net.finmath.concurrency |
Provides helper classes related to concurrent programming.
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net.finmath.exception |
Provides classes related to exception handling.
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net.finmath.finitedifference.experimental |
Algorithms using finite differences methods.
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net.finmath.finitedifference.models |
Models provided for finite difference solvers.
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net.finmath.finitedifference.products |
Product valuation code for models using backward propagation.
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net.finmath.finitedifference.solvers |
Finite difference solvers
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net.finmath.fouriermethod |
Provides algorithms related to derivative valuation via
a models characteristic functions and Fourier transforms of a products payoffs.
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net.finmath.fouriermethod.calibration |
Classes related to the calibration of Fourier models.
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net.finmath.fouriermethod.calibration.models |
Classes related to the calibration of fourier models.
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net.finmath.fouriermethod.models |
Provides characteristic functions of stochastic processes (models).
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net.finmath.fouriermethod.products |
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
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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.
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net.finmath.functions |
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
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net.finmath.information |
Provides information about the library (e.g.
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net.finmath.integration |
Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration.
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net.finmath.interpolation |
Basic methodologies to interpolate of curves and surfaces are provided here.
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net.finmath.marketdata.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
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net.finmath.marketdata.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
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net.finmath.marketdata.model.bond |
Provides classes related to the modeling of Bond curves.
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net.finmath.marketdata.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
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net.finmath.marketdata.model.curves.locallinearregression |
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
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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.
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net.finmath.marketdata.model.volatility.caplet |
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
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net.finmath.marketdata.model.volatility.caplet.smile |
Algorithms related to caplet smile interpolation.
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net.finmath.marketdata.model.volatility.caplet.tenorconversion |
Algorithms related to caplet tenor conversion.
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net.finmath.marketdata.products |
Provides interface specification and implementation of products, e.g., calibration products.
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net.finmath.marketdata2.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
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net.finmath.marketdata2.interpolation |
Basic methodologies to interpolate of curves and surfaces are provided here.
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net.finmath.marketdata2.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
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net.finmath.marketdata2.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
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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.
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net.finmath.marketdata2.products |
Provides interface specification and implementation of products, e.g., calibration products.
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net.finmath.modelling |
Provides interface separating models and products.
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net.finmath.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
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net.finmath.modelling.descriptor.xmlparser |
Provides xml parsers to construct descriptors from XML
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net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
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net.finmath.modelling.productfactory |
Provides classes to build products from descriptors.
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net.finmath.modelling.products |
Interface and base classes related to products.
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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.
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net.finmath.montecarlo.assetderivativevaluation |
Monte-Carlo models for asset value processes, like the Black Scholes model.
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net.finmath.montecarlo.assetderivativevaluation.models |
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net.finmath.montecarlo.assetderivativevaluation.products |
Products which may be valued using an AssetModelMonteCarloSimulationModel .
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net.finmath.montecarlo.automaticdifferentiation |
Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
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net.finmath.montecarlo.automaticdifferentiation.backward |
Provides the implementation of backward automatic differentiation.
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net.finmath.montecarlo.automaticdifferentiation.forward |
Provides the implementation of forward automatic differentiation.
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net.finmath.montecarlo.conditionalexpectation |
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
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net.finmath.montecarlo.crosscurrency |
Provides classes for Cross-Currency models to be implemented via Monte-Carlo
algorithms from net.finmath.montecarlo.process .
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net.finmath.montecarlo.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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net.finmath.montecarlo.hybridassetinterestrate.products |
Provides classes which implement financial products which may be
valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation .
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net.finmath.montecarlo.interestrate |
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from net.finmath.montecarlo.process .
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net.finmath.montecarlo.interestrate.models |
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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.
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net.finmath.montecarlo.interestrate.products |
Provides classes which implement financial products which may be
valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel .
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net.finmath.montecarlo.interestrate.products.components |
Provides a set product components which allow to build financial products by composition.
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net.finmath.montecarlo.interestrate.products.indices |
Provides a set of indices which can be used as part of a period.
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net.finmath.montecarlo.model |
Provides an interface and a base class for process models, i.e., models providing the parameters for
stochastic processes.
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net.finmath.montecarlo.process |
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
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net.finmath.montecarlo.process.component.barrier |
Components providing the barrier in the Monte-Carlo simulation with barrier.
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net.finmath.montecarlo.process.component.factordrift |
Components providing the factor drift in the simulation of a proxy simulation scheme.
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net.finmath.montecarlo.products |
Products which are model independent, but assume a Monte-Carlo simulation.
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net.finmath.montecarlo.templatemethoddesign |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
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net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
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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.
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net.finmath.parser |
Contains classes for parsing files.
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net.finmath.randomnumbers |
Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.
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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.
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net.finmath.singleswaprate.annuitymapping |
Classes providing options for the annuity mapping function.
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net.finmath.singleswaprate.calibration |
Classes providing calibration to market data of volatility cubes.
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net.finmath.singleswaprate.data |
Provides classes to store and interact with market data.
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net.finmath.singleswaprate.model |
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net.finmath.singleswaprate.model.curves |
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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.
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net.finmath.singleswaprate.products |
Provides interface specification and implementation of product based on a single interest rate curve.
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net.finmath.stochastic |
Interfaces specifying operations on random variables.
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net.finmath.swing |
Provides utilities for Java swing (used in finmath applets).
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net.finmath.time |
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
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net.finmath.time.businessdaycalendar |
Provides business day calendars, e.g., as used in date roll conventions.
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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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net.finmath.timeseries |
Provides classes related to time series modeling and estimation, e.g.
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net.finmath.timeseries.models.parametric |
Classes related to estimation of time series.
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net.finmath.util |
Provides utility classes.
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