net.finmath.fouriermethod.products |
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
|
net.finmath.fouriermethod.products.smile |
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to
the corresponding product value.
|
net.finmath.marketdata.model.volatilities |
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
|
net.finmath.marketdata.model.volatility.caplet |
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
|
net.finmath.marketdata.model.volatility.caplet.tenorconversion |
Algorithms related to caplet tenor conversion.
|
net.finmath.marketdata2.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
|
net.finmath.modelling.productfactory |
Provides classes to build products from descriptors.
|
net.finmath.montecarlo |
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
|
net.finmath.montecarlo.assetderivativevaluation |
Monte-Carlo models for asset value processes, like the Black Scholes model.
|
net.finmath.montecarlo.assetderivativevaluation.models |
|
net.finmath.montecarlo.assetderivativevaluation.products |
Products which may be valued using an AssetModelMonteCarloSimulationModel .
|
net.finmath.montecarlo.conditionalexpectation |
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
|
net.finmath.montecarlo.crosscurrency |
Provides classes for Cross-Currency models to be implemented via Monte-Carlo
algorithms from net.finmath.montecarlo.process .
|
net.finmath.montecarlo.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
|
net.finmath.montecarlo.hybridassetinterestrate.products |
Provides classes which implement financial products which may be
valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation .
|
net.finmath.montecarlo.interestrate |
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from net.finmath.montecarlo.process .
|
net.finmath.montecarlo.interestrate.models |
|
net.finmath.montecarlo.interestrate.models.covariance |
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
|
net.finmath.montecarlo.interestrate.products |
Provides classes which implement financial products which may be
valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel .
|
net.finmath.montecarlo.interestrate.products.components |
Provides a set product components which allow to build financial products by composition.
|
net.finmath.montecarlo.interestrate.products.indices |
Provides a set of indices which can be used as part of a period.
|
net.finmath.montecarlo.model |
Provides an interface and a base class for process models, i.e., models providing the parameters for
stochastic processes.
|
net.finmath.montecarlo.process |
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
|
net.finmath.montecarlo.process.component.barrier |
Components providing the barrier in the Monte-Carlo simulation with barrier.
|
net.finmath.montecarlo.products |
Products which are model independent, but assume a Monte-Carlo simulation.
|