Uses of Package
net.finmath.time
| Package | Description |
|---|---|
| net.finmath.marketdata.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
|
| net.finmath.marketdata.model.bond |
Provided classes related to the modelling of Bond curves.
|
| net.finmath.marketdata.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
|
| net.finmath.marketdata.model.volatilities |
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
|
| 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.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
|
| net.finmath.marketdata2.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
|
| net.finmath.marketdata2.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
|
| 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.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
|
| 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.models |
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.montecarlo.interestrate.models.covariance |
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
|
| 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.indices |
Provides a set of indices which can be used as part of a period.
|
| net.finmath.montecarlo.process |
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
|
| net.finmath.montecarlo.templatemethoddesign |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
| net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
| net.finmath.parser |
Contains classes for parsing files.
|
| net.finmath.singleswaprate |
Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
|
| net.finmath.singleswaprate.annuitymapping |
Classes providing options for the annuity mapping function.
|
| net.finmath.singleswaprate.data |
Provides classes to store and interact with market data.
|
| net.finmath.singleswaprate.model.volatilities |
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters.
|
| net.finmath.singleswaprate.products |
Provides interface specification and implementation of product based on a single interest rate curve.
|
| net.finmath.swing |
Provides utilities for Java swing (used in finmath applets).
|
| net.finmath.time |
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
|
| net.finmath.time.daycount |
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
|
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Classes in net.finmath.time used by net.finmath.marketdata.calibration Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.marketdata.model.bond Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.marketdata.model.curves Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.marketdata.model.volatilities Class Description SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.TimeDiscretization -
Classes in net.finmath.time used by net.finmath.marketdata.model.volatility.caplet Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.marketdata.products Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment.TimeDiscretization -
Classes in net.finmath.time used by net.finmath.marketdata2.calibration Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.marketdata2.model.curves Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.marketdata2.products Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment.TimeDiscretization -
Classes in net.finmath.time used by net.finmath.modelling.descriptor Class Description Period A period, i.e. a time interval suitable for securities with regular payment schedules.Schedule Interface of a schedule of interest rate periods with a fixing and payment.ScheduleGenerator.DaycountConvention Possible day count conventions supported byScheduleGenerator.DaycountConvention.ScheduleGenerator.Frequency Possible frequencies supported byScheduleGenerator.ScheduleGenerator.ShortPeriodConvention Possible stub period conventions supported. -
Classes in net.finmath.time used by net.finmath.montecarlo Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.assetderivativevaluation Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.assetderivativevaluation.products Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.hybridassetinterestrate Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.interestrate Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.interestrate.models Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.interestrate.models.covariance Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.interestrate.products Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment.TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.interestrate.products.indices Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.montecarlo.process Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.templatemethoddesign Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.parser Class Description SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions. -
Classes in net.finmath.time used by net.finmath.singleswaprate Class Description SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions. -
Classes in net.finmath.time used by net.finmath.singleswaprate.annuitymapping Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.singleswaprate.data Class Description SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions. -
Classes in net.finmath.time used by net.finmath.singleswaprate.model.volatilities Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment.SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions. -
Classes in net.finmath.time used by net.finmath.singleswaprate.products Class Description Schedule Interface of a schedule of interest rate periods with a fixing and payment. -
Classes in net.finmath.time used by net.finmath.swing Class Description TimeDiscretization -
Classes in net.finmath.time used by net.finmath.time Class Description Period A period, i.e. a time interval suitable for securities with regular payment schedules.Schedule Interface of a schedule of interest rate periods with a fixing and payment.ScheduleGenerator.DaycountConvention Possible day count conventions supported byScheduleGenerator.DaycountConvention.ScheduleGenerator.Frequency Possible frequencies supported byScheduleGenerator.ScheduleGenerator.ShortPeriodConvention Possible stub period conventions supported.SchedulePrototype Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.Tenor TimeDiscretization TimeDiscretizationFromArray This class represents a set of discrete points in time.TimeDiscretizationFromArray.ShortPeriodLocation -
Classes in net.finmath.time used by net.finmath.time.daycount Class Description Period A period, i.e. a time interval suitable for securities with regular payment schedules.