Uses of Package
net.finmath.fouriermethod
| 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.
|
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Classes in net.finmath.fouriermethod used by net.finmath.fouriermethod.models Class Description CharacteristicFunction Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs). -
Classes in net.finmath.fouriermethod used by net.finmath.fouriermethod.products Class Description CharacteristicFunction Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs). -
Classes in net.finmath.fouriermethod used by net.finmath.fouriermethod.products.smile Class Description CharacteristicFunction Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs). -
Classes in net.finmath.fouriermethod used by net.finmath.modelling.productfactory Class Description CharacteristicFunction Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).