Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.indices

Provides a set of indices which can be used as part of a period.

Author:

Christian Fries

See Also:

Period

Class Summary

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

Enum Summary

Enum	Description
DateIndex.DateIndexType