Uses of Package
net.finmath.fouriermethod.models
| 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.
|
-
Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.calibration.models Class Description CharacteristicFunctionModel Interface which has to be implemented by models providing the characteristic functions of stochastic processes.HestonModel Implements the characteristic function of a Heston model.MertonModel Implements the characteristic function of a Merton jump diffusion model. -
Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.models Class Description CharacteristicFunctionModel Interface which has to be implemented by models providing the characteristic functions of stochastic processes. -
Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.products Class Description CharacteristicFunctionModel Interface which has to be implemented by models providing the characteristic functions of stochastic processes. -
Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.products.smile Class Description CharacteristicFunctionModel Interface which has to be implemented by models providing the characteristic functions of stochastic processes.