Uses of Package
net.finmath.modelling
| Package | Description |
|---|---|
| net.finmath.finitedifference.models |
Models provided for finite difference solvers.
|
| net.finmath.finitedifference.products |
Product valuation code for models using backward propagation.
|
| 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.marketdata.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
|
| net.finmath.marketdata.model.bond |
Provided classes related to the modelling of Bond curves.
|
| net.finmath.marketdata.model.volatility.caplet |
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
|
| net.finmath.marketdata.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.marketdata2.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
|
| net.finmath.marketdata2.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.modelling |
Provides interface separating models and products.
|
| net.finmath.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
|
| net.finmath.modelling.descriptor.xmlparser |
Provides xml parsers to construct descriptors from XML
|
| net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
|
| 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.products |
Products which may be valued using an
AssetModelMonteCarloSimulationModel. |
| 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.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.products |
Products which are model independent, but assume a Monte-Carlo simulation.
|
| net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
| net.finmath.singleswaprate.model |
Classes extending the regular analytic model, see
net.finmath.marketdata.model, with the capacity to hold volatility cubes,
see VolatilityCube. |
| net.finmath.singleswaprate.products |
Provides interface specification and implementation of product based on a single interest rate curve.
|
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Classes in net.finmath.modelling used by net.finmath.finitedifference.models Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.finitedifference.products Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.fouriermethod.calibration.models Class Description ModelDescriptor Interface for a model descriptor. -
Classes in net.finmath.modelling used by net.finmath.fouriermethod.models Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.fouriermethod.products Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.marketdata.model Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.marketdata.model.bond Class Description Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.marketdata.model.volatility.caplet Class Description Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.marketdata.products Class Description DescribedProduct Interface for products which can provide a complete description of themself, i.e. the model parameters (independent of the implementation of the numerical method).Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.marketdata2.model Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.marketdata2.products Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.modelling Class Description DescribedModel Interface for models which can provide a complete description of their model parameters (independent of the implementation of the numerical method).DescribedProduct Interface for products which can provide a complete description of themself, i.e. the model parameters (independent of the implementation of the numerical method).Model Interface to be implemented by all model.ModelDescriptor Interface for a model descriptor.Product Interface implemented by all financial product which may be valued by a model.ProductDescriptor Interface for a product descriptor. -
Classes in net.finmath.modelling used by net.finmath.modelling.descriptor Class Description InterestRateProductDescriptor Marker interface for interest rate product descriptors.ModelDescriptor Interface for a model descriptor.ProductDescriptor Interface for a product descriptor.SingleAssetProductDescriptor Interface for a product descriptor. -
Classes in net.finmath.modelling used by net.finmath.modelling.descriptor.xmlparser Class Description ProductDescriptor Interface for a product descriptor. -
Classes in net.finmath.modelling used by net.finmath.modelling.modelfactory Class Description DescribedModel Interface for models which can provide a complete description of their model parameters (independent of the implementation of the numerical method).DescribedProduct Interface for products which can provide a complete description of themself, i.e. the model parameters (independent of the implementation of the numerical method).Model Interface to be implemented by all model.ModelFactory A factory to instantiate a model from a given descriptor.ProductDescriptor Interface for a product descriptor. -
Classes in net.finmath.modelling used by net.finmath.modelling.productfactory Class Description DescribedProduct Interface for products which can provide a complete description of themself, i.e. the model parameters (independent of the implementation of the numerical method).InterestRateProductDescriptor Marker interface for interest rate product descriptors.Product Interface implemented by all financial product which may be valued by a model.ProductDescriptor Interface for a product descriptor.ProductFactory SingleAssetProductDescriptor Interface for a product descriptor. -
Classes in net.finmath.modelling used by net.finmath.montecarlo Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.assetderivativevaluation Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.assetderivativevaluation.products Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.crosscurrency Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.hybridassetinterestrate Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.hybridassetinterestrate.products Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.interestrate Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.interestrate.products Class Description Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.interestrate.products.components Class Description Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.interestrate.products.indices Class Description Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.products Class Description Product Interface implemented by all financial product which may be valued by a model. -
Classes in net.finmath.modelling used by net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.singleswaprate.model Class Description Model Interface to be implemented by all model. -
Classes in net.finmath.modelling used by net.finmath.singleswaprate.products Class Description Model Interface to be implemented by all model.Product Interface implemented by all financial product which may be valued by a model.