Package	Description
net.finmath.concurrency	Provides helper classes related to concurrent programming.
net.finmath.exception	Provides classes related to exception handling.
net.finmath.finitedifference	Algorithms using finite differences methods.
net.finmath.finitedifference.experimental	Algorithms using finite differences methods.
net.finmath.finitedifference.models	Models provided for finite difference solvers.
net.finmath.finitedifference.products	Product valuation code for models using backward propagation.
net.finmath.finitedifference.solvers	Finite difference solvers
net.finmath.fouriermethod	Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
net.finmath.fouriermethod.calibration	Classes related to the calibration of Fourier models.
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.
net.finmath.functions	Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
net.finmath.information	Provides information about the library (e.g.
net.finmath.integration	Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration.
net.finmath.interpolation	Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.marketdata	Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
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	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.bond	Provides classes related to the modeling of Bond curves.
net.finmath.marketdata.model.cds	Provides classes related to the valuations of CDS.
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.curves.locallinearregression	Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
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.model.volatility.caplet.smile	Algorithms related to caplet smile interpolation.
net.finmath.marketdata.model.volatility.caplet.tenorconversion	Algorithms related to caplet tenor conversion.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2	Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
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.interpolation	Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.marketdata2.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
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.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.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.modelling.products	Interface and base classes related to 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.models	Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.automaticdifferentiation	Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
net.finmath.montecarlo.automaticdifferentiation.backward	Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward	Provides the implementation of forward automatic differentiation.
net.finmath.montecarlo.conditionalexpectation	Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
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.models	Interest rate models implementing ProcessModel e.g.
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.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.model	Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process	Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.process.component.barrier	Components providing the barrier in the Monte-Carlo simulation with barrier.
net.finmath.montecarlo.process.component.factordrift	Components providing the factor drift in the simulation of a proxy simulation scheme.
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.
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.optimizer	This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
net.finmath.parser	Contains classes for parsing files.
net.finmath.randomnumbers	Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.
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.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.data	Provides classes to store and interact with market data.
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.model.curves	Additional curves for use in an analytic model, AnalyticModel.
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.stochastic	Interfaces specifying operations on random variables.
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.businessdaycalendar	Provides business day calendars, e.g., as used in date roll conventions.
net.finmath.time.daycount	Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
net.finmath.timeseries	Provides classes related to time series modeling and estimation, e.g.
net.finmath.timeseries.models.parametric	Classes related to estimation of time series.
net.finmath.util	Provides utility classes.