Uses of Interface
net.finmath.fouriermethod.CharacteristicFunction

Packages that use CharacteristicFunction

Package	Description
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.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.modelling.productfactory	Provides classes to build products from descriptors.

Uses of CharacteristicFunction in net.finmath.fouriermethod.models

Methods in net.finmath.fouriermethod.models that return CharacteristicFunction

Modifier and Type	Method and Description
CharacteristicFunction	CharacteristicFunctionModel.apply(double time) Returns the characteristic function of X(t), where X is this stochastic process.
CharacteristicFunction	HestonModel.apply(double time)
CharacteristicFunction	BlackScholesModel.apply(double time)
CharacteristicFunction	BatesModel.apply(double time)

Uses of CharacteristicFunction in net.finmath.fouriermethod.products

Classes in net.finmath.fouriermethod.products that implement CharacteristicFunction

Modifier and Type	Class and Description
class	AbstractFourierTransformProduct
class	DigitalOption Implements valuation of a European option on a single asset.
class	EuropeanOption Implements valuation of a European option on a single asset.

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

Subinterfaces of CharacteristicFunction in net.finmath.fouriermethod.products.smile

Modifier and Type	Interface and Description
interface	SmileByIntegralTransform Base interface for Fourier-based valuations.

Classes in net.finmath.fouriermethod.products.smile that implement CharacteristicFunction

Modifier and Type	Class and Description
class	EuropeanOptionSmile This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
class	EuropeanOptionSmileByCarrMadan This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.

Uses of CharacteristicFunction in net.finmath.modelling.productfactory

Classes in net.finmath.modelling.productfactory that implement CharacteristicFunction

Modifier and Type	Class and Description
class	SingleAssetFourierProductFactory.DigitalOptionFourierMethod Fourier method based implementation of a digital option from a product descriptor.
static class	SingleAssetFourierProductFactory.EuropeanOptionFourierMethod Fourier method based implementation of a European option from a product descriptor.