-
Return the strike rate of the option.
- getStrikes() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
- getStrikes() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
-
- getStrikes() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
-
- getStrikes() - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap
-
- getSurface() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getSurvivalProbabilityCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
-
- getSwap() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getSwapAnnuity(TimeDiscretization, DiscountCurve) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(TimeDiscretization, ForwardCurve) - 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(Schedule, DiscountCurve) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(Schedule, ForwardCurve) - 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, Schedule, DiscountCurve, AnalyticModel) - Static method in class net.finmath.marketdata.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(TimeDiscretization, DiscountCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(TimeDiscretization, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity
-
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
- getSwapAnnuity(Schedule, DiscountCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapAnnuity(Schedule, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity
-
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
- getSwapAnnuity(double, Schedule, DiscountCurveInterface, AnalyticModel) - Static method in class net.finmath.marketdata2.products.SwapAnnuity
-
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
- getSwapEndDate() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getSwapPeriodLength() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
- getSwapPeriodLength() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getSwapProductDescriptor(File) - Method in class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser
-
Parse a product descriptor from a file containing a swap trade.
- getSwapRateDerivative(TimeDiscretization, AnalyticModel, DiscountCurve, ForwardCurve) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.
- 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.models.LIBORMarketModelFromCovarianceModel
-
Return the swaption market data used for calibration (if any, may be null).
- getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
-
Return the swaption market data used for calibration (if any, may be null).
- getSwaptionType() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- 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.RandomVariableDifferentiable
-
Returns the tangents of this random variable with respect to all its dependent nodes.
- getTangents(Set<Long>) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable
-
Returns the tangents of this random variable with respect to the given dependent node IDs (if dependent).
- getTargetValue() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- getTenor() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
- getTenor() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getTenors() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all tenors for which data exists.
- getTenors(int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all valid tenors for a given moneyness and maturity.
- getTenors(double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return all valid tenors for a given moneyness and maturity.
- getTerminations() - Method in interface net.finmath.singleswaprate.data.DataTable
-
Get a sorted set view of all terminations in the table.
- getTerminations() - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getTerminations() - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getTerminationsForMaturity(int) - Method in interface net.finmath.singleswaprate.data.DataTable
-
Get a sorted set view of all terminations for a specific maturity in the table.
- getTerminationsForMaturity(int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getTerminationsForMaturity(int) - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getTheta() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getTheta() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
-
- getTheta() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getTheta() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
-
- getTheta() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getTickSize() - Method in interface net.finmath.time.TimeDiscretization
-
Returns the smallest time span distinguishable in this time discretization.
- getTickSize() - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTime() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
-
- 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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getTime(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getTime(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getTime(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getTime(int) - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
Return the simulation time for a given time index.
- getTime(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
Returns the time for a given time index.
- getTime(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getTime(int) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getTime(int) - Method in interface net.finmath.montecarlo.process.Process
-
- getTime(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
Returns the time for a given simulation time index.
- getTime(int) - Method in interface net.finmath.time.TimeDiscretization
-
Returns the time for the given time index.
- getTime(int) - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTime(int) - Method in interface net.finmath.timeseries.TimeSeries
-
- getTime(int) - Method in class net.finmath.timeseries.TimeSeriesFromArray
-
- 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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianBridge
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.BrownianMotion
-
Returns the time discretization used for this set of time-discrete Brownian increments.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionLazyInit
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionView
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.GammaProcess
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.IndependentIncrements
-
Returns the time discretization used for this set of time-discrete Brownian increments.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel
-
The simulation time discretization associated with this model.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
The simulation time discretization associated with this model.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel
-
Returns the time discretization \( \{ t_{i} \} \) associated
with the piecewise constant functions.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.JumpProcessIncrements
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
Get the time discretization of the model (simulation time).
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.model.ProcessModel
-
Returns the time discretization of the model parameters.
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
Returns the timeDiscretizationFromArray.
- getTimeDiscretization() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getTimeDiscretization() - Method in interface net.finmath.montecarlo.process.Process
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
-
- getTimeDiscretization() - Method in class net.finmath.montecarlo.VarianceGammaProcess
-
- getTimeIndex(double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- getTimeIndex(double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- 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.assetderivativevaluation.MonteCarloVarianceGammaModel
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.model.AbstractProcessModel
-
Return the time index associated for the given simulation time.
- getTimeIndex(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
-
Returns the time index for a given time.
- getTimeIndex(double) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
-
- getTimeIndex(double) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
-
- getTimeIndex(double) - Method in interface net.finmath.montecarlo.process.Process
-
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 interface net.finmath.time.TimeDiscretization
-
Returns the time index for the given time.
- getTimeIndex(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTimeIndexNearestGreaterOrEqual(double) - Method in interface net.finmath.time.TimeDiscretization
-
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 : timeDiscretizationFromArray[i] ≥ time
where timeDiscretizationFromArray[i] ≤ timeDiscretizationFromArray[j]).
- getTimeIndexNearestGreaterOrEqual(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTimeIndexNearestLessOrEqual(double) - Method in interface net.finmath.time.TimeDiscretization
-
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 : timeDiscretizationFromArray[i] ≤ time
where timeDiscretizationFromArray[i] ≤ timeDiscretizationFromArray[j]).
- getTimeIndexNearestLessOrEqual(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTimeScaling() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getTimeShiftedTimeDiscretization(double) - Method in interface net.finmath.time.TimeDiscretization
-
Return a new time discretization where all time points have been shifted by
a given time shift.
- getTimeShiftedTimeDiscretization(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTimeStep(int) - Method in interface net.finmath.time.TimeDiscretization
-
Returns the time step from the given time index to the next one.
- getTimeStep(int) - Method in class net.finmath.time.TimeDiscretizationFromArray
-
- getTimeToMaturityDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- 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.RandomVariableFromDoubleArray
-
- getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getTypePriority() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the type priority.
- getTypePriority() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getTypePriority() - Method in class net.finmath.stochastic.Scalar
-
- getUnderlying() - Method in class net.finmath.marketdata.model.volatilities.OptionData
-
- getUnderlying() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
-
- getUnderlyingName() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
- getUnderlyingName() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
-
- getUnderlyingSwap() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
-
Return the descriptor of the underlying swap.
- getUnderlyingTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getUpperBound() - Method in class net.finmath.fouriermethod.calibration.BoundConstraint
-
Return the upper bound.
- getUpperBound() - Method in interface net.finmath.fouriermethod.calibration.ScalarConstraint
-
Returns the upper bound, possibly given by Double.POSITIVE_INFINITY.
- getUpperBound() - Method in class net.finmath.integration.AbstractRealIntegral
-
Get the upper integration bound.
- 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, Model) - Method in interface net.finmath.finitedifference.products.FiniteDifference1DProduct
-
- getValue(double, double, DoubleUnaryOperator) - Method in class net.finmath.finitedifference.solvers.FDMThetaMethod
-
- getValue(double, Model) - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
-
- getValue(CharacteristicFunctionModel) - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
-
- getValue(double, Model) - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
-
- getValue(CharacteristicFunctionModel) - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, CharacteristicFunctionModel) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
-
- getValue(double, CharacteristicFunctionModel) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
-
- getValue(double, CharacteristicFunctionModel) - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform
-
Return the value of a family of options with the same maturity for different strikes.
- getValue(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation
-
Get an interpolated value for a given argument x.
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
-
- getValue(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
-
- getValue(AnalyticModel, 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 interface net.finmath.marketdata.model.curves.Curve
-
Returns the value for the time using the interpolation method associated with this curve.
- getValue(AnalyticModel, double) - Method in interface net.finmath.marketdata.model.curves.Curve
-
Returns the value for the time using the interpolation method associated with this curve
within a given context, i.e., a model.
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
-
- getValue() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
-
- getValue(double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
-
- getValue(AnalyticModel, 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, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
-
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
-
- getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
-
- getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
-
- getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
-
- getValue() - Method in class net.finmath.marketdata.model.volatilities.OptionData
-
- getValue(double, double) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
-
- getValue(double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return the value in the quoting convention of this lattice.
- getValue(int, int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return the value in the quoting convention of this lattice.
- getValue(String, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return the value in the quoting convention of this lattice.
- getValue(double, double, double, SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return the value in the given quoting convention.
- getValue(int, int, int, SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return the value in the given quoting convention.
- getValue(String, int, SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
-
Return the value in the given quoting convention.
- getValue(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getValue(double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(double, Model) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
-
- getValue(AnalyticModel) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
-
- getValue(double, AnalyticModel) - Method in interface net.finmath.marketdata.products.AnalyticProduct
-
Return the valuation of the product using the given model.
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Cap
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Cashflow
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Deposit
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Forward
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.MarketForwardRateAgreement
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Performance
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Portfolio
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Swap
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.SwapAnnuity
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.SwapLeg
-
- getValue(double) - Method in class net.finmath.marketdata2.interpolation.RationalFunctionInterpolation
-
Get an interpolated value for a given argument x.
- getValue(double) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
-
- getValue(double) - Method in interface net.finmath.marketdata2.model.curves.Curve
-
Returns the value for the time using the interpolation method associated with this curve.
- getValue(AnalyticModel, double) - Method in interface net.finmath.marketdata2.model.curves.Curve
-
Returns the value for the time using the interpolation method associated with this curve
within a given context, i.e., a model.
- getValue(double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
-
- getValue(double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
-
- getValue(double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface
-
Returns the price or implied volatility for the corresponding maturity and strike.
- getValue(double, Model) - Method in class net.finmath.marketdata2.products.AbstractAnalyticProduct
-
- getValue(AnalyticModel) - Method in class net.finmath.marketdata2.products.AbstractAnalyticProduct
-
- getValue(double, AnalyticModel) - Method in interface net.finmath.marketdata2.products.AnalyticProduct
-
Return the valuation of the product using the given model.
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Cashflow
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Deposit
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Forward
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.ForwardRateAgreement
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.MarketForwardRateAgreement
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Performance
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Portfolio
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Swap
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.SwapAnnuity
-
- getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.SwapLeg
-
- getValue(double, Model) - Method in interface net.finmath.modelling.Product
-
Return the valuation of the product using the given model.
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapMonteCarlo
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo
-
- getValue(double, Model) - Method in class net.finmath.modelling.UnsupportedProduct
-
- getValue(double, AnalyticModel) - Method in class net.finmath.modelling.UnsupportedProduct
-
- getValue(double, Model) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValue(MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
-
- getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
-
- getValue(double, AssetModelMonteCarloSimulationModel) - 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, AssetModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.assetderivativevaluation.products.AssetMonteCarloProduct
-
- getValue(double, AssetModelMonteCarloSimulationModel) - 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, AssetModelMonteCarloSimulationModel) - 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, AssetModelMonteCarloSimulationModel) - 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, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
-
- getValue(double, AssetModelMonteCarloSimulationModel) - 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, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOptionDeltaLikelihood
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationModel) - 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, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaLikelihood
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwise
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwiseForGeometricModel
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaLikelihood
-
Calculates the value of the option under a given model.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaLikelihood
-
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise
-
Calculates the value of the option under a given model.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise
-
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoLikelihood
-
Calculates the value of the option under a given model.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoLikelihood
-
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoPathwise
-
Calculates the value of the option under a given model.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoPathwise
-
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise
-
Calculates the theta of the option under a given model.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise
-
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaLikelihood
-
Calculates the value of the option under a given model.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaLikelihood
-
- getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise
-
Calculates the vega of the option under a given model using the pathwise method.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise
-
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio
-
- getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.LocalRiskMinimizingHedgePortfolio
-
- getValue(double, Model) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
-
- getValue(double, HybridAssetLIBORModelMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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(ForwardCurve, 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.DateIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.MinIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceOnScheduleIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.PowIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.ProductIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.LIBORBond
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SimpleCappedFlooredFloatingRateBond
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Swap
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwapLeg
-
- getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation
-
- getValue(double, LIBORMarketModelFromCovarianceModel) - 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, LIBORModelMonteCarloSimulationModel) - 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(ForwardCurve, 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionATM
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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(ForwardCurve, 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, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
-
- getValue(double, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - 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, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(double, Model) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
- getValue(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
- getValue(MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value of the product under the specified model.
- getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.products.PortfolioMonteCarloProduct
-
- getValue(double) - Method in interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping
-
Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
- getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
-
- getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
-
- getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
-
- getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping
-
- getValue(double) - Method in interface net.finmath.singleswaprate.annuitymapping.NormalizingFunction
-
Return the value of the normalizing function for the given swap rate.
- getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
-
- getValue(int, int) - Method in interface net.finmath.singleswaprate.data.DataTable
-
Returns the value of the table at a given time.
- getValue(double, double) - Method in interface net.finmath.singleswaprate.data.DataTable
-
Returns the value of the table at a given time.
- getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getValue(DataTableBasic.DoubleKey) - Method in class net.finmath.singleswaprate.data.DataTableBasic
-
- getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
-
- getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
-
- getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
-
- getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
-
- getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
-
- getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLinear
-
- getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLinear
-
- getValue(AnalyticModel, double) - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
-
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
-
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
-
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
-
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
-
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Return the volatility at the specified coordinates in the desired quotation.
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
-
Return the volatility at the specified coordinates in the desired quotation.
- getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
-
- getValue(double, AnalyticModel) - Method in class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
-
- getValue(double, Model) - Method in class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
-
- getValue(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
-
Return the valuation of the product at time 0 using the given model.
- getValue(double, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getValue(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
Return the valuation of the product using the given model.
- getValue(double, VolatilityCubeModel) - Method in interface net.finmath.singleswaprate.products.AnalyticVolatilityCubeProduct
-
Return the valuation of the product using the given model.
- getValue() - Method in class net.finmath.swing.JNumberField
-
- getValue(String) - Method in class net.finmath.timeseries.MarketData
-
- getValue(int) - Method in interface net.finmath.timeseries.TimeSeries
-
- getValue(int) - Method in class net.finmath.timeseries.TimeSeriesFromArray
-
- getValue(int) - Method in class net.finmath.timeseries.TimeSeriesView
-
- getValueAsPrice(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Cap
-
Returns the value of this product under the given model.
- getValueAtLowerBoundary(FiniteDifference1DModel, double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DBoundary
-
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
-
- getValueAtUpperBoundary(FiniteDifference1DModel, double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DBoundary
-
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
-
- getValueForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- getValueOfLegAnalytic(double, LIBORModelMonteCarloSimulationModel, Schedule, boolean, double, double) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
-
Determines the time \( t \)-measurable value of a swap leg (can handle fix or float).
- getValues(double, Model) - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
-
- getValues(double, Model) - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
-
- getValues(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
-
Return a vector of values corresponding to a given vector of times.
- getValues(double[]) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
-
Return a vector of values corresponding to a given vector of times.
- getValues(double, Model) - Method in interface net.finmath.modelling.Product
-
Return the valuation of the product using the given model.
- getValues(double, Model) - Method in class net.finmath.modelling.UnsupportedProduct
-
- getValues(double, Model) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValues(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValues(MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValues(double, Model) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
-
- getValues() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
Returns the underlying values.
- getValues() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
Returns the underlying values.
- getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
-
- getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
-
- getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
-
- getValues(double, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
-
Calculates the squared curvature of the LIBOR instantaneous variance.
- getValues(double, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
-
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, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
-
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, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
-
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, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
-
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, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct
-
This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
- getValues(double, Model) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
- getValues(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value of the product under the specified model and other information in a key-value map.
- getValues(MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value of the product under the specified model and other information in a key-value map.
- getValues() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the underlying values and a random variable.
- getValues() - Method in interface net.finmath.timeseries.TimeSeries
-
- getValues() - Method in class net.finmath.timeseries.TimeSeriesFromArray
-
- getValues() - Method in class net.finmath.timeseries.TimeSeriesView
-
- getValuesForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValuesForModifiedData(double, MonteCarloSimulationModel, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValuesForModifiedData(MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValuesForModifiedData(MonteCarloSimulationModel, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
-
- getValuesForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value under shifted market data (or model parameters).
- getValuesForModifiedData(double, MonteCarloSimulationModel, String, Object) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value under shifted market data (or model parameters).
- getValuesForModifiedData(MonteCarloSimulationModel, Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value under shifted market data (or model parameters).
- getValuesForModifiedData(MonteCarloSimulationModel, String, Object) - Method in interface net.finmath.montecarlo.MonteCarloProduct
-
This method returns the value under shifted market data (or model parameters).
- getValueWithGivenSpreadOverCurve(double, Curve, double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
-
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, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
-
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
-
- getVariance(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getVariance(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getVariance() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getVariance(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
-
- getVariance() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getVariance(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
-
- getVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getVariance(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
-
- getVariance() - Method in interface net.finmath.stochastic.RandomVariable
-
Returns the variance of this random variable, i.e.,
V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
- getVariance(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
-
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.RandomVariableArrayImplementation
-
- getVariance(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
-
- getVariance() - Method in class net.finmath.stochastic.Scalar
-
- getVariance(RandomVariable) - Method in class net.finmath.stochastic.Scalar
-
- getVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
-
- getVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
-
- getVersionString() - Static method in class net.finmath.information.Library
-
Return the version string of this instance of finmath-lib.
- getVolatilities() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
-
Returns the volatility parameters of this model.
- getVolatility() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
-
- getVolatility() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
-
- getVolatility() - Method in class net.finmath.fouriermethod.models.BatesModel
-
- getVolatility() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
-
- getVolatility() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getVolatility() - Method in class net.finmath.fouriermethod.models.MertonModel
-
- getVolatility(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
-
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
-
- getVolatility(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
-
- getVolatility() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
-
- getVolatility() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getVolatility() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
-
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModelExperimental
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
-
Returns the volatility parameter of this model.
- getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
-
Implement this method to complete the implementation.
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
-
- getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
-
- getVolatility(int) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel
-
Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
- getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
-
- getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
-
- getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- getVolatility(double) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
- getVolatility() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
-
Returns the volatility.
- getVolatilityCube(String) - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
-
- getVolatilityCube(String) - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel
-
Get a volatility cube by a given name.
- getVolatilityCubeName() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
-
- getVolatilityCubeNames() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
-
- getVolatilityCubeNames() - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel
-
Return a Set view of all volatility cubes of this model.
- getVolatilityCubes() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
-
- getVolatilityCubes() - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel
-
Returns an unmodifiable map of all volatility cubes in the model.
- getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
-
- getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
-
- getVolatilityModel() - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel
-
Return the volatility model.
- getVolatilitySurface(String) - Method in interface net.finmath.marketdata.model.AnalyticModel
-
Returns a volatility surface for a given name.
- getVolatilitySurface(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getVolatilitySurface(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
Returns a volatility surface for a given name.
- getVolatilitySurface(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getVolatilitySurfaceMap() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
-
- getVolatilitySurfaces() - Method in interface net.finmath.marketdata.model.AnalyticModel
-
Returns an unmodifiable map of all volatility surfaces.
- getVolatilitySurfaces() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
-
- getVolatilitySurfaces() - Method in interface net.finmath.marketdata2.model.AnalyticModel
-
Returns an unmodifiable map of all volatility surfaces.
- getVolatilitySurfaces() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
-
- getVolatilityTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
-
Returns the time discretization used for the picewise constant volatility and mean reversion.
- getVolvolTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
-
- getWeight() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
-
- getWeight() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
-
- getWeights() - Method in class net.finmath.marketdata.products.Portfolio
-
Returns the list of weights as an unmodifiable list.
- getWeights() - Method in class net.finmath.marketdata2.products.Portfolio
-
Returns the list of weights as an unmodifiable list.
- getWeights() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
-
- getXi() - Method in class net.finmath.fouriermethod.models.HestonModel
-
- getXi() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
-
- getYield(double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
-
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.marketdata.model.bond.BondCurve
-
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.DiscountCurveInterpolation
-
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
-
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.marketdata2.model.curves.DiscountCurveInterpolation
-
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.marketdata.model.curves.DiscountCurveInterpolation
-
Returns the zero rates for a given vector maturities.
- getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
-
Returns the zero rates for a given vector maturities.
- getZeroRates(double[]) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
-
Returns the zero rates for a given vector maturities.
- GoldenSectionSearch - Class in net.finmath.optimizer
-
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
-