All Classes Interface Summary Class Summary Enum Summary Exception Summary
Class |
Description |
AbstractAnalyticProduct |
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AbstractAnalyticProduct |
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AbstractAnalyticVolatilityCubeProduct |
Abstract layer between interface and implementation, which ensures compatibility of model and product.
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AbstractAssetMonteCarloProduct |
Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
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AbstractBusinessdayCalendar |
Base class for all business day calendars.
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AbstractCubeCalibration |
Abstract class providing a default method of calibrating a parametric cube to market data, which can be implemented quickly for any cube by implementing the methods:
buildCube
initializeParameters
applyParameterBounds
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AbstractCurve |
Abstract base class for a curve.
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AbstractCurve |
Abstract base class for a curve.
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AbstractForwardCurve |
Abstract base class for a forward curve, extending a curve object
It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
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AbstractForwardCurve |
Abstract base class for a forward curve, extending a curve object
It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
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AbstractFourierTransformProduct |
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AbstractIndex |
Base class for indices.
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AbstractLIBORCovarianceModel |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
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AbstractLIBORCovarianceModelParametric |
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AbstractLIBORMonteCarloProduct |
Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class
|
AbstractMonteCarloProduct |
Base class for products requiring an MonteCarloSimulationModel for valuation.
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AbstractPeriod |
Base class for a period.
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AbstractProcessModel |
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
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AbstractProductComponent |
Base class for product components.
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AbstractRandomVariableDifferentiableFactory |
A random variable factory extending AbstractRandomVariableFactory providing
random variables implementing RandomVariableDifferentiable .
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AbstractRandomVariableFactory |
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AbstractRealIntegral |
A real integral with lower and upper integration bounds.
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AbstractShortRateVolatilityModel |
A base class and interface description for the instantaneous volatility of
an short rate model.
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AbstractShortRateVolatilityModelParametric |
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AbstractSingleSwapRateProduct |
An abstract class providing valuation methods for single swap rate products.
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AbstractVolatilitySurface |
Abstract base class for a volatility surface.
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AbstractVolatilitySurface |
Abstract base class for a volatility surface.
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AbstractVolatilitySurfaceParametric |
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
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AcceptanceRejectionRandomNumberGenerator |
Class implementing RandomNumberGenerator by the acceptance rejection method.
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AccrualAccount |
Implementation of a general accrual account.
|
AccruedInterest |
An accrued interest index.
|
AccruingNotional |
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AnalyticFormulas |
This class implements some functions as static class methods.
|
AnalyticModel |
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
|
AnalyticModel |
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
|
AnalyticModelDescriptor |
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AnalyticModelFactory |
Factory to build an described analytic model from a descriptor.
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AnalyticModelFactory.DescribedAnalyticModel |
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AnalyticModelForwardCurveIndex |
An index which is given by a name referencing a curve of an analytic model.
|
AnalyticModelFromCurvesAndVols |
Implements a collection of market data objects (e.g., discount curves, forward curve)
which provide interpolation of market data or other derived quantities
("calibrated curves").
|
AnalyticModelFromCurvesAndVols |
Implements a collection of market data objects (e.g., discount curves, forward curve)
which provide interpolation of market data or other derived quantities
("calibrated curves").
|
AnalyticModelIndex |
An index which is given by a name referencing a curve of an analytic model.
|
AnalyticModelWithVolatilityCubes |
|
AnalyticProduct |
The interface which has to be implemented by a product which may
be evaluated using an AnalyticModelFromCurvesAndVols .
|
AnalyticProduct |
The interface which has to be implemented by a product which may
be evaluated using an AnalyticModelFromCurvesAndVols .
|
AnalyticVolatilityCubeProduct |
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AnnuityDummyProduct |
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AnnuityMapping |
An interface for calsses providing annuity mappings.
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AnnuityMapping.AnnuityMappingType |
Implemented types of annuity mappings.
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AnnuityMappingFactory |
Provides factories to build annuity mappings from uniform input.
|
ARMAGARCH |
Lognormal process with ARMAGARCH(1,1) volatility.
|
AsianOption |
Implements the valuation of an Asian option.
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AssetModelDescriptor |
Marker interface for descriptors describing an asset model.
|
AssetModelFourierMethodFactory |
Constructs asset models, which evaluate products via Monte-Carlo method.
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AssetModelMonteCarloFactory |
Constructs asset models, which evaluate products via Monte-Carlo method.
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AssetModelMonteCarloSimulationModel |
Basic interface which has to be implemented by Monte Carlo models for asset processes.
|
AssetMonteCarloProduct |
Interface for products requiring an AssetModelMonteCarloSimulationModel for valuation.
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BachelierModel |
This class implements some functions as static class methods related to the Bachelier model.
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BachelierModel |
This class implements a (variant of the) Bachelier model, that is,
it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
Barrier |
The interface describes how an barrier has to be specified for the generation of a process (see LogNormalProcessWithBarrierStrategy).
|
BarrierOptions |
This class implements the valuation of barrier options.
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BarrierOptions.BarrierType |
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BasicPiterbargAnnuityMapping |
Implements an annuity mapping following Vladimir Piterbarg's approach.
|
BasketOption |
Implements valuation of a European option on a basket of asset.
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BatesModel |
Implements the characteristic function of a Bates model.
|
BermudanDigitalOption |
This class implements the valuation of a Bermudan digital option paying
\( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \),
when exercised in \( T_{i} \), where \( N_{i} \) is the notional,
\( \mathbb{1} \) is the indicator function,
\( S \) is the underlying, \( K_{i} \) is the strike
and \( T_{i} \) the exercise date.
|
BermudanDigitalOption.ExerciseMethod |
|
BermudanOption |
This class implements the valuation of a Bermudan option paying
N(i) * (S(T(i)) - K(i)) at T(i),
when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike
and T(i) the exercise date.
|
BermudanOption.ExerciseMethod |
|
BermudanSwaption |
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
|
BermudanSwaptionFromSwapSchedules |
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
|
BermudanSwaptionFromSwapSchedules.SwaptionType |
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BiLinearInterpolation |
Simple bi-linear interpolation of data points \( z_{i,j} \) over a Cartesian grid \( (x_{i},y_{j}) \).
|
BlackScholesDeltaHedgedPortfolio |
This class implements a delta hedged portfolio of an European option (a hedge simulator).
|
BlackScholesHedgedPortfolio |
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
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BlackScholesHedgedPortfolio.HedgeStrategy |
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BlackScholesModel |
Implements the characteristic function of a Black Scholes model.
|
BlackScholesModel |
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
BlackScholesModelDescriptor |
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BlackScholesModelMonteCarloFactory |
|
BlackScholesModelMonteCarloFiniteDifference1D |
|
BlackScholesModelWithCurves |
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
BlackScholesTheta |
Implementation of the theta schemes for the Black-Scholes model (still experimental).
|
BlendedLocalVolatilityModel |
Blended model (or displaced diffusion model) build on top of a standard covariance model.
|
Bond |
Implements the valuation of a bond (zero-coupon, fixed coupon or floating coupon)
with unit notional of 1 using curves:
a forward curve, if the bond has floating rate coupons
a discount curve as a base curve for discounting
a survival probability curve for additional credit risk related discount factor
a basis factor curve for additional bond related discount factor
Support for day counting is provided via the class implementing
Schedule .
|
Bond |
This class implements the valuation of a zero coupon bond.
|
Bond |
This class implements the valuation of a zero coupon bond.
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BondCurve |
Implements the bond curve as a curve object, see Curve .
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BondCurve.Type |
Possible curve types, where the first term stands for the reference discount curve and the
second term stands for the spread curve.
|
BondWithForeignNumeraire |
This class implements the valuation of a zero coupon bond.
|
BoundConstraint |
A class applying a bound constraint to a parameter.
|
BrownianBridge |
This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion
conditional to a given start and end value.
|
BrownianMotion |
Interface description of a time-discrete n-dimensional Brownian motion
W = (W1,...,Wn) where Wi is a Brownian motion.
|
BrownianMotionFromMersenneRandomNumbers |
Implementation of a time-discrete n-dimensional Brownian motion
W = (W1,...,Wn) where Wi is
a Brownian motion and Wi, Wj are
independent for i not equal j.
|
BrownianMotionFromRandomNumberGenerator |
Implementation of a time-discrete n-dimensional Brownian motion
W = (W1,...,Wn) where Wi is
a Brownian motion and Wi, Wj are
independent for i not equal j.
|
BrownianMotionLazyInit |
Deprecated.
|
BrownianMotionView |
A Brownian motion which is defined by some factors of a given Brownian motion,
i.e., for a given multi-factorial Brownian motion W, this Brownian motion is
given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) )
where i is a given array of integers.
|
BrownianMotionWithControlVariate |
Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.
|
BusinessdayCalendar |
|
BusinessdayCalendar.DateOffsetUnit |
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BusinessdayCalendar.DateRollConvention |
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BusinessdayCalendarAny |
A business day calendar, where every day is a business day.
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BusinessdayCalendarExcludingGivenHolidays |
An abstract base class for a business day calendar, where every day is a business day, except
weekends days provided by a Set provided by the method getHolidays .
|
BusinessdayCalendarExcludingGivenSetOfHolidays |
A class for a business day calendar, where every day is a business day, except
weekends days provided by a Set .
|
BusinessdayCalendarExcludingLONHolidays |
A business day calendar, where every day is a business day, except for weekends and London holidays
|
BusinessdayCalendarExcludingNYCHolidays |
A business day calendar, where every day is a business day, except for weekends and New York holidays
|
BusinessdayCalendarExcludingTARGETHolidays |
A business day calendar, where every day is a business day, expect
the TARGET holidays.
|
BusinessdayCalendarExcludingWeekends |
A business day calendar, where every day is a business day, expect SATURDAY and SUNDAY.
|
CalculationException |
|
CalibratableHestonModel |
This class is creates new instances of HestonModel and communicates with the optimization algorithm.
|
CalibratableMertonModel |
This class is creates new instances of MertonModel and communicates with the optimization algorithm.
|
CalibratableProcess |
Every class implementing this interface communicates with the calibration routine by providing
clones of the model with changed parameters.
|
CalibratableVarianceGammaModel |
This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.
|
CalibratedCurves |
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
|
CalibratedCurves |
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products.
|
CalibratedCurves.CalibrationSpec |
Specification of calibration product.
|
CalibratedCurves.CalibrationSpec |
Specification of calibration product.
|
CalibratedModel |
This class solves a calibration problem.
|
CalibratedModel.OptimizationResult |
Helper class for calibration results.
|
CalibrationProduct |
A class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.
|
CancelableSwap |
Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
|
Cap |
Implements the valuation of a cap via an analytic model,
i.e.
|
Caplet |
Implements the pricing of a Caplet using a given AbstractLIBORMarketModel .
|
Caplet.ValueUnit |
|
CapletVolatilities |
A very simple container for Caplet volatilities.
|
CapletVolatilitiesParametric |
A parametric caplet volatility surface created form the four parameter model
for the instantaneous forward rate lognormal volatility given by
\( \sigma(t) = (a + b t) \exp(- c t) + d \).
|
CapletVolatilitiesParametricDisplacedFourParameterAnalytic |
A parametric caplet volatility surface created form the four parameter model
for the instantaneous displaced forward rate lognormal volatility given by
\( \sigma(t) = (a + b t) \exp(- c t) + d \).
|
CapletVolatilitiesParametricFourParameterPicewiseConstant |
A parametric caplet volatility surface created form the
picewise constant (numerical integration) of the four parameter model
for the instantaneous forward rate volatility given by
\( \sigma(t) = (a + b t) \exp(- c t) + d \).
|
CapletVolatilitySurface |
This class implements a caplet volatility surface.
|
CapletVolBootstrapping |
This class implements a caplet volatility bootstrapper.
|
CappedFlooredIndex |
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices,
i.e., objects implementing AbstractIndex .
|
CapShiftedVol |
Implements the valuation of a cap via an analytic model,
i.e.
|
CapTenorStructure |
Enum determining the currency of the observed cap or caplet prices.
|
CapVolMarketData |
This class is a container for all the cap data needed to perform the caplet bootstrapping.
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Cashflow |
Implements the valuation of a single cashflow by a discount curve.
|
Cashflow |
Implements the valuation of a single cashflow by a discount curve.
|
Cashflow |
A single deterministic cashflow at a fixed time
|
CashSettledPayerSwaption |
A European cash settled payer swaption.
|
CashSettledReceiverSwaption |
A European cash settled receiver swaption.
|
CharacteristicFunction |
Interface which has to be implemented by characteristic functions of
random variables, e.g., Fourier transforms of values (payoffs).
|
CharacteristicFunctionModel |
Interface which has to be implemented by models providing the
characteristic functions of stochastic processes.
|
Choice |
An right to choose between two underlyings.
|
CMSOption |
Implements the valuation of an option on a CMS rate.
|
ConditionalExpectationEstimator |
The interface which has to be implemented by a fixed conditional expectation operator,
i.e., E( · | Z ) for a fixed Z.
|
ConstantMaturitySwap |
A constant maturity swap.
|
ConstantMaturitySwaprate |
An idealized (single curve) CMS index with given maturity and given period length.
|
ConstantNormalizer |
Constant normalizer returning the value one.
|
Constraint |
Constraint base interface (scalar and multivariate)
|
ConvexityAdjustedModel |
A general convexity adjustment for models.
|
CorrelatedBrownianMotion |
Provides a correlated Brownian motion from given (independent) increments
and a given matrix of factor loadings.
|
CorrelationProvider |
Interface for a correlation provider for forward curves.
|
CorrelationProviderTenorBasis |
This class implements a correlation provider based on iCap market data.
|
CrossCurrencyLIBORMarketModelFromModels |
Cross Currency LIBOR Market Model with Black-Scholes FX Model.
|
CrossCurrencyTermStructureMonteCarloSimulationModel |
Interface for cross currency term structure models.
|
CSVCurveParser |
Provides options to parse curves.
|
CSVSwaptionParser |
|
Curve |
The interface which is implemented by a general curve.
|
Curve |
The interface which is implemented by a general curve.
|
CurveBuilder |
Interface of builders which allow to build curve objects by successively adding
points.
|
CurveBuilder |
Interface of builders which allow to build curve objects by successively adding
points.
|
CurveEstimation |
This class implements the method of local linear regression with discrete kernel function, see see https://ssrn.com/abstract=3073942
In particular it represents the implementation of proposition 2 and 3 of the paper.
|
CurveEstimation.Distribution |
Possible kernel types.
|
CurveFactory |
A collection of convenient methods constructing some more specialized curves.
|
CurveFromProductOfCurves |
A curve derived from other curves by multiplying the values.
|
CurveInterpolation |
This class represents a curve build from a set of points in 2D.
|
CurveInterpolation |
This class represents a curveFromInterpolationPoints build from a set of points in 2D.
|
CurveInterpolation.Builder |
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
|
CurveInterpolation.Builder |
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
|
CurveInterpolation.ExtrapolationMethod |
Possible extrapolation methods.
|
CurveInterpolation.ExtrapolationMethod |
Possible extrapolation methods.
|
CurveInterpolation.InterpolationEntity |
Possible interpolation entities.
|
CurveInterpolation.InterpolationEntity |
Possible interpolation entities.
|
CurveInterpolation.InterpolationMethod |
Possible interpolation methods.
|
CurveInterpolation.InterpolationMethod |
Possible interpolation methods.
|
CurveInterpolation.Point |
Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.
|
DataTable |
An interface for storing double values in a tenor grid.
|
DataTable.TableConvention |
Possible conventions for the table.
|
DataTableBasic |
A basic implementation of DataTable , which provides no means of inter- or extrapolation.
|
DataTableExtrapolated |
Extends DataTableBasic with the capacity to inter- and extrapolate values off the tenor grid.
|
DataTableInterpolated |
Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes.
|
DataTableLight |
A basic implementation of DataTable, which only allows access to data via int and provides no means of inter- or extrapolation.
|
DataTableLinear |
Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes, using BiLinearInterpolation
Note that the interpolation is done to the accuracy of the table convention.
|
DateIndex |
An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
|
DateIndex.DateIndexType |
|
DayCountConvention |
Interface for various day count conventions.
|
DayCountConvention_30E_360 |
Implementation of 30E/360 and 30E+/360.
|
DayCountConvention_30E_360_ISDA |
Implementation of 30E/360 ISDA.
|
DayCountConvention_30U_360 |
Calculates the day count using the US 30/360 adjusted method.
|
DayCountConvention_ACT |
Base class which calculates the day count by calculating the actual number of days between startDate and endDate.
|
DayCountConvention_ACT_360 |
Implementation of ACT/360.
|
DayCountConvention_ACT_365 |
Implementation of ACT/365.
|
DayCountConvention_ACT_365A |
Implementation of ACT/365A.
|
DayCountConvention_ACT_365L |
Implementation of ACT/365L.
|
DayCountConvention_ACT_ACT_AFB |
Implementation of ACT/ACT AFB.
|
DayCountConvention_ACT_ACT_ICMA |
Implementation of ACT/ACT ICMA.
|
DayCountConvention_ACT_ACT_ISDA |
Implementation of ACT/ACT ISDA.
|
DayCountConvention_ACT_ACT_YEARFRAC |
Implementation of ACT/ACT as in Excel (2013).
|
DayCountConvention_NL_365 |
Implementation of NL/365.
|
DayCountConvention_NONE |
This is a special day count convention, where the day count between two dates is always 0.0
and the year fraction for an interval is always 1.0.
|
DayCountConvention_UNKNOWN |
Implements a placeholder object for an unknown day count convention, throwing an exception,
whenever a day count or day count fraction is requested.
|
DayCountConventionFactory |
Factory methods for day count conventions.
|
DeltaHedgedPortfolioWithAAD |
This class implements a delta hedged portfolio (a hedge simulator).
|
Deposit |
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
|
Deposit |
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
|
DescribedModel<M extends ModelDescriptor> |
Interface for models which can provide a complete description of their model parameters (independent of the implementation of the numerical method).
|
DescribedProduct<T extends ProductDescriptor> |
Interface for products which can provide a complete description of themself, i.e.
|
DigitalCaplet |
Implements the valuation of a digital caplet using a given
LIBORModelMonteCarloSimulationModel .
|
DigitalFloorlet |
Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel .
|
DigitalOption |
Implements valuation of a European option on a single asset.
|
DigitalOption |
Implements the valuation of a digital option on a single asset.
|
DigitalOptionDeltaLikelihood |
Implements calculation of the delta of a digital option.
|
DiscountCurve |
The interface which is implemented by discount curves.
|
DiscountCurveFromForwardCurve |
A discount curve derived from a given forward curve.
|
DiscountCurveFromForwardCurve |
A discount curve derived from a given forward curve.
|
DiscountCurveFromProductOfCurves |
A discount curve derived from other discount curves by multiplying the discount factors.
|
DiscountCurveInterface |
The interface which is implemented by discount curves.
|
DiscountCurveInterpolation |
|
DiscountCurveInterpolation |
|
DiscountCurveNelsonSiegelSvensson |
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
|
DiscountCurveRenormalized |
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given
\( t_{0} \) derived from a base discount curve by a constant skaling.
|
DisplacedLocalVolatilityModel |
Displaced model build on top of a standard covariance model.
|
DisplacedLognomalModel |
This class implements a displaced lognormal model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
DisplacedLognormal |
Displaced log-normal process with constanst volatility.
|
DisplacedLognormalARMAGARCH |
Displaced log-normal process with ARMAGARCH(1,1) volatility.
|
DisplacedLognormalGARCH |
Displaced log-normal process with GARCH(1,1) volatility.
|
DisplacedLognormalGJRGARCH |
Displaced log-normal process with GJR-GARCH(1,1) volatility.
|
DoubleTernaryOperator |
Functional interface for functions mapping (double,double,double) to double.
|
ErrorEstimation |
Provides several error estimates between values taken from market data and values taken from a model.
|
EulerSchemeFromProcessModel |
This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
|
EulerSchemeFromProcessModel.Scheme |
|
EuropeanOption |
Implements valuation of a European option on a single asset.
|
EuropeanOption |
Implements the valuation of a European option on a single asset.
|
EuropeanOptionDeltaLikelihood |
Implements calculation of the delta of a European option using the likelihood ratio method.
|
EuropeanOptionDeltaPathwise |
Implements calculation of the delta of a European option using the path-wise method,
assuming that the underlying follows a model where d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.
|
EuropeanOptionDeltaPathwiseForGeometricModel |
Implements calculation of the delta of a European option using the path-wise method,
assuming that the underlying follows a model where
d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.
|
EuropeanOptionGammaLikelihood |
Implements calculation of the delta of a European option.
|
EuropeanOptionGammaPathwise |
Implements calculation of the delta of a European option using the pathwise method.
|
EuropeanOptionRhoLikelihood |
Implements calculation of the delta of a European option.
|
EuropeanOptionRhoPathwise |
Implements calculation of the delta of a European option using the pathwise method.
|
EuropeanOptionSmile |
This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
|
EuropeanOptionSmileByCarrMadan |
This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.
|
EuropeanOptionThetaPathwise |
Implements calculation of the theta of a European option using the pathwise method.
|
EuropeanOptionVegaLikelihood |
Implements calculation of the delta of a European option.
|
EuropeanOptionVegaPathwise |
Implements calculation of the vega of a European option using the pathwise method.
|
EuropeanOptionWithBoundary |
Implements pricing of a European stock option.
|
ExpectedTailLoss |
The expected tail loss.
|
ExponentialCorrelationCurve |
A curve, which models exponential decay of correlation from one point in time to another, according to
\[
\max\{e^{c(t-T)}, 1\} \, .
|
ExponentialDecayLocalVolatilityModel |
Exponential decay model build on top of a given covariance model.
|
ExponentialNormalizer |
An exponential normalizing function following
\[
c e^{-(x / S)^2}
\]
where S is the swap rate and c is some scaling factor.
|
ExposureEstimator |
Implements (a numerical approximation of) the function
\(
(t,V) \mapsto E( V(t) \vert \mathcal{F}_t )
\)
where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \)
and \( t \) is a given evaluation time.
|
FactorDrift |
|
FDMBlackScholesModel |
Black Scholes model using finite difference method.
|
FDMConstantElasticityOfVarianceModel |
CEV model using finite difference method.
|
FDMEuropeanCallOption |
Implementation of a European option to be valued by a the finite difference method.
|
FDMEuropeanPutOption |
Implementation of a European option to be valued by a the finite difference method.
|
FDMThetaMethod |
One dimensional finite difference solver.
|
FileUtilities |
Provides utility method to write an object to a file and read an object from a file.
|
FiniteDifference1DBoundary |
Interface for boundaries conditions provided to one dimensional finite difference solvers.
|
FiniteDifference1DModel |
Interface one dimensional finite difference models.
|
FiniteDifference1DProduct |
Interface one dimensional finite difference products.
|
FiniteDifferenceDeltaHedgedPortfolio |
This class implements a delta hedged portfolio of a given product (a hedge simulator).
|
FiniteDifferenceHedgedPortfolio |
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
|
FiniteDifferenceHedgedPortfolio.HedgeStrategy |
|
FIPXMLParser |
Class for parsing trades saved in FIPXML to product descriptors.
|
FixedCoupon |
A fixed coupon index paying constant coupon..
|
FlexiCap |
This class implements the valuation of a Flexi Cap (aka Auto Cap).
|
FloatingpointDate |
This class provides the library wide conversion from a floating point number to a LocalDate.
|
Forward |
Implements the valuation of a forward using curves (discount curve, forward curve).
|
Forward |
Implements the valuation of a forward using curves (discount curve, forward curve).
|
ForwardAgreement |
Implements the valuation of a forward on a single asset.
|
ForwardAgreementWithFundingRequirement |
Implements the valuation of a forward on a single asset.
|
ForwardCurve |
The interface which is implemented by forward curves.
|
ForwardCurveFromDiscountCurve |
A forward curve derived from a given discount curve.
|
ForwardCurveFromDiscountCurve |
A forward curve derived from a given discount curve.
|
ForwardCurveIndex |
A fixed coupon index paying coupon calculated from a forward curve.
|
ForwardCurveInterface |
The interface which is implemented by forward curves.
|
ForwardCurveInterpolation |
A container for a forward (rate) curve.
|
ForwardCurveInterpolation |
A container for a forward (rate) curve.
|
ForwardCurveInterpolation.InterpolationEntityForward |
Additional choice of interpolation entities for forward curves.
|
ForwardCurveInterpolation.InterpolationEntityForward |
Additional choice of interpolation entities for forward curves.
|
ForwardCurveNelsonSiegelSvensson |
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
|
ForwardCurveWithFixings |
|
ForwardRateAgreement |
Implements the valuation of a FRA in multi-curve setting.
|
ForwardRateAgreement |
Implements the valuation of a FRA in multi-curve setting.
|
ForwardRateAgreementGeneralized |
This class implements the valuation of a zero coupon bond.
|
ForwardRateVolatilitySurfaceCurvature |
This class implements the calculation of the curvature of the volatility surface of the forward rates.
|
FourierTransformProduct |
|
FPMLParser |
Class for parsing trades saved in FpML to product descriptors.
|
FundingCapacity |
Models the notional dependent survival probability and default compensation
of a funding capacity (funding provider)
using a piecewise constant function for the instantaneous survival probability.
|
FutureWrapper<V> |
Implementation of the Future interface,
without any concurrent execution.
|
GammaDistribution |
|
GammaProcess |
Implementation of a time-discrete n-dimensional Gamma process
\(
\Gamma = (\Gamma_{1},\ldots,\Gamma_{n})
\), where \( \Gamma_{i} \) is
a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are
independent for i not equal j.
|
GARCH |
Log-normal process with GARCH(1,1) volatility.
|
GoldenSectionSearch |
This class implements a Golden Section search algorithm, i.e., a minimization,
implemented as a question-and-answer search algorithm.
|
HaltonSequence |
Implements a multi-dimensional Halton sequence (quasi random numbers) with the given bases.
|
HestonModel |
Implements the characteristic function of a Heston model.
|
HestonModel |
This class implements a Heston Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
HestonModel.Scheme |
Truncation schemes to be used in the calculation of drift and diffusion coefficients.
|
HestonModelDescriptor |
|
HestonModelMonteCarloFactory |
|
HistoricalSimulationModel |
A parametric time series model based on a given times series.
|
HullWhiteLocalVolatilityModel |
Special variant of a blended model (or displaced diffusion model)
build on top of a standard covariance model
using the special function corresponding to the Hull-White local volatility.
|
HullWhiteModel |
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
|
HullWhiteModelWithConstantCoeff |
Implements a Hull-White model with constant coefficients.
|
HullWhiteModelWithDirectSimulation |
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
|
HullWhiteModelWithShiftExtension |
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
|
HybridAssetLIBORModelMonteCarloSimulation |
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
|
HybridAssetLIBORModelMonteCarloSimulationFromModels |
An Equity Hybrid LIBOR Market Model composed of an object implementing
LIBORModelMonteCarloSimulationModel providing the interest
rate simulation and the numeraire and an object implementing
AssetModelMonteCarloSimulationModel providing the
asset simulation.
|
HybridAssetMonteCarloProduct |
Base class for product that need an HybridAssetLIBORModelMonteCarloSimulationInterface in their valuation.
|
HybridAssetMonteCarloSimulation |
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
|
IndependentIncrements |
Interface description of a time-discrete n-dimensional stochastic process
\( X = (X_{1},\ldots,X_{n}) \) provided by independent
increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).
|
IndependentIncrementsFromICDF |
Implementation of a time-discrete n-dimensional sequence of independent increments
W = (W1,...,Wn) form a given set of inverse
cumulative distribution functions.
|
IndependentModelParameterProvider |
Interface implemented by model which can provide their independent model parameters.
|
IndexCurveFromDiscountCurve |
An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).
|
IndexedValue |
An indexed value.
|
InhomogeneousDisplacedLognomalModel |
This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
InhomogenousBachelierModel |
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
InterestRateAnalyticProductFactory |
Product factory of interest rate derivatives for use with an analytic model.
|
InterestRateModelDescriptor |
Marker interface for descriptors describing an interest rate model.
|
InterestRateMonteCarloProductFactory |
Product factory of interest rate derivatives for use with a Monte-Carlo method based model.
|
InterestRateMonteCarloProductFactory.SwapLegMonteCarlo |
Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
|
InterestRateMonteCarloProductFactory.SwapMonteCarlo |
Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
|
InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo |
Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.
|
InterestRateProductDescriptor |
Marker interface for interest rate product descriptors.
|
InterestRateSwapLegProductDescriptor |
Product descriptor for an interest rate swap leg.
|
InterestRateSwapProductDescriptor |
Product descriptor for an interest rate swap.
|
InterestRateSwaptionProductDescriptor |
Product descriptor for an interest rate swaption.
|
JarqueBeraTest |
Class providing the test statistic of the Jarque-Bera test.
|
JNumberField |
A Java swing bean to represent a number field in a GUI.
|
JumpProcessIncrements |
Implementation of a time-discrete n-dimensional jump process
J = (J1,...,Jn) where Ji is
a Poisson jump process and Ji, Jj are
independent for i not equal j.
|
LaggedIndex |
A time-lagged index paying index(t+fixingOffset)
|
LevenbergMarquardt |
This class implements a parallel Levenberg-Marquardt non-linear least-squares fit
algorithm.
|
LevenbergMarquardt.RegularizationMethod |
The regularization method used to invert the approximation of the
Hessian matrix.
|
LIBORBond |
This class implements the valuation of a zero (forward) bond on the models forward rate curve.
|
LIBORCorrelationModel |
|
LIBORCorrelationModelExponentialDecay |
|
LIBORCorrelationModelThreeParameterExponentialDecay |
Simple correlation model given by R, where R is a factor reduced matrix
(see LinearAlgebra.factorReduction(double[][], int) ) created from the
\( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues,
where \( \tilde{R} = \tilde{\rho}_{i,j} \) and
\[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))
|
LIBORCovarianceModel |
Interface for covariance models providing a vector of (possibly stochastic) factor loadings.
|
LIBORCovarianceModelBH |
A five parameter covariance model corresponding.
|
LIBORCovarianceModelCalibrateable |
Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated -method.
|
LIBORCovarianceModelExponentialForm5Param |
|
LIBORCovarianceModelExponentialForm7Param |
|
LIBORCovarianceModelFromVolatilityAndCorrelation |
A covariance model build from a volatility model implementing
LIBORVolatilityModel and a correlation model
implementing LIBORCorrelationModel .
|
LIBORCovarianceModelStochasticHestonVolatility |
As Heston like stochastic volatility model, using a process \( \lambda(t) = \sqrt(V(t)) \)
\[
dV(t) = \kappa ( \theta - V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0,
\]
where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.
|
LIBORCovarianceModelStochasticVolatility |
Simple stochastic volatility model, using a process
\[
d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,}
\]
where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.
|
LIBORIndex |
A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
|
LIBORMarketModel |
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
|
LIBORMarketModelFromCovarianceModel |
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility)
with some drift approximation methods.
|
LIBORMarketModelFromCovarianceModel.Driftapproximation |
|
LIBORMarketModelFromCovarianceModel.InterpolationMethod |
|
LIBORMarketModelFromCovarianceModel.Measure |
|
LIBORMarketModelFromCovarianceModel.StateSpace |
|
LIBORMarketModelStandard |
Implements a basic LIBOR market model with some drift approximation methods.
|
LIBORMarketModelStandard.Driftapproximation |
|
LIBORMarketModelStandard.Measure |
|
LIBORMarketModelWithTenorRefinement |
|
LIBORMarketModelWithTenorRefinement.Driftapproximation |
|
LIBORModel |
|
LIBORModelMonteCarloSimulationModel |
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
|
LIBORMonteCarloSimulationFromLIBORModel |
Implements convenient methods for a LIBOR market model, based on a given LIBORModel model
(e.g.
|
LIBORMonteCarloSimulationFromTermStructureModel |
Implements convenient methods for a LIBOR market model,
based on a given LIBORMarketModelFromCovarianceModel model
and AbstractLogNormalProcess process.
|
LIBORVolatilityModel |
|
LIBORVolatilityModelFourParameterExponentialForm |
Implements the volatility model
\[
\sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{.}
\]
The parameters here have some interpretation:
The parameter a: an initial volatility level.
The parameter b: the slope at the short end (shortly before maturity).
The parameter c: exponential decay of the volatility in time-to-maturity.
The parameter d: if c > 0 this is the very long term volatility level.
Note that this model results in a terminal (Black 76) volatility which is given
by
\[
\left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k}} \sum_{j=0}^{k-1} \left( ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \right)^{2} (t_{j+1}-t_{j})
\]
i.e., the instantaneous volatility is given by the picewise constant approximation of the function
\[
\sigma_{i}(t) = ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d
\]
on the time discretization \( \{ t_{j} \} \).
|
LIBORVolatilityModelFourParameterExponentialFormIntegrated |
Implements the volatility model
\[
\sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.}
\]
The parameters here have some interpretation:
The parameter a: an initial volatility level.
The parameter b: the slope at the short end (shortly before maturity).
The parameter c: exponential decay of the volatility in time-to-maturity.
The parameter d: if c > 0 this is the very long term volatility level.
Note that this model results in a terminal (Black 76) volatility which is given
by
\[
\left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k} \int_{0}^{t_{k}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t \text{.}
\]
|
LIBORVolatilityModelFromGivenMatrix |
Implements a simple volatility model using given piece-wise constant values on
a given discretization grid.
|
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm |
|
LIBORVolatilityModelPiecewiseConstant |
|
LIBORVolatilityModelTimeHomogenousPiecewiseConstant |
Implements a piecewise constant volatility model, where
\( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and
\( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
|
LIBORVolatilityModelTwoParameterExponentialForm |
Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))
|
Library |
Provides information on the finmath-lib library, e.g., the version.
|
LinearAlgebra |
This class implements some methods from linear algebra (e.g.
|
LinearCombinationIndex |
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
|
LinearInterpolatedTimeDiscreteProcess |
A linear interpolated time discrete process, that is, given a collection of tuples
( Double , RandomVariable ) representing
realizations \( X(t_{i}) \) this class implements
the Process and creates a stochastic process \( t \mapsto X(t) \)
where
\[
X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1})
\]
with \( t_{i} \leq t \leq t_{i+1} \).
|
LinearRegression |
Performs a linear regression on random variables implementing RandomVariable.
|
LinearSmileInterpolater |
This class implements the smile linearly and extrapolates piecewise constant.
|
LocalRiskMinimizingHedgePortfolio |
This class implements a mean variance hedged portfolio of a given product (a hedge simulator).
|
LogNormalProcess |
This class is an abstract base class to implement an Euler scheme of a multi-dimensional multi-factor log-normal Ito process.
|
LogNormalProcess.Scheme |
|
MarketData |
A set of raw data associated with a given date.
|
MarketForwardRateAgreement |
Implements the valuation of a market forward rate agreement using curves
(discount curve, forward curve).
|
MarketForwardRateAgreement |
Implements the valuation of a market forward rate agreement using curves
(discount curve, forward curve).
|
MaxIndex |
A maximum index.
|
MersenneTwister |
Mersenne Twister random number generator.
|
MertonJumpProcess |
Implementation of the compound Poisson process for the Merton jump diffusion model.
|
MertonModel |
Implements the characteristic function of a Merton jump diffusion model.
|
MertonModel |
This class implements a Merton Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
|
MertonModelDescriptor |
Descriptor for the Merton Jump Diffusion Model.
|
MinIndex |
A minumum index.
|
Model |
Interface to be implemented by all model.
|
ModelDescriptor |
Interface for a model descriptor.
|
ModelFactory<T extends ModelDescriptor> |
A factory to instantiate a model from a given descriptor.
|
ModelFactory |
Helper factory to create a simple equity hybrid LIBOR market model.
|
MoneyMarketAccount |
Implements the valuation of a money market account.
|
MonteCarloAssetModel |
This class glues together an AbstractProcessModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel
and implements AssetModelMonteCarloSimulationModel .
|
MonteCarloBlackScholesModel |
This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel
and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel .
|
MonteCarloBlackScholesModel2 |
Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process
|
MonteCarloConditionalExpectationLinearRegressionFactory |
Provides a linear regression for a vector of regression basis functions.
|
MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory |
Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions.
|
MonteCarloConditionalExpectationRegression |
A service that allows to estimate conditional expectation via regression.
|
MonteCarloConditionalExpectationRegression.RegressionBasisFunctions |
Interface for objects specifying regression basis functions (a vector of random variables).
|
MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven |
Wrapper to an array of RandomVariable[] implementing RegressionBasisFunctions
|
MonteCarloConditionalExpectationRegressionFactory |
Interface implemented by classes providing a ConditionalExpectationEstimator for conditional expectation estimation.
|
MonteCarloConditionalExpectationRegressionLocalizedOnDependents |
A service that allows to estimate conditional expectation via regression.
|
MonteCarloIntegrator |
A simple integrator using Monte-Carlo integration.
|
MonteCarloMertonModel |
This class glues together a MertonModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel , namely EulerSchemeFromProcessModel ,
and forms a Monte-Carlo implementation of the Merton model by implementing AssetModelMonteCarloSimulationModel .
|
MonteCarloMultiAssetBlackScholesModel |
This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementing AssetModelMonteCarloSimulationModel .
|
MonteCarloProcess |
|
MonteCarloProcessFromProcessModel |
This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
|
MonteCarloProduct |
Interface for products requiring an MonteCarloSimulationModel for valuation.
|
MonteCarloSimulationModel |
The interface implemented by a simulation of an SDE.
|
MonteCarloVarianceGammaModel |
This class glues together a VarianceGammaModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel
and forms a Monte-Carlo implementation of the Variance Gamma Model by implementing AssetModelMonteCarloSimulationModel .
|
MultiAssetBlackScholesModel |
This class implements a multi-asset Black Scholes model providing an AbstractProcessModel .
|
MultiPiterbargAnnuityMapping |
Implements an annuity mapping following Vladimir Piterbarg's approach.
|
NegativityConstraint |
Negativity constraint for calibration parameters.
|
NonCentralChiSquaredDistribution |
Implementation of the cumulative distribution function of the non-central Χ2 distribution.
|
NormalDistribution |
|
NormalizingDummyProduct |
|
NormalizingFunction |
Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.
|
Notional |
Base class for notional classes.
|
NotionalFromComponent |
A stochastic notional derived from the valuation of a component.
|
NotionalFromConstant |
A constant (non-stochastic) notional.
|
Numeraire |
A single deterministic cashflow at a fixed time
|
NumerairePerformanceIndex |
A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.
|
NumerairePerformanceOnScheduleIndex |
A (floating) rate index representing the performance of the numeraire asset.
|
Optimizer |
Interface for numerical optimizers.
|
Optimizer.ObjectiveFunction |
Interface for the objective function.
|
OptimizerFactory |
|
OptimizerFactoryCMAES |
|
OptimizerFactoryLevenbergMarquardt |
|
Option |
An option.
|
OptionData |
An Equity option quote is a function of strike and maturity.
|
OptionSmileData |
A collection of option prices or implied volatilities for a given maturity.
|
OptionSurfaceData |
An option quote surface with the ability to query option quotes for different strikes and maturities.
|
ParameterAggregation<E extends ParameterObject> |
Combine a set of parameter vectors to a single parameter vector.
|
ParameterAggregation<E extends ParameterObject> |
Combine a set of parameter vectors to a single parameter vector.
|
ParameterInformation |
A generic interface for scalar or multivariate parameters.
|
ParameterObject |
An objects having a dependence on a parameter (double[]).
|
ParameterObject |
An objects having a dependence on a parameter (double[]).
|
ParameterTransformation |
Interface for parameter transformation.
|
ParameterTransformation |
Interface for parameter transformation.
|
Partition |
This class represents a set of discrete points in time with weighted interval reference points.
|
Performance |
Implements an analytic product given by the ratio
of two analytic products.
|
Performance |
Implements an analytic product given by the ratio
of two analytic products.
|
PerformanceIndex |
A performance index being numeratorIndex(t) / denominatorIndex(t)
|
Period |
A period.
|
Period |
A period, i.e.
|
PiecewiseContantDoubleUnaryOperator |
A piecewise constant DoubleUnaryOperator \( f : \mathbb{R} \rightarrow \mathbb{R} \)
with exact calculation of the integral \( \int_{a}^{b} f(x) dx \) for given bounds \( a, b \).
|
PiecewiseCurve |
A piecewise curve.
|
PiecewiseCurve.Builder |
A builder (following the builder pattern) for PiecewiseCurve objects.
|
PoissonDistribution |
|
Portfolio |
Implements the valuation of a portfolio of products implementing
AnalyticProductInterface .
|
Portfolio |
Implements the valuation of a portfolio of products implementing
AnalyticProductInterface .
|
Portfolio |
Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products
under a AbstractLIBORMarketModel.
|
PortfolioMonteCarloProduct |
A portfolio of products, each product being of AbstractMonteCarloProduct type.
|
PositivityConstraint |
Positivity constraint for calibration parameters
|
PowIndex |
A power index.
|
Process |
The interface for a stochastic process X.
|
ProcessModel |
|
ProcessTimeDiscretizationProvider |
An object implementing this interfaces provides a suggestion for an optimal time-discretization
associated with this object.
|
ProcessWithBarrier |
|
Product |
Interface implemented by all financial product which may be valued by a model.
|
ProductCollection |
A collection of product components (like periods, options, etc.) paying the sum of their payouts.
|
ProductDescriptor |
Interface for a product descriptor.
|
ProductFactory<P extends ProductDescriptor> |
|
ProductFactoryCascade<T extends ProductDescriptor> |
Implements a product factory based on a cascade of given factories.
|
ProductIndex |
A product index being index1(t) * index2(t)
|
RandomNumberGenerator |
Interface for an n-dimensional random number generator
generating a sequence of vectors sampling the space [0,1]^{n}
|
RandomNumberGenerator1D |
Interface for a 1-dimensional random number generator
generating a sequence of vectors sampling the space [0,1]
|
RandomOperator |
|
RandomVariable |
This interface describes the methods implemented by an immutable random variable.
|
RandomVariableAccumulator |
The interface implemented by a mutable random variable accumulator.
|
RandomVariableArray |
An array of RandomVariable objects, implementing the RandomVariable interface.
|
RandomVariableArrayImplementation |
An implementation of RandomVariableArray implementing an array of
RandomVariable objects,
implementing the RandomVariable interface.
|
RandomVariableDifferentiable |
Interface providing additional methods for
random variable implementing RandomVariable
allowing automatic differentiation.
|
RandomVariableDifferentiableAAD |
Implementation of RandomVariableDifferentiable using
the backward algorithmic differentiation (adjoint algorithmic differentiation, AAD).
|
RandomVariableDifferentiableAADFactory |
|
RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod |
|
RandomVariableDifferentiableAD |
Implementation of RandomVariableDifferentiable using
the forward algorithmic differentiation (AD).
|
RandomVariableDifferentiableADFactory |
|
RandomVariableDifferentiableFactory |
A factory for creating objects implementing
net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable .
|
RandomVariableFactory |
A factory for creating objects implementing net.finmath.stochastic.RandomVariable .
|
RandomVariableFloatFactory |
|
RandomVariableFromArrayFactory |
A factory (helper class) to create random variables.
|
RandomVariableFromDoubleArray |
The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process
at a certain time within a Monte-Carlo simulation.
|
RandomVariableFromFloatArray |
The class RandomVariableFromFloatArray represents a random variable being the evaluation of a stochastic process
at a certain time within a Monte-Carlo simulation.
|
RandomVariableLazyEvaluation |
Implements a Monte-Carlo random variable (like RandomVariableFromDoubleArray using
late evaluation of Java 8 streams
Accesses performed exclusively through the interface
RandomVariable is thread safe (and does not mutate the class).
|
RandomVariableLazyEvaluationFactory |
|
RationalFunctionInterpolation |
This class provides methodologies to interpolate given sample points by
rational functions, that is, given interpolation points (xi,yi)
the class provides a continuous function y = f(x) where
f(xi) = yi and
for xi < x < xi+1 the function is a fraction of two polynomes
f(x) = (sum aj xj) / (sum bk xk).
|
RationalFunctionInterpolation |
This class provides methodologies to interpolate given sample points by
rational functions, that is, given interpolation points (xi,yi)
the class provides a continuous function y = f(x) where
f(xi) = yi and
for xi < x < xi+1 the function is a fraction of two polynomes
f(x) = (sum aj xj) / (sum bk xk).
|
RationalFunctionInterpolation.ExtrapolationMethod |
|
RationalFunctionInterpolation.ExtrapolationMethod |
|
RationalFunctionInterpolation.InterpolationMethod |
|
RationalFunctionInterpolation.InterpolationMethod |
|
RealIntegral |
Interface for real integral.
|
RegressionBasisFunctionsFromProducts |
An implementation of an RegressionBasisFunctionsProvider using a list of AbstractMonteCarloProduct-s.
|
RegressionBasisFunctionsProvider |
Interfaces for object providing regression basis functions.
|
RegularSchedule |
|
RiskFactorForwardRate |
|
RiskFactorFX |
|
RiskFactorID |
|
RombergRealIntegration |
Implements a Romberg integrator.
|
SABRCubeCalibration |
|
SABRCubeParallelCalibration |
|
SABRModel |
|
SABRShiftedSmileCalibration |
Calibration of a SABRVolatilityCube by shifting increments in the market data of cash settled swaptions onto physically settled swaptions and calibrating a SABR model
on the resulting smiles.
|
SABRVolatilityCube |
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
|
SABRVolatilityCubeParallel |
A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
|
SABRVolatilityCubeParallelFactory |
|
SABRVolatilityCubeSingleSmile |
A simplified volatility cube that provides a volatility smile in strike for all possible maturities and terminations, based on a single set of SABR parameters.
|
Scalar |
A scalar value implementing the RandomVariable.
|
ScalarConstraint |
Base interface for scalar parameter constraints.
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ScalarParameterInformation |
An interface representing a scalar parameter.
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ScalarParameterInformationImplementation |
This class tells us if a parameter has to be calibrated and if it is constrained.
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ScaledVolatilityCube |
A volatility cube that always returns a multiple of the value an underlying cube would return.
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Schedule |
Interface of a schedule of interest rate periods with
a fixing and payment.
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ScheduleDescriptor |
Descriptor for a schedule.
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ScheduleFromPeriods |
A schedule of interest rate periods with
a fixing and payment.
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ScheduleGenerator |
Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.).
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ScheduleGenerator.DaycountConvention |
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ScheduleGenerator.Frequency |
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ScheduleGenerator.ShortPeriodConvention |
Possible stub period conventions supported.
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ScheduleMetaData |
Deprecated. |
SchedulePrototype |
Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.
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SeasonalCurve |
The curve returns a value depending on the month of the time argument, that is,
a call getValue(model, time) will map time to a 30/360 value using
the day and month only and delegate the call to a given base curve.
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SeasonalCurve.Builder |
A builder (following the builder pattern) for SeasonalCurve objects.
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Selector |
A selection of a value on another component.
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ShortRateModel |
Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
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ShortRateVolatilityModel |
Interface for piecewise constant short rate volatility models with
piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \)
and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).
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ShortRateVolatilityModelAsGiven |
A short rate volatility model from given volatility and mean reversion.
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ShortRateVolatilityModelCalibrateable |
Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated -method.
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ShortRateVolatilityModelHoLee |
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ShortRateVolatilityModelParametric |
Interface for short rate volatility models which are determined by a vector of parameter.
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ShortRateVolatilityModelPiecewiseConstant |
Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.
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SimpleCappedFlooredFloatingRateBond |
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SimpleHistroricalSimulation |
Implementation of standard historical simulation.
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SimpleSwap |
Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel
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SimpleZeroSwap |
Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.
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SimplifiedLinearAnnuityMapping |
Provides a light-weight linear annuity mapping.
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SimpsonRealIntegrator |
A simple integrator using Simpson's rule.
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SingleAssetDigitalOptionProductDescriptor |
Describes a European digital option.
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SingleAssetEuropeanOptionProductDescriptor |
Describes a European option.
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SingleAssetFourierProductFactory |
Product factory of single asset derivatives for use with a Fourier method based model.
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SingleAssetFourierProductFactory.DigitalOptionFourierMethod |
Fourier method based implementation of a digital option from a product descriptor.
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SingleAssetFourierProductFactory.EuropeanOptionFourierMethod |
Fourier method based implementation of a European option from a product descriptor.
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SingleAssetMonteCarloProductFactory |
Product factory of single asset derivatives for use with a Monte-Carlo method based model.
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SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo |
Monte-Carlo method based implementation of a digital option from a product descriptor.
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SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo |
Monte-Carlo method based implementation of a European option from a product descriptor.
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SingleAssetProductDescriptor |
Interface for a product descriptor.
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SmileByIntegralTransform |
Base interface for Fourier-based valuations.
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SmileInterpolationExtrapolationMethod |
Interface for a Smile inter and extrapolation.
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SobolSequence |
Implements a multi-dimensional Sobol sequence.
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SobolSequence1D |
Implements a multi-dimensional Sobol sequence.
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Solver |
Generates a calibrated model for a given set
of calibrationProducts with respect to given CurveFromInterpolationPoints s.
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Solver |
Generates a calibrated model for a given set
of calibrationProducts with respect to given CurveFromInterpolationPoints s.
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SolverException |
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StaticCubeCalibration |
Calibration for a simple cube that only provides a single value at all coordinates.
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StaticVolatilityCube |
A volatility cube that always returns the given value.
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StochasticLevenbergMarquardt |
This class implements a stochastic Levenberg Marquardt non-linear least-squares fit
algorithm.
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StochasticLevenbergMarquardt.RegularizationMethod |
The regularization method used to invert the approximation of the
Hessian matrix.
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StochasticLevenbergMarquardtAD |
This class implements a stochastic Levenberg Marquardt non-linear least-squares fit
algorithm.
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StochasticOptimizer |
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StochasticOptimizer.ObjectiveFunction |
The interface describing the objective function of a StochasticOptimizer .
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StochasticOptimizerFactory |
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StochasticOptimizerFactoryLevenbergMarquardt |
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StochasticOptimizerFactoryLevenbergMarquardtAD |
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StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD |
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StochasticPathwiseLevenbergMarquardt |
This class implements a stochastic Levenberg Marquardt non-linear least-squares fit
algorithm.
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StochasticPathwiseLevenbergMarquardtAD |
This class implements a stochastic Levenberg Marquardt non-linear least-squares fit
algorithm.
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StochasticPathwiseOptimizerFactoryLevenbergMarquardt |
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Swap |
Implements the valuation of a swap using curves (discount curve, forward curve).
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Swap |
Implements the valuation of a swap using curves (discount curve, forward curve).
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Swap |
Create a swap from schedules, notional, indices and spreads (fixed coupons).
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SwapAnnuity |
Implements the valuation of a swap annuity using curves (discount curve).
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SwapAnnuity |
Implements the valuation of a swap annuity using curves (discount curve).
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SwapLeg |
Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).
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SwapLeg |
Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).
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SwapLeg |
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SwapLegWithFundingProvider |
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SwaprateCovarianceAnalyticApproximation |
This class implements an analytic approximation of the integrated instantaneous covariance
of two swap rates under a LIBOR market model.
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Swaption |
A market interface for all swaption implementations and a holder for some product specific definitions.
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Swaption |
Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.
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Swaption.ValueUnit |
Swaptions specific value units, like swaption implied volatilities.
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SwaptionAnalyticApproximation |
This class implements an analytic swaption valuation formula under
a LIBOR market model.
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SwaptionAnalyticApproximationRebonato |
This class implements an analytic swaption valuation formula under
a LIBOR market model.
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SwaptionATM |
A lightweight ATM swaption product used for calibration.
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SwaptionATMMarketDataFromArray |
Simple swaption market data class.
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SwaptionDataLattice |
Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.
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SwaptionDataLattice.QuotingConvention |
Quoting convention for swaption data in a lattice.
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SwaptionFactory |
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SwaptionFromSwapSchedules |
Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.
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SwaptionFromSwapSchedules.SwaptionType |
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SwaptionGeneralizedAnalyticApproximation |
This class implements an analytic swaption valuation formula under
a LIBOR market model.
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SwaptionGeneralizedAnalyticApproximation.StateSpace |
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SwaptionGeneralizedAnalyticApproximation.ValueUnit |
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SwaptionMarketData |
Basic interface to be implemented by classes
providing swaption market data.
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SwaptionSimple |
Implements the valuation of a simplified (idealized) swaption under a
LIBORModelMonteCarloSimulationModel
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SwaptionSingleCurve |
Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel
Important: If the LIBOR Market Model is a multi-curve model in the sense that the
numeraire is not calculated from the forward curve, then this valuation does
not result in the valuation of a collaterlized option on a collateralized swap.
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SwaptionSingleCurveAnalyticApproximation |
This class implements an analytic swaption valuation formula under
a LIBOR market model.
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SwaptionWithComponents |
Implements the pricing of a swap under a AbstractLIBORMarketModel
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SwapWithComponents |
Implements the pricing of a swap under a AbstractLIBORMarketModel
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Tenor |
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TenorConverter |
This class implements a caplet volatility tenor converter.
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TenorFromArray |
Implements a time discretization based on dates using a reference
date and an daycount convention / year fraction.
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TermStructCovarianceModelFromLIBORCovarianceModel |
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TermStructCovarianceModelFromLIBORCovarianceModelParametric |
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TermStructureCovarianceModelInterface |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
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TermStructureCovarianceModelParametric |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
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TermStructureFactorLoadingsModelInterface |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
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TermStructureFactorLoadingsModelParametricInterface |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
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TermStructureModel |
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TermStructureMonteCarloProduct |
Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class
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TermStructureMonteCarloSimulationModel |
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TermStructureTenorTimeScalingInterface |
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TermStructureTenorTimeScalingPicewiseConstant |
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TimeDiscreteEndOfMonthIndex |
An index which maps is evaluation point to a fixed discrete point, the end of the month,
then takes the value of a given base index at this point.
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TimeDiscretization |
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TimeDiscretizationFromArray |
This class represents a set of discrete points in time.
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TimeDiscretizationFromArray.ShortPeriodLocation |
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TimeSeries |
Interface to be implemented by finite time series.
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TimeSeriesFromArray |
A discrete time series.
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TimeSeriesModelParametric |
A parametric time series model
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TimeSeriesView |
A time series created from a sup-interval of another time series.
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TrapezoidalRealIntegrator |
A simple integrator using the trapezoidal rule.
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TriggerIndex |
A trigger index.
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Unconstrained |
Absence of constraints.
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UnsupportedIndex |
An index throwing an exception if his getValue method is called.
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UnsupportedProduct |
A product throwing an exception if its getValue method is called.
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Utils |
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VanDerCorputSequence |
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VarianceGammaModel |
Implements the characteristic function of a Variance Gamma model.
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VarianceGammaModel |
This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification
and performs the calculation of the numeraire (consistent with the dynamics, i.e.
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VarianceGammaModelDescriptor |
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VarianceGammaProcess |
Implementation of a time-discrete n-dimensional Variance Gamma process via Brownian subordination through
a Gamma Process.
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VolatilityCube |
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VolatilityCubeFactory |
A factory for all volatility cubes, based on common input.
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VolatilityCubeModel |
A collection of objects representing analytic valuations.
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VolatilitySurface |
Interface for classes representing a volatility surface,
i.e.
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VolatilitySurface |
Interface for classes representing a volatility surface,
i.e.
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VolatilitySurface.QuotingConvention |
Quoting conventions.
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VolatilitySurface.QuotingConvention |
Quoting conventions.
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VolVolCube |
This cube provides the volatility of the stochastic driver for each sub-tenor of the swap rate's schedule in the Piterbarg model of the annuity mapping.
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WorstOfExpressCertificate |
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XMLParser |
Interface for XML parsers creating a product descriptor from an XML file.
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