Uses of Interface
net.finmath.fouriermethod.models.CharacteristicFunctionModel

Packages that use CharacteristicFunctionModel

Package	Description
net.finmath.fouriermethod.calibration.models	Classes related to the calibration of fourier models.
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.

Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.calibration.models

Methods in net.finmath.fouriermethod.calibration.models that return CharacteristicFunctionModel

Modifier and Type	Method and Description
CharacteristicFunctionModel	CalibratableProcess.getCharacteristicFunctionModel() Directly returns the characteristic function.
CharacteristicFunctionModel	CalibratableVarianceGammaModel.getCharacteristicFunctionModel()

Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.models

Classes in net.finmath.fouriermethod.models that implement CharacteristicFunctionModel

Modifier and Type	Class and Description
class	BatesModel Implements the characteristic function of a Bates model.
class	BlackScholesModel Implements the characteristic function of a Black Scholes model.
class	HestonModel Implements the characteristic function of a Heston model.
class	MertonModel Implements the characteristic function of a Merton jump diffusion model.
class	VarianceGammaModel Implements the characteristic function of a Variance Gamma model.

Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.products

Methods in net.finmath.fouriermethod.products with parameters of type CharacteristicFunctionModel

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 CharacteristicFunctionModel in net.finmath.fouriermethod.products.smile

Methods in net.finmath.fouriermethod.products.smile with parameters of type CharacteristicFunctionModel

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.