Uses of Class
net.finmath.exception.CalculationException

Packages that use CalculationException

Package	Description
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.fouriermethod.products.smile	Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata2.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo	Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
net.finmath.montecarlo.assetderivativevaluation	Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models	Equity models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.conditionalexpectation	Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
net.finmath.montecarlo.crosscurrency	Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.models.covariance	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components	Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.model	Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.process.component.factordrift	Components providing the factor drift in the simulation of a proxy simulation scheme.
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.

Uses of CalculationException in net.finmath.fouriermethod.products

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

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

Uses of CalculationException in net.finmath.fouriermethod.products.smile

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

Modifier and Type	Method and Description
Map<String,Function<Double,Double>>	EuropeanOptionSmileByCarrMadan.getValue(double evaluationTime, CharacteristicFunctionModel model)
abstract Map<String,Function<Double,Double>>	EuropeanOptionSmile.getValue(double evaluationTime, CharacteristicFunctionModel model)
Map<String,Function<Double,Double>>	SmileByIntegralTransform.getValue(double evaluationTime, CharacteristicFunctionModel model) Return the value of a family of options with the same maturity for different strikes.

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

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

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

Uses of CalculationException in net.finmath.marketdata2.model.curves

Methods in net.finmath.marketdata2.model.curves that throw CalculationException

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

Uses of CalculationException in net.finmath.modelling.productfactory

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

Modifier and Type	Method and Description
RandomVariable	InterestRateMonteCarloProductFactory.SwapMonteCarlo.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)

Uses of CalculationException in net.finmath.montecarlo

Methods in net.finmath.montecarlo that throw CalculationException

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

Uses of CalculationException in net.finmath.montecarlo.assetderivativevaluation

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

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

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

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

Modifier and Type	Method and Description
RandomVariable	MertonModel.getNumeraire(double time)

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

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

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

Uses of CalculationException in net.finmath.montecarlo.conditionalexpectation

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

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

Uses of CalculationException in net.finmath.montecarlo.crosscurrency

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

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

Uses of CalculationException in net.finmath.montecarlo.hybridassetinterestrate

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

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

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

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

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

Uses of CalculationException in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method and Description
TermStructureModel	TermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing TermStructureModel, using the new data.
LIBORModel	LIBORModel.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing LIBORModel, using the new data.
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData(Map<String,Object> dataModified)
TermStructureMonteCarloSimulationModel	LIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).
RandomVariable	TermStructureModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	LIBORMonteCarloSimulationFromTermStructureModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	LIBORMonteCarloSimulationFromLIBORModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	TermStructureMonteCarloSimulationModel.getLIBOR(double time, double periodStart, double periodEnd) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariable	LIBORModel.getLIBOR(int timeIndex, int liborIndex) Return the forward rate at a given timeIndex and for a given liborIndex.
RandomVariable	LIBORMonteCarloSimulationFromTermStructureModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	LIBORMonteCarloSimulationFromLIBORModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	LIBORModelMonteCarloSimulationModel.getLIBOR(int timeIndex, int liborIndex) Return the forward rate for a given simulation time index and a given forward rate index.
default RandomVariable	TermStructureMonteCarloSimulationModel.getLIBOR(LocalDateTime date, LocalDateTime periodStartDate, LocalDateTime periodEndDate) Return the forward rate for a given simulation time and a given period start and period end.
RandomVariable[]	LIBORMonteCarloSimulationFromLIBORModel.getLIBORs(int timeIndex)
RandomVariable[]	LIBORModelMonteCarloSimulationModel.getLIBORs(int timeIndex) Return the forward rate curve for a given simulation time index.
RandomVariable	LIBORMonteCarloSimulationFromTermStructureModel.getMonteCarloWeights(double time)
RandomVariable	LIBORMonteCarloSimulationFromLIBORModel.getMonteCarloWeights(double time)
RandomVariable	LIBORMonteCarloSimulationFromTermStructureModel.getMonteCarloWeights(int timeIndex)
RandomVariable	LIBORMonteCarloSimulationFromLIBORModel.getMonteCarloWeights(int timeIndex)
RandomVariable	LIBORMonteCarloSimulationFromTermStructureModel.getNumeraire(double time)
RandomVariable	LIBORMonteCarloSimulationFromLIBORModel.getNumeraire(double time)
RandomVariable	TermStructureMonteCarloSimulationModel.getNumeraire(double time) Return the numeraire at a given time.
default RandomVariable	TermStructureMonteCarloSimulationModel.getNumeraire(LocalDateTime date) Return the numeraire at a given time.

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

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

Modifier and Type	Method and Description
LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified)
TermStructureModel	LIBORMarketModelWithTenorRefinement.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModelStandard	LIBORMarketModelStandard.getCloneWithModifiedData(Map<String,Object> dataModified)
RandomVariable	HullWhiteModelWithDirectSimulation.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	LIBORMarketModelFromCovarianceModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModelWithShiftExtension.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModel.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModelWithConstantCoeff.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	LIBORMarketModelStandard.getLIBOR(double time, double periodStart, double periodEnd)
RandomVariable	HullWhiteModelWithDirectSimulation.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	LIBORMarketModelFromCovarianceModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	HullWhiteModelWithShiftExtension.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	HullWhiteModel.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	HullWhiteModelWithConstantCoeff.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	LIBORMarketModelStandard.getLIBOR(int timeIndex, int liborIndex)
RandomVariable	HullWhiteModelWithDirectSimulation.getNumeraire(double time)
RandomVariable	LIBORMarketModelFromCovarianceModel.getNumeraire(double time) Return the numeraire at a given time.
RandomVariable	LIBORMarketModelWithTenorRefinement.getNumeraire(double time) Return the numeraire at a given time.
RandomVariable	HullWhiteModelWithShiftExtension.getNumeraire(double time)
RandomVariable	HullWhiteModel.getNumeraire(double time)
RandomVariable	HullWhiteModelWithConstantCoeff.getNumeraire(double time)
RandomVariable	LIBORMarketModelStandard.getNumeraire(double time) Return the numeraire at a given time.
protected RandomVariable	LIBORMarketModelFromCovarianceModel.getNumerairetUnAdjusted(double time)
protected RandomVariable	LIBORMarketModelFromCovarianceModel.getNumerairetUnAdjustedAtLIBORIndex(int liborTimeIndex)
static HullWhiteModel	HullWhiteModel.of(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

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

Constructor and Description
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervalls, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModelInterface covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a model for given covariance.

Uses of CalculationException in net.finmath.montecarlo.interestrate.models.covariance

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

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts)
LIBORCovarianceModelCalibrateable	LIBORCovarianceModelCalibrateable.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
ShortRateVolatilityModelCalibrateable	ShortRateVolatilityModelCalibrateable.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
TermStructureCovarianceModelParametric	TermStructureCovarianceModelParametric.getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Return a calibrated clone of the covariance model.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibratedLegazy(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	BlendedLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	HullWhiteLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified.
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelBH.getCloneWithModifiedData(Map<String,Object> dataModified)
abstract AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	DisplacedLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)

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

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

Modifier and Type	Method and Description
RandomVariable[]	BermudanSwaption.getBasisFunctions(double fixingDate, LIBORModelMonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.
RandomVariable[]	BermudanSwaption.getBasisFunctions(double fixingDate, MonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.
ConditionalExpectationEstimator	BermudanSwaption.getConditionalExpectationEstimator(double fixingDate, LIBORModelMonteCarloSimulationModel model) Return the conditional expectation estimator suitable for this product.
RandomVariable	Swaption.getExerciseIndicator(LIBORModelMonteCarloSimulationModel model) Deprecated.
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, LIBORMarketModelFromCovarianceModel model) Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	Caplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Portfolio.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	CMSOption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SimpleZeroSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	CancelableSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaptionSimple.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	DigitalFloorlet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	FlexiCap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaptionWithComponents.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SimpleSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	MoneyMarketAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	TermStructureMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaptionSingleCurve.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwapWithComponents.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariable	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionATM.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Swap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SimpleCappedFlooredFloatingRateBond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwapLeg.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	DigitalCaplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BermudanSwaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	LIBORBond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Bond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Swaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, MonteCarloSimulationModel model)
RandomVariable	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model)
RandomVariable	AbstractLIBORMonteCarloProduct.getValueForModifiedData(double evaluationTime, MonteCarloSimulationModel monteCarloSimulationModel, Map<String,Object> dataModified)
Map<String,Object>	TermStructureMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
Map<String,Object>	AbstractLIBORMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
Map<String,Object>	BermudanSwaption.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)

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

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

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

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

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

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

Uses of CalculationException in net.finmath.montecarlo.model

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

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

Uses of CalculationException in net.finmath.montecarlo.process

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

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

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

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

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

Uses of CalculationException in net.finmath.montecarlo.products

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

Modifier and Type	Method and Description
RandomVariable	PortfolioMonteCarloProduct.getValue(double evaluationTime, MonteCarloSimulationModel model)