Uses of Interface
net.finmath.modelling.Product

Packages that use Product

Package	Description
net.finmath.finitedifference.products	Product valuation code for models using backward propagation.
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.marketdata.model.bond	Provides classes related to the modeling of Bond curves.
net.finmath.marketdata.model.volatility.caplet	Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling	Provides interface separating models and products.
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.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
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.models	Interest rate models implementing ProcessModel e.g.
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.products	Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Uses of Product in net.finmath.finitedifference.products

Subinterfaces of Product in net.finmath.finitedifference.products

Modifier and Type	Interface	Description
interface	FiniteDifference1DProduct	Interface one dimensional finite difference products.

Classes in net.finmath.finitedifference.products that implement Product

Modifier and Type	Class	Description
class	FDMEuropeanCallOption	Implementation of a European option to be valued by a the finite difference method.
class	FDMEuropeanPutOption	Implementation of a European option to be valued by a the finite difference method.

Uses of Product in net.finmath.fouriermethod.products

Subinterfaces of Product in net.finmath.fouriermethod.products

Modifier and Type	Interface	Description
interface	FourierTransformProduct

Classes in net.finmath.fouriermethod.products that implement Product

Modifier and Type	Class	Description
class	AbstractFourierTransformProduct
class	DigitalOption	Implements valuation of a European option on a single asset.
class	EuropeanOption	Implements valuation of a European option on a single asset.

Uses of Product in net.finmath.marketdata.model.bond

Classes in net.finmath.marketdata.model.bond that implement Product

Modifier and Type	Class	Description
class	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.

Uses of Product in net.finmath.marketdata.model.volatility.caplet

Classes in net.finmath.marketdata.model.volatility.caplet that implement Product

Modifier and Type	Class	Description
class	CapShiftedVol	Implements the valuation of a cap via an analytic model, i.e.

Uses of Product in net.finmath.marketdata.products

Subinterfaces of Product in net.finmath.marketdata.products

Modifier and Type	Interface	Description
interface	AnalyticProduct	The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCurvesAndVols.

Classes in net.finmath.marketdata.products that implement Product

Modifier and Type	Class	Description
class	AbstractAnalyticProduct
class	Cap	Implements the valuation of a cap via an analytic model, i.e.
class	Cashflow	Implements the valuation of a single cashflow by a discount curve.
class	Deposit	Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
class	Forward	Implements the valuation of a forward using curves (discount curve, forward curve).
class	ForwardRateAgreement	Implements the valuation of a FRA in multi-curve setting.
class	MarketForwardRateAgreement	Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
class	Performance	Implements an analytic product given by the ratio of two analytic products.
class	Portfolio	Implements the valuation of a portfolio of products implementing AnalyticProductInterface.
class	Swap	Implements the valuation of a swap using curves (discount curve, forward curve).
class	SwapAnnuity	Implements the valuation of a swap annuity using curves (discount curve).
class	SwapLeg	Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).

Uses of Product in net.finmath.marketdata2.products

Subinterfaces of Product in net.finmath.marketdata2.products

Modifier and Type	Interface	Description
interface	AnalyticProduct	The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCurvesAndVols.

Classes in net.finmath.marketdata2.products that implement Product

Modifier and Type	Class	Description
class	AbstractAnalyticProduct
class	Cashflow	Implements the valuation of a single cashflow by a discount curve.
class	Deposit	Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
class	Forward	Implements the valuation of a forward using curves (discount curve, forward curve).
class	ForwardRateAgreement	Implements the valuation of a FRA in multi-curve setting.
class	MarketForwardRateAgreement	Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
class	Performance	Implements an analytic product given by the ratio of two analytic products.
class	Portfolio	Implements the valuation of a portfolio of products implementing AnalyticProductInterface.
class	Swap	Implements the valuation of a swap using curves (discount curve, forward curve).
class	SwapAnnuity	Implements the valuation of a swap annuity using curves (discount curve).
class	SwapLeg	Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).

Uses of Product in net.finmath.modelling

Subinterfaces of Product in net.finmath.modelling

Modifier and Type	Interface	Description
interface	DescribedProduct<T extends ProductDescriptor>	Interface for products which can provide a complete description of themself, i.e.

Classes in net.finmath.modelling that implement Product

Modifier and Type	Class	Description
class	UnsupportedProduct	A product throwing an exception if its getValue method is called.

Uses of Product in net.finmath.modelling.productfactory

Classes in net.finmath.modelling.productfactory that implement Product

Modifier and Type	Class	Description
static class	InterestRateMonteCarloProductFactory.SwapLegMonteCarlo	Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwapMonteCarlo	Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo	Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.
static class	SingleAssetFourierProductFactory.DigitalOptionFourierMethod	Fourier method based implementation of a digital option from a product descriptor.
static class	SingleAssetFourierProductFactory.EuropeanOptionFourierMethod	Fourier method based implementation of a European option from a product descriptor.
static class	SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo	Monte-Carlo method based implementation of a digital option from a product descriptor.
static class	SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo	Monte-Carlo method based implementation of a European option from a product descriptor.

Uses of Product in net.finmath.montecarlo

Subinterfaces of Product in net.finmath.montecarlo

Modifier and Type	Interface	Description
interface	MonteCarloProduct	Interface for products requiring an MonteCarloSimulationModel for valuation.

Classes in net.finmath.montecarlo that implement Product

Modifier and Type	Class	Description
class	AbstractMonteCarloProduct	Base class for products requiring an MonteCarloSimulationModel for valuation.

Uses of Product in net.finmath.montecarlo.assetderivativevaluation.products

Classes in net.finmath.montecarlo.assetderivativevaluation.products that implement Product

Modifier and Type	Class	Description
class	AbstractAssetMonteCarloProduct	Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
class	AsianOption	Implements the valuation of an Asian option.
class	BasketOption	Implements valuation of a European option on a basket of asset.
class	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.
class	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.
class	BlackScholesDeltaHedgedPortfolio	This class implements a delta hedged portfolio of an European option (a hedge simulator).
class	BlackScholesHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	DeltaHedgedPortfolioWithAAD	This class implements a delta hedged portfolio (a hedge simulator).
class	DigitalOption	Implements the valuation of a digital option on a single asset.
class	DigitalOptionDeltaLikelihood	Implements calculation of the delta of a digital option.
class	EuropeanOption	Implements the valuation of a European option on a single asset.
class	EuropeanOptionDeltaLikelihood	Implements calculation of the delta of a European option using the likelihood ratio method.
class	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.
class	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.
class	EuropeanOptionGammaLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionGammaPathwise	Implements calculation of the delta of a European option using the pathwise method.
class	EuropeanOptionRhoLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionRhoPathwise	Implements calculation of the delta of a European option using the pathwise method.
class	EuropeanOptionThetaPathwise	Implements calculation of the theta of a European option using the pathwise method.
class	EuropeanOptionVegaLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionVegaPathwise	Implements calculation of the vega of a European option using the pathwise method.
class	EuropeanOptionWithBoundary	Implements pricing of a European stock option.
class	FiniteDifferenceDeltaHedgedPortfolio	This class implements a delta hedged portfolio of a given product (a hedge simulator).
class	FiniteDifferenceHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	ForwardAgreement	Implements the valuation of a forward on a single asset.
class	ForwardAgreementWithFundingRequirement	Implements the valuation of a forward on a single asset.
class	LocalRiskMinimizingHedgePortfolio	This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Uses of Product in net.finmath.montecarlo.hybridassetinterestrate.products

Classes in net.finmath.montecarlo.hybridassetinterestrate.products that implement Product

Modifier and Type	Class	Description
class	Bond	This class implements the valuation of a zero coupon bond.
class	BondWithForeignNumeraire	This class implements the valuation of a zero coupon bond.
class	ForwardRateAgreementGeneralized	This class implements the valuation of a zero coupon bond.
class	HybridAssetMonteCarloProduct	Base class for product that need an HybridAssetLIBORModelMonteCarloSimulationInterface in their valuation.
class	WorstOfExpressCertificate

Uses of Product in net.finmath.montecarlo.interestrate.models

Classes in net.finmath.montecarlo.interestrate.models that implement Product

Modifier and Type	Class	Description
class	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.

Uses of Product in net.finmath.montecarlo.interestrate.products

Subinterfaces of Product in net.finmath.montecarlo.interestrate.products

Modifier and Type	Interface	Description
interface	TermStructureMonteCarloProduct	Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class

Classes in net.finmath.montecarlo.interestrate.products that implement Product

Modifier and Type	Class	Description
class	AbstractLIBORMonteCarloProduct	Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class
class	BermudanSwaption	Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
class	BermudanSwaptionFromSwapSchedules	Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
class	Bond	This class implements the valuation of a zero coupon bond.
class	CancelableSwap	Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
class	Caplet	Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
class	CMSOption	Implements the valuation of an option on a CMS rate.
class	DigitalCaplet	Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel.
class	DigitalFloorlet	Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
class	FlexiCap	This class implements the valuation of a Flexi Cap (aka Auto Cap).
class	ForwardRateVolatilitySurfaceCurvature	This class implements the calculation of the curvature of the volatility surface of the forward rates.
class	LIBORBond	This class implements the valuation of a zero (forward) bond on the models forward rate curve.
class	MoneyMarketAccount	Implements the valuation of a money market account.
class	Portfolio	Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.
class	SimpleCappedFlooredFloatingRateBond
class	SimpleSwap	Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel
class	SimpleZeroSwap	Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.
class	Swap	Create a swap from schedules, notional, indices and spreads (fixed coupons).
class	SwapLeg
class	SwapLegWithFundingProvider
class	SwaprateCovarianceAnalyticApproximation	This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.
class	Swaption	Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.
class	SwaptionAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionAnalyticApproximationRebonato	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionATM	A lightweight ATM swaption product used for calibration.
class	SwaptionFromSwapSchedules	Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.
class	SwaptionGeneralizedAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionSimple	Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel
class	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.
class	SwaptionSingleCurveAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionWithComponents	Implements the pricing of a swap under a AbstractLIBORMarketModel
class	SwapWithComponents	Implements the pricing of a swap under a AbstractLIBORMarketModel

Uses of Product in net.finmath.montecarlo.interestrate.products.components

Classes in net.finmath.montecarlo.interestrate.products.components that implement Product

Modifier and Type	Class	Description
class	AbstractPeriod	Base class for a period.
class	AbstractProductComponent	Base class for product components.
class	AccrualAccount	Implementation of a general accrual account.
class	Cashflow	A single deterministic cashflow at a fixed time
class	Choice	An right to choose between two underlyings.
class	ExpectedTailLoss	The expected tail loss.
class	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.
class	IndexedValue	An indexed value.
class	Numeraire	A single deterministic cashflow at a fixed time
class	Option	An option.
class	Period	A period.
class	ProductCollection	A collection of product components (like periods, options, etc.) paying the sum of their payouts.
class	Selector	A selection of a value on another component.

Uses of Product in net.finmath.montecarlo.interestrate.products.indices

Classes in net.finmath.montecarlo.interestrate.products.indices that implement Product

Modifier and Type	Class	Description
class	AbstractIndex	Base class for indices.
class	AccruedInterest	An accrued interest index.
class	AnalyticModelForwardCurveIndex	An index which is given by a name referencing a curve of an analytic model.
class	AnalyticModelIndex	An index which is given by a name referencing a curve of an analytic model.
class	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.
class	ConstantMaturitySwaprate	An idealized (single curve) CMS index with given maturity and given period length.
class	DateIndex	An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
class	FixedCoupon	A fixed coupon index paying constant coupon..
class	ForwardCurveIndex	A fixed coupon index paying coupon calculated from a forward curve.
class	LaggedIndex	A time-lagged index paying index(t+fixingOffset)
class	LIBORIndex	A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
class	LinearCombinationIndex	A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
class	MaxIndex	A maximum index.
class	MinIndex	A minumum index.
class	NumerairePerformanceIndex	A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.
class	NumerairePerformanceOnScheduleIndex	A (floating) rate index representing the performance of the numeraire asset.
class	PerformanceIndex	A performance index being numeratorIndex(t) / denominatorIndex(t)
class	PowIndex	A power index.
class	ProductIndex	A product index being index1(t) * index2(t)
class	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.
class	TriggerIndex	A trigger index.
class	UnsupportedIndex	An index throwing an exception if his getValue method is called.

Uses of Product in net.finmath.montecarlo.products

Classes in net.finmath.montecarlo.products that implement Product

Modifier and Type	Class	Description
class	PortfolioMonteCarloProduct	A portfolio of products, each product being of AbstractMonteCarloProduct type.

Uses of Product in net.finmath.singleswaprate.products

Subinterfaces of Product in net.finmath.singleswaprate.products

Modifier and Type	Interface	Description
interface	AnalyticVolatilityCubeProduct	The interface of a product to be evaluated using a VolatilityCubeModel.

Classes in net.finmath.singleswaprate.products that implement Product

Modifier and Type	Class	Description
class	AbstractAnalyticVolatilityCubeProduct	Abstract layer between interface and implementation, which ensures compatibility of model and product.
class	AbstractSingleSwapRateProduct	An abstract class providing valuation methods for single swap rate products.
class	AnnuityDummyProduct	A dummy product that only evaluates the value of a AnnuityMapping.
class	CashSettledPayerSwaption	A European cash settled payer swaption.
class	CashSettledReceiverSwaption	A European cash settled receiver swaption.
class	ConstantMaturitySwap	A constant maturity swap.
class	NormalizingDummyProduct	A dummy product that only evaluates the value of a NormalizingFunction.