Index (finmath lib 5.0.6 API)

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A

abs() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
abs() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
abs() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
abs() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
abs() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
abs() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → Math.abs(x), i.e.
abs() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
abs() - Method in class net.finmath.stochastic.Scalar
AbstractAnalyticProduct - Class in net.finmath.marketdata.products
AbstractAnalyticProduct - Class in net.finmath.marketdata2.products
AbstractAnalyticProduct() - Constructor for class net.finmath.marketdata.products.AbstractAnalyticProduct
AbstractAnalyticProduct() - Constructor for class net.finmath.marketdata2.products.AbstractAnalyticProduct
AbstractAnalyticVolatilityCubeProduct - Class in net.finmath.singleswaprate.products: Abstract layer between interface and implementation, which ensures compatibility of model and product.
AbstractAnalyticVolatilityCubeProduct() - Constructor for class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
AbstractAssetMonteCarloProduct - Class in net.finmath.montecarlo.assetderivativevaluation.products: Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
AbstractAssetMonteCarloProduct() - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
AbstractBusinessdayCalendar - Class in net.finmath.time.businessdaycalendar: Base class for all business day calendars.
AbstractBusinessdayCalendar() - Constructor for class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
AbstractCubeCalibration - Class in net.finmath.singleswaprate.calibration: 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
AbstractCubeCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Create the calibrator.
AbstractCubeCalibration.SwaptionInfo - Class in net.finmath.singleswaprate.calibration: Compact identifier for the swaptions to be created during the optimization.
AbstractCurve - Class in net.finmath.marketdata.model.curves: Abstract base class for a curve.
AbstractCurve - Class in net.finmath.marketdata2.model.curves: Abstract base class for a curve.
AbstractCurve(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.AbstractCurve
AbstractCurve(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.curves.AbstractCurve
AbstractForwardCurve - Class in net.finmath.marketdata.model.curves: 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.
AbstractForwardCurve - Class in net.finmath.marketdata2.model.curves: 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.
AbstractForwardCurve(String, LocalDate, double, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve: Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, double, String) - Constructor for class net.finmath.marketdata2.model.curves.AbstractForwardCurve: Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve: Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, String) - Constructor for class net.finmath.marketdata2.model.curves.AbstractForwardCurve: Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve: Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, String) - Constructor for class net.finmath.marketdata2.model.curves.AbstractForwardCurve: Construct a base forward curve with a reference date and a payment offset.
AbstractFourierTransformProduct - Class in net.finmath.fouriermethod.products
AbstractFourierTransformProduct() - Constructor for class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
AbstractIndex - Class in net.finmath.montecarlo.interestrate.products.indices: Base class for indices.
AbstractIndex() - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex: Initialize an abstract index which does not have a dedicated name or currency, e.g.
AbstractIndex(String) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex: Initialize the name of an index.
AbstractIndex(String, String) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex: Initialize name and currency of an index.
AbstractLIBORCovarianceModel - Class in net.finmath.montecarlo.interestrate.models.covariance: A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
AbstractLIBORCovarianceModel(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel: Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORCovarianceModelParametric - Class in net.finmath.montecarlo.interestrate.models.covariance: Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
AbstractLIBORCovarianceModelParametric(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric: Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORMonteCarloProduct - Class in net.finmath.montecarlo.interestrate.products: Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class
AbstractLIBORMonteCarloProduct() - Constructor for class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
AbstractLIBORMonteCarloProduct(String) - Constructor for class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
AbstractMonteCarloProduct - Class in net.finmath.montecarlo: Base class for products requiring an MonteCarloSimulationModel for valuation.
AbstractMonteCarloProduct() - Constructor for class net.finmath.montecarlo.AbstractMonteCarloProduct
AbstractMonteCarloProduct(String) - Constructor for class net.finmath.montecarlo.AbstractMonteCarloProduct
AbstractPeriod - Class in net.finmath.montecarlo.interestrate.products.components: Base class for a period.
AbstractPeriod(double, double, double, double, Notional, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod: Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.
AbstractPeriod(double, double, double, double, Notional, AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod: Initialize basic properties of the period.
AbstractPeriod(LocalDateTime, double, double, double, double, Notional, AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod: Initialize basic properties of the period.
AbstractProcessModel - Class in net.finmath.montecarlo.model: This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
AbstractProcessModel() - Constructor for class net.finmath.montecarlo.model.AbstractProcessModel
AbstractProductComponent - Class in net.finmath.montecarlo.interestrate.products.components: Base class for product components.
AbstractProductComponent() - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
AbstractProductComponent(String) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
AbstractRandomVariableDifferentiableFactory - Class in net.finmath.montecarlo.automaticdifferentiation: A random variable factory extending AbstractRandomVariableFactory providing random variables implementing RandomVariableDifferentiable.
AbstractRandomVariableDifferentiableFactory() - Constructor for class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
AbstractRandomVariableDifferentiableFactory(RandomVariableFactory) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory: Construct an object extending AbstractRandomVariableDifferentiableFactory with a specific AbstractRandomVariableFactory for the storage of values.
AbstractRandomVariableFactory - Class in net.finmath.montecarlo
AbstractRandomVariableFactory() - Constructor for class net.finmath.montecarlo.AbstractRandomVariableFactory
AbstractRealIntegral - Class in net.finmath.integration: A real integral with lower and upper integration bounds.
AbstractRealIntegral(double, double) - Constructor for class net.finmath.integration.AbstractRealIntegral: Create a real integral with lower and upper integration bounds.
AbstractShortRateVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance: A base class and interface description for the instantaneous volatility of an short rate model.
AbstractShortRateVolatilityModel(TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel: Constructor consuming time discretizations, which are handled by the super class.
AbstractShortRateVolatilityModelParametric - Class in net.finmath.montecarlo.interestrate.models.covariance: Base class for parametric volatility models, see also AbstractShortRateVolatilityModel.
AbstractShortRateVolatilityModelParametric(TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric: Constructor consuming time discretization.
AbstractSingleSwapRateProduct - Class in net.finmath.singleswaprate.products: An abstract class providing valuation methods for single swap rate products.
AbstractSingleSwapRateProduct(Schedule, Schedule, String, String, String) - Constructor for class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Create the single swap rate product.
AbstractVolatilitySurface - Class in net.finmath.marketdata.model.volatilities: Abstract base class for a volatility surface.
AbstractVolatilitySurface - Class in net.finmath.marketdata2.model.volatilities: Abstract base class for a volatility surface.
AbstractVolatilitySurface(String, LocalDate) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
AbstractVolatilitySurface(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
AbstractVolatilitySurface(String, LocalDate, ForwardCurve, DiscountCurve, VolatilitySurface.QuotingConvention, DayCountConvention) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
AbstractVolatilitySurface(String, LocalDate, ForwardCurve, DiscountCurve, VolatilitySurface.QuotingConvention, DayCountConvention) - Constructor for class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
AbstractVolatilitySurfaceParametric - Class in net.finmath.marketdata.model.volatilities: Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
AbstractVolatilitySurfaceParametric(String, LocalDate) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
AbstractVolatilitySurfaceParametric(String, LocalDate, ForwardCurve, DiscountCurve, VolatilitySurface.QuotingConvention, DayCountConvention) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
AcceptanceRejectionRandomNumberGenerator - Class in net.finmath.randomnumbers: Class implementing RandomNumberGenerator by the acceptance rejection method.
AcceptanceRejectionRandomNumberGenerator(RandomNumberGenerator, DoubleUnaryOperator, DoubleUnaryOperator, DoubleUnaryOperator, double) - Constructor for class net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator
AccrualAccount - Class in net.finmath.montecarlo.interestrate.products.components: Implementation of a general accrual account.
AccrualAccount(String, AnalyticModelIndex, AbstractIndex, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AccrualAccount: Create an accrual account.
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
accrue(RandomVariable, double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x * (1.0 + rate * periodLength) to this random variable.
accrue(RandomVariable, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
accrue(RandomVariable, double) - Method in class net.finmath.stochastic.Scalar
AccruedInterest - Class in net.finmath.montecarlo.interestrate.products.indices: An accrued interest index.
AccruedInterest(String, String, LocalDate, LocalDate, LocalDate, AbstractIndex, Double, DayCountConvention, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest: Create an accrued interest index.
AccruingNotional - Class in net.finmath.montecarlo.interestrate.products.components
AccruingNotional(Notional, AbstractPeriod) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AccruingNotional: Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.
accumulate(double, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
accumulate(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
ACT_360 - net.finmath.time.ScheduleGenerator.DaycountConvention: See DayCountConvention_ACT_360.
ACT_365 - net.finmath.time.ScheduleGenerator.DaycountConvention: See DayCountConvention_ACT_365.
ACT_ACT - net.finmath.time.ScheduleGenerator.DaycountConvention
ACT_ACT_ISDA - net.finmath.time.ScheduleGenerator.DaycountConvention: See DayCountConvention_ACT_ACT_ISDA.
actionPerformed(ActionEvent) - Method in class net.finmath.swing.JNumberField
add(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
add(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
add(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
add(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
add(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
add(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x + value to this random variable.
add(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
add(double) - Method in class net.finmath.stochastic.Scalar
add(double) - Method in class net.finmath.swing.JNumberField
add(E) - Method in class net.finmath.marketdata.calibration.ParameterAggregation: Add an object this parameterization.
add(E) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation: Add an object this parameterization.
add(LinearInterpolatedTimeDiscreteProcess) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess: Create a new linear interpolated time discrete process by using the time discretization of this process and the sum of this process and the given one as its values.
add(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
add(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
add(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
add(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
add(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
add(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x+randomVariable to this random variable.
add(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
add(RandomVariable) - Method in class net.finmath.stochastic.Scalar
addCurve(String, Curve) - Method in interface net.finmath.marketdata.model.AnalyticModel: Add a reference to a given curve under a given name to this model.
addCurve(String, Curve) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addCurve(String, Curve) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Add a reference to a given curve under a given name to this model.
addCurve(String, Curve) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
addCurve(Curve) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addCurve(Curve) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
addCurves(Set<Curve>) - Method in interface net.finmath.marketdata.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Set<Curve>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addCurves(Set<Curve>) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Set<Curve>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
addCurves(Curve...) - Method in interface net.finmath.marketdata.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Curve...) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addCurves(Curve...) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Curve...) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
addDiscountFactor(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
addDiscountFactor(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
addFactoryAfter(ProductFactory<? extends T>) - Method in class net.finmath.modelling.productfactory.ProductFactoryCascade: Add a given factory to the list of factories at the END.
addFactoryBefore(ProductFactory<? extends T>) - Method in class net.finmath.modelling.productfactory.ProductFactoryCascade: Add a given factory to the list of factories at the BEGINNING.
addPoint(double, double, boolean) - Method in interface net.finmath.marketdata.model.curves.CurveBuilder: Add a point to the curve.
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation: Add a point to this curve.
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
addPoint(double, RandomVariable, boolean) - Method in interface net.finmath.marketdata2.model.curves.CurveBuilder: Add a point to the curve.
addPoint(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation: Add a point to this curveFromInterpolationPoints.
addPoint(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
addPoint(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
addPoint(int, int, double) - Method in interface net.finmath.singleswaprate.data.DataTable: Add a point to the grid of the table.
addPoint(int, int, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
addPoint(int, int, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
addPoints(int[], int[], double[]) - Method in interface net.finmath.singleswaprate.data.DataTable: Add an array of points to the table.
addPoints(int[], int[], double[]) - Method in class net.finmath.singleswaprate.data.DataTableBasic
addPoints(int[], int[], double[]) - Method in class net.finmath.singleswaprate.data.DataTableLight
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
addProduct(RandomVariable, double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x + factor1 * factor2
addProduct(RandomVariable, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
addProduct(RandomVariable, double) - Method in class net.finmath.stochastic.Scalar
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
addProduct(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x + factor1 * factor2
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
addRatio(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x + numerator / denominator
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
addSumProduct(List<RandomVariable>, List<RandomVariable>) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
addSumProduct(List<RandomVariable>, List<RandomVariable>) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
addSumProduct(List<RandomVariable>, List<RandomVariable>) - Method in interface net.finmath.stochastic.RandomVariable: Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
addSumProduct(RandomVariable[], RandomVariable[]) - Method in interface net.finmath.stochastic.RandomVariable: Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
addToAdmissibleValueIndex(int) - Method in class net.finmath.swing.JNumberField
addVolatilityCube(String, VolatilityCube) - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
addVolatilityCube(String, VolatilityCube) - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel: Add a reference to the given volatility cube to this model under the name provided.
addVolatilityCube(VolatilityCube) - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
addVolatilityCube(VolatilityCube) - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel: Add a reference to the given volatility cube to this model.
addVolatilitySurface(VolatilitySurface) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addVolatilitySurface(VolatilitySurface) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in interface net.finmath.marketdata.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
addVolatilitySurfaces(VolatilitySurface...) - Method in interface net.finmath.marketdata.model.AnalyticModel: Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
addVolatilitySurfaces(VolatilitySurface...) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
addVolatilitySurfaces(VolatilitySurface...) - Method in interface net.finmath.marketdata2.model.AnalyticModel
addVolatilitySurfaces(VolatilitySurface...) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
AKIMA - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Akima interpolation (C1 sub-spline interpolation).
AKIMA - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Akima interpolation (C1 sub-spline interpolation).
AKIMA - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Akima interpolation (C1 sub-spline interpolation).
AKIMA_CONTINUOUS - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Akima interpolation (C1 sub-spline interpolation) with a smoothing in the weights.
AKIMA_CONTINUOUS - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Akima interpolation (C1 sub-spline interpolation) with a smoothing in the weights.
AKIMA_CONTINUOUS - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Akima interpolation (C1 sub-spline interpolation) with a smoothing in the weights.
analyticApproximation(double, double, double, double, double, double) - Static method in class net.finmath.singleswaprate.products.ConstantMaturitySwap: Analytic approximation of a CMS value.
AnalyticFormulas - Class in net.finmath.functions: This class implements some functions as static class methods.
AnalyticModel - Interface in net.finmath.marketdata.model: A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
AnalyticModel - Interface in net.finmath.marketdata2.model: A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
AnalyticModelDescriptor - Class in net.finmath.modelling.descriptor
AnalyticModelDescriptor(LocalDate, Collection<Curve>, Collection<VolatilitySurface>) - Constructor for class net.finmath.modelling.descriptor.AnalyticModelDescriptor: Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.
AnalyticModelDescriptor(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>) - Constructor for class net.finmath.modelling.descriptor.AnalyticModelDescriptor: Construct an AnalyticModelDescriptor holding copies of the maps provided.
AnalyticModelFactory - Class in net.finmath.modelling.modelfactory: Factory to build an described analytic model from a descriptor.
AnalyticModelFactory() - Constructor for class net.finmath.modelling.modelfactory.AnalyticModelFactory
AnalyticModelFactory.DescribedAnalyticModel - Class in net.finmath.modelling.modelfactory: Class extending AnalyticModelFromCurvesAndVols with the functionality of a described model.
AnalyticModelForwardCurveIndex - Class in net.finmath.montecarlo.interestrate.products.indices: An index which is given by a name referencing a curve of an analytic model.
AnalyticModelForwardCurveIndex(String, String, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex: Creates a forward rate index for a given period start offset (offset from fixing) and period length.
AnalyticModelFromCurvesAndVols - Class in net.finmath.marketdata.model: 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 - Class in net.finmath.marketdata2.model: 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() - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an empty analytic model.
AnalyticModelFromCurvesAndVols() - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Create an empty analytic model.
AnalyticModelFromCurvesAndVols(LocalDate) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an empty analytic model for a specified date.
AnalyticModelFromCurvesAndVols(LocalDate, Collection<Curve>) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
AnalyticModelFromCurvesAndVols(LocalDate, Curve[]) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(Collection<Curve>) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Collection<Curve>) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Curve[]) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Curve[]) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(RandomVariableFactory) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
AnalyticModelFromCurvesAndVols(RandomVariableFactory, Curve[]) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.
AnalyticModelIndex - Class in net.finmath.montecarlo.interestrate.products.indices: An index which is given by a name referencing a curve of an analytic model.
AnalyticModelIndex(String, String, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex: Creates an analytic model index using a given fixing offset (in days / 365).
AnalyticModelWithVolatilityCubes - Class in net.finmath.singleswaprate.model: Implementation of VolatilityCubeModel based on AnalyticModelFromCurvesAndVols.
AnalyticModelWithVolatilityCubes() - Constructor for class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes: Create an empty analytic model.
AnalyticModelWithVolatilityCubes(LocalDate) - Constructor for class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes: Create an empty analytic model for a specified date.
AnalyticModelWithVolatilityCubes(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>, Map<String, VolatilityCube>) - Constructor for class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes: Create an analytic model for the specified reference date, together with curves as well as volatility surfaces and cubes, each with their specific name.
AnalyticProduct - Interface in net.finmath.marketdata.products: The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCurvesAndVols.
AnalyticProduct - Interface in net.finmath.marketdata2.products: The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCurvesAndVols.
AnalyticVolatilityCubeProduct - Interface in net.finmath.singleswaprate.products: The interface of a product to be evaluated using a VolatilityCubeModel.
andThen(RandomOperator) - Method in interface net.finmath.stochastic.RandomOperator: Returns a composed function that first applies this function to its input, and then applies the after function to the result.
ANNUAL - net.finmath.time.ScheduleGenerator.Frequency: Twelve months periods.
AnnuityDummyProduct - Class in net.finmath.singleswaprate.products: A dummy product that only evaluates the value of a AnnuityMapping.
AnnuityDummyProduct(Schedule, Schedule, String, String, String, AnnuityMapping) - Constructor for class net.finmath.singleswaprate.products.AnnuityDummyProduct: Create the dummy product for the given annuity mapping.
AnnuityDummyProduct(Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.AnnuityDummyProduct: Create the dummy product with the annuity mapping specified by type.
AnnuityMapping - Interface in net.finmath.singleswaprate.annuitymapping: An interface for calsses providing annuity mappings.
AnnuityMapping.AnnuityMappingType - Enum in net.finmath.singleswaprate.annuitymapping: Implemented types of annuity mappings.
AnnuityMappingFactory - Class in net.finmath.singleswaprate.annuitymapping: Provides factories to build annuity mappings from uniform input.
AnnuityMappingFactory(Schedule, Schedule, String, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory: Create the factory.
AnnuityMappingFactory(Schedule, Schedule, String, String, String, double, double, double, int) - Constructor for class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory: Create the factory.
append(SwaptionDataLattice, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Append the data of another lattice to this lattice.
apply(double) - Method in class net.finmath.fouriermethod.calibration.BoundConstraint
apply(double) - Method in class net.finmath.fouriermethod.calibration.NegativityConstraint
apply(double) - Method in class net.finmath.fouriermethod.calibration.PositivityConstraint
apply(double) - Method in interface net.finmath.fouriermethod.calibration.ScalarConstraint: Forces the parameter to respect a certain condition.
apply(double) - Method in class net.finmath.fouriermethod.calibration.Unconstrained
apply(double) - Method in class net.finmath.fouriermethod.models.BatesModel
apply(double) - Method in class net.finmath.fouriermethod.models.BlackScholesModel
apply(double) - Method in interface net.finmath.fouriermethod.models.CharacteristicFunctionModel: Returns the characteristic function of X(t), where X is this stochastic process.
apply(double) - Method in class net.finmath.fouriermethod.models.HestonModel
apply(double) - Method in class net.finmath.fouriermethod.models.MertonModel
apply(double) - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
apply(Double) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Get the value of this function $ f $ at the given argument.
apply(Double, Double) - Method in class net.finmath.interpolation.BiLinearInterpolation
apply(DoubleBinaryOperator, DoubleBinaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
apply(DoubleBinaryOperator, DoubleBinaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
apply(DoubleBinaryOperator, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable.
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.stochastic.Scalar
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess: Create a new process consisting of the interpolation of the random variables obtained by applying the given function to this process discrete set of random variables.
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
apply(DoubleUnaryOperator) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → operator(x) to this random variable.
apply(DoubleUnaryOperator) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
apply(DoubleUnaryOperator) - Method in class net.finmath.stochastic.Scalar
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable.
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
apply(RandomVariable) - Method in interface net.finmath.stochastic.RandomOperator: Applies this function to the given argument.
apply(Complex) - Method in class net.finmath.fouriermethod.products.DigitalOption
apply(Complex) - Method in class net.finmath.fouriermethod.products.EuropeanOption
apply(Complex) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
applyAsDouble(double) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Get the value of this unary operator $ f $ at the given argument.
applyAsDouble(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation
applyAsDouble(double, double, double) - Method in interface net.finmath.functions.DoubleTernaryOperator: Applies this operator to the given operands.
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Apply bounds to parameters.
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Apply bounds to parameters.
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.StaticCubeCalibration
applyStateSpaceTransform(int, int, RandomVariable) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in interface net.finmath.montecarlo.model.ProcessModel: Applies the state space transform f_i to the given state random variable such that Y_i → f_i(Y_i) =: X_i.
applyStateSpaceTransformInverse(int, int, RandomVariable) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in interface net.finmath.montecarlo.model.ProcessModel: Applies the inverse state space transform f^-1_i to the given random variable such that X_i → f^-1_i(X_i) =: Y_i.
appy(RandomOperator) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → operator(x) to this random variable.
ARMAGARCH - Class in net.finmath.timeseries.models.parametric: Lognormal process with ARMAGARCH(1,1) volatility.
ARMAGARCH(TimeSeries) - Constructor for class net.finmath.timeseries.models.parametric.ARMAGARCH
arrayOf(double[]) - Static method in class net.finmath.stochastic.Scalar
AsianOption - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements the valuation of an Asian option.
AsianOption(double, double, TimeDiscretization) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double, double, TimeDiscretization, Integer) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AssetModelDescriptor - Interface in net.finmath.modelling.descriptor: Marker interface for descriptors describing an asset model.
AssetModelFourierMethodFactory - Class in net.finmath.modelling.modelfactory: Constructs asset models, which evaluate products via Monte-Carlo method.
AssetModelFourierMethodFactory() - Constructor for class net.finmath.modelling.modelfactory.AssetModelFourierMethodFactory: Create the factory.
AssetModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory: Constructs asset models, which evaluate products via Monte-Carlo method.
AssetModelMonteCarloFactory(IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory: Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory, IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory: Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory, IndependentIncrements, HestonModel.Scheme) - Constructor for class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory: Create the factory.
AssetModelMonteCarloSimulationModel - Interface in net.finmath.montecarlo.assetderivativevaluation: Basic interface which has to be implemented by Monte Carlo models for asset processes.
AssetMonteCarloProduct - Interface in net.finmath.montecarlo.assetderivativevaluation.products: Interface for products requiring an AssetModelMonteCarloSimulationModel for valuation.
average() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
average() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
average() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
average() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
average() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
average() - Method in interface net.finmath.stochastic.RandomVariable: Returns a random variable which is deterministic and corresponds the expectation of this random variable.
average() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
average() - Method in class net.finmath.stochastic.Scalar

B

bachelierDigitalOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a digital call option, i.e., the payoff V(T)=indicator(S(T)-K > 0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \] The delta reported is \[ \frac{1}{\sigma \sqrt{T}} \phi( \frac{F-K}{\sigma \sqrt{T}} ) \], where $ \phi $ is the density of the standard normal distribution.
bachelierGeneralizedOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \]
bachelierHomogeneousOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionDelta(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionVega(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionDelta(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \] This implies an effective "Bachelier" integrated variance, being (with $ s = 0 $ \[ 1/T \int_{0}^{T} \sigma^2 exp(2 r (T-t)) \mathrm{d}t \ = \ sigma^2 \frac{exp(2 r (T-0))-exp(2 r (T-T)}{2 r T} \]
bachelierInhomogeneousOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the Bachelier option implied volatility of a call, i.e., the payoff
bachelierInhomogeneousOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp( r t ) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma exp(-r t) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionVega(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp( r t ) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma exp(-r t) \mathrm{d}W(t) \text{.} \]
BachelierModel - Class in net.finmath.functions: This class implements some functions as static class methods related to the Bachelier model.
BachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
BachelierModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel: Create a Monte-Carlo simulation using given time discretization.
BachelierModel(RandomVariableFactory, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel: Create a Monte-Carlo simulation using given time discretization.
bachelierOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionDelta(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionVega(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire $ N(t) = exp(-r (T-t)) $, this implies that $ F(t) = S(t)/N(t) $ follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
Barrier - Interface in net.finmath.montecarlo.process.component.barrier: The interface describes how an barrier has to be specified for the generation of a process (see LogNormalProcessWithBarrierStrategy).
BarrierOptions - Class in net.finmath.functions: This class implements the valuation of barrier options.
BarrierOptions.BarrierType - Enum in net.finmath.functions
BASICPITERBARG - net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType
BasicPiterbargAnnuityMapping - Class in net.finmath.singleswaprate.annuitymapping: Implements an annuity mapping following Vladimir Piterbarg's approach.
BasicPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping: Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String, double, double, int) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping: Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule, Schedule, VolatilityCubeModel, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping: Create the annuity mapping.
BasketOption - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements valuation of a European option on a basket of asset.
BasketOption(double, double, double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
BatesModel - Class in net.finmath.fouriermethod.models: Implements the characteristic function of a Bates model.
BatesModel(double, double, double, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel: Create a two factor Bates model.
BatesModel(double, double, double, double, double, double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel: Create a one factor Bates model.
BatesModel(double, DiscountCurve, DiscountCurve, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel: Create a two factor Bates model.
BatesModel(LocalDate, double, DiscountCurve, DiscountCurve, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel: Create a two factor Bates model.
BermudanDigitalOption - Class in net.finmath.montecarlo.assetderivativevaluation.products: 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(double[], double[], double[], BermudanDigitalOption.ExerciseMethod, Map<String, Object>) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption: Create 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.
BermudanDigitalOption.ExerciseMethod - Enum in net.finmath.montecarlo.assetderivativevaluation.products
BermudanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products: 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(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption: Create 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(double[], double[], double[], BermudanOption.ExerciseMethod) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption: Create 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 - Enum in net.finmath.montecarlo.assetderivativevaluation.products
BermudanSwaption - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
BermudanSwaption(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
BermudanSwaption(boolean[], double[], double[], double[], double[], double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
BermudanSwaption(boolean[], double[], double[], double[], double[], double[], boolean, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
BermudanSwaptionFromSwapSchedules - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[], MonteCarloConditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[], RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double, double, Schedule[], Schedule[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules.SwaptionType - Enum in net.finmath.montecarlo.interestrate.products
BiLinearInterpolation - Class in net.finmath.interpolation: Simple bi-linear interpolation of data points $ z_{i,j} $ over a Cartesian grid $ (x_{i},y_{j}) $.
BiLinearInterpolation(double[], double[], double[][]) - Constructor for class net.finmath.interpolation.BiLinearInterpolation
blackModelCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculate the value of a caplet assuming the Black'76 model.
blackModelDgitialCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculate the value of a digital caplet assuming the Black'76 model.
blackModelSwaptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculate the value of a swaption assuming the Black'76 model.
blackScholesATMOptionValue(double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of an atm call option.
blackScholesBarrierOptionValue(double, double, double, double, double, double, boolean, double, double, BarrierOptions.BarrierType) - Static method in class net.finmath.functions.BarrierOptions: Value a barrier option.
BlackScholesDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products: This class implements a delta hedged portfolio of an European option (a hedge simulator).
BlackScholesDeltaHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio: Construction of a delta hedge portfolio assuming a Black-Scholes model.
blackScholesDigitalOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the delta of a digital option under a Black-Scholes model
blackScholesDigitalOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the rho of a digital option under a Black-Scholes model
blackScholesDigitalOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a digital call option.
blackScholesDigitalOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the vega of a digital option under a Black-Scholes model
blackScholesGeneralizedOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
blackScholesGeneralizedOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
blackScholesGeneralizedOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
BlackScholesHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products: This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
BlackScholesHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio: Construction of a hedge portfolio assuming a Black-Scholes model for the hedge ratios.
BlackScholesHedgedPortfolio(double, double, double, double, double, double, BlackScholesHedgedPortfolio.HedgeStrategy) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio: Construction of a delta-gamma hedge portfolio assuming a Black-Scholes model.
BlackScholesHedgedPortfolio.HedgeStrategy - Enum in net.finmath.montecarlo.assetderivativevaluation.products
BlackScholesModel - Class in net.finmath.fouriermethod.models: Implements the characteristic function of a Black Scholes model.
BlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
BlackScholesModel(double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel: Create a Black Scholes model (characteristic function)
BlackScholesModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel: Create a Black-Scholes model from given parameters.
BlackScholesModel(double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel: Create a Black Scholes model (characteristic function)
BlackScholesModel(double, double, double, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel: Create a Monte-Carlo simulation using given time discretization.
BlackScholesModel(LocalDate, double, DiscountCurve, DiscountCurve, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel: Create a Black Scholes model (characteristic function)
BlackScholesModel(RandomVariable, RandomVariable, RandomVariable, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel: Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelDescriptor - Class in net.finmath.modelling.descriptor
BlackScholesModelDescriptor(LocalDate, Double, DiscountCurve, DiscountCurve, Double) - Constructor for class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
BlackScholesModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory
BlackScholesModelMonteCarloFactory(RandomVariableFactory, IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFactory
BlackScholesModelMonteCarloFiniteDifference1D - Class in net.finmath.modelling.modelfactory
BlackScholesModelMonteCarloFiniteDifference1D(double) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFiniteDifference1D
BlackScholesModelWithCurves - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
BlackScholesModelWithCurves(Double, DiscountCurve, Double, DiscountCurve, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves: Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelWithCurves(RandomVariable, DiscountCurve, RandomVariable, DiscountCurve, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves: Create a Black-Scholes specification implementing AbstractProcessModel.
blackScholesOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariable, RandomVariable, RandomVariable, double, RandomVariable) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionGamma(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionGamma(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionGamma(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option implied volatility of a call, i.e., the payoff
blackScholesOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: This static method calculated the rho of a call option under a Black-Scholes model
blackScholesOptionTheta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: This static method calculated the vega of a call option under a Black-Scholes model
blackScholesOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(double, double, double, double, double, boolean) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), or a put, i.e., the payoff max(K-S(T),0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
blackScholesOptionVega(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
blackScholesOptionVega(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
BlackScholesTheta - Class in net.finmath.finitedifference.experimental: Implementation of the theta schemes for the Black-Scholes model (still experimental).
BlackScholesTheta() - Constructor for class net.finmath.finitedifference.experimental.BlackScholesTheta
BlendedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance: Blended model (or displaced diffusion model) build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel: Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurve, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel: Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurve, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel: Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel: Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, ForwardCurve, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel: Displaced diffusion model build on top of a standard covariance model.
Bond - Class in net.finmath.marketdata.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 - Class in net.finmath.montecarlo.hybridassetinterestrate.products: This class implements the valuation of a zero coupon bond.
Bond - Class in net.finmath.montecarlo.interestrate.products: This class implements the valuation of a zero coupon bond.
Bond(double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
Bond(String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
Bond(LocalDateTime, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
Bond(LocalDateTime, String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
Bond(Schedule, String, String, String, double) - Constructor for class net.finmath.marketdata.model.bond.Bond: Creates a fixed coupon bond without recovery rate.
Bond(Schedule, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond: Creates a fixed coupon bond with recovery rate.
Bond(Schedule, String, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond: Creates a fixed or floating bond without recovery rate.
Bond(Schedule, String, String, String, String, double, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond: Creates a bond.
BondCurve - Class in net.finmath.marketdata.model.bond: Implements the bond curve as a curve object, see Curve.
BondCurve(String, LocalDate, Curve, Curve, BondCurve.Type) - Constructor for class net.finmath.marketdata.model.bond.BondCurve: Creates a bond curve.
BondCurve.Type - Enum in net.finmath.marketdata.model.bond: Possible curve types, where the first term stands for the reference discount curve and the second term stands for the spread curve.
BondWithForeignNumeraire - Class in net.finmath.montecarlo.hybridassetinterestrate.products: This class implements the valuation of a zero coupon bond.
BondWithForeignNumeraire(String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire
BondWithForeignNumeraire(LocalDateTime, String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire
BoundConstraint - Class in net.finmath.fouriermethod.calibration: A class applying a bound constraint to a parameter.
BoundConstraint(double, double) - Constructor for class net.finmath.fouriermethod.calibration.BoundConstraint
BrownianBridge - Class in net.finmath.montecarlo: This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
BrownianBridge(TimeDiscretization, int, int, RandomVariable[], RandomVariable[]) - Constructor for class net.finmath.montecarlo.BrownianBridge: Construct a Brownian bridge, bridging from a given start to a given end.
BrownianBridge(TimeDiscretization, int, int, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.BrownianBridge: Construct a Brownian bridge, bridging from a given start to a given end.
BrownianMotion - Interface in net.finmath.montecarlo: Interface description of a time-discrete n-dimensional Brownian motion W = (W₁,...,W_n) where W_i is a Brownian motion.
BrownianMotionFromMersenneRandomNumbers - Class in net.finmath.montecarlo: Implementation of a time-discrete n-dimensional Brownian motion W = (W₁,...,W_n) where W_i is a Brownian motion and W_i, W_j are independent for i not equal j.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers: Construct a Brownian motion.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization, int, int, int, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers: Construct a Brownian motion.
BrownianMotionFromRandomNumberGenerator - Class in net.finmath.montecarlo: Implementation of a time-discrete n-dimensional Brownian motion W = (W₁,...,W_n) where W_i is a Brownian motion and W_i, W_j are independent for i not equal j.
BrownianMotionFromRandomNumberGenerator(TimeDiscretization, int, int, RandomNumberGenerator) - Constructor for class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator: Construct a Brownian motion.
BrownianMotionFromRandomNumberGenerator(TimeDiscretization, int, int, RandomNumberGenerator, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator: Construct a Brownian motion.
BrownianMotionLazyInit - Class in net.finmath.montecarlo: Deprecated.
Refactor rename. Please use BrownianMotionFromMersenneRandomNumbers instead.
BrownianMotionLazyInit(TimeDiscretization, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotionLazyInit: Deprecated.

Construct a Brownian motion.
BrownianMotionLazyInit(TimeDiscretization, int, int, int, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionLazyInit: Deprecated.

Construct a Brownian motion.
BrownianMotionView - Class in net.finmath.montecarlo: 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.
BrownianMotionView(BrownianMotion, Integer[]) - Constructor for class net.finmath.montecarlo.BrownianMotionView: Create a sub-view on a Brownian motion.
BrownianMotionWithControlVariate - Class in net.finmath.montecarlo: Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.
BrownianMotionWithControlVariate(BrownianMotion) - Constructor for class net.finmath.montecarlo.BrownianMotionWithControlVariate: Create a controlled Brownian motion.
build() - Method in interface net.finmath.marketdata.model.curves.CurveBuilder: Build the curve.
build() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
build() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve.Builder
build() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve.Builder
build() - Method in interface net.finmath.marketdata2.model.curves.CurveBuilder: Build the curve.
build() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
build(String) - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration: Perform the calibrations and build the cube.
build(AnnuityMapping.AnnuityMappingType, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory: Build the annuity mapping.
buildAnnuityMapping(double, Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType, VolatilityCubeModel) - Static method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory: Build an annuity mapping.
buildAnnuityMapping(double, Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType, VolatilityCubeModel, double, double, int) - Static method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory: Build an annuity mapping.
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue, the product needs to dynamically be able to build its annuity mapping.
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AnnuityDummyProduct
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledPayerSwaption
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.NormalizingDummyProduct
buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Build the cube from a set of parameters.
buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.StaticCubeCalibration
Builder() - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder: Build a curve.
Builder() - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder: Build a curveFromInterpolationPoints.
Builder(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder: Build a curve with a given name and given reference date.
Builder(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder: Build a curveFromInterpolationPoints with a given name and given reference date.
Builder(CurveInterpolation) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder: Build a curve by cloning a given curve.
Builder(PiecewiseCurve) - Constructor for class net.finmath.marketdata.model.curves.PiecewiseCurve.Builder: Create a CurveBuilder from a given piecewiseCurve
Builder(SeasonalCurve) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve.Builder: Create a CurveBuilder from a given seasonalCurve.
Builder(CurveInterpolation) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder: Build a curveFromInterpolationPoints by cloning a given curveFromInterpolationPoints.
buildParallelSABRCube(String, double, double, SwaptionDataLattice, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Build a SABRVolatilityCubeParallel from parameters via SABRVolatilityCubeParallelFactory.
buildSABRVolatilityCube(String, VolatilityCubeModel, int[]) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
buildSABRVolatilityCube(String, VolatilityCubeModel, int[], DataTable, DataTable, DataTable) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
buildShiftedSmileSABRCube(String, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Build a SABRVolatilityCube by calibration via SABRShiftedSmileCalibration.
bus(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
bus(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → value - x to this random variable.
bus(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
bus(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
bus(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → randomVariable-x to this random variable.
bus(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
bus(RandomVariable) - Method in class net.finmath.stochastic.Scalar
BUSINESS_DAYS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit
BusinessdayCalendar - Interface in net.finmath.time.businessdaycalendar
BusinessdayCalendar.DateOffsetUnit - Enum in net.finmath.time.businessdaycalendar
BusinessdayCalendar.DateRollConvention - Enum in net.finmath.time.businessdaycalendar
BusinessdayCalendarAny - Class in net.finmath.time.businessdaycalendar: A business day calendar, where every day is a business day.
BusinessdayCalendarAny() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny: Create a business day calendar, where every day is a business day.
BusinessdayCalendarExcludingGivenHolidays - Class in net.finmath.time.businessdaycalendar: 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.
BusinessdayCalendarExcludingGivenHolidays(String, BusinessdayCalendar, boolean) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
BusinessdayCalendarExcludingGivenSetOfHolidays - Class in net.finmath.time.businessdaycalendar: A class for a business day calendar, where every day is a business day, except weekends days provided by a Set.
BusinessdayCalendarExcludingGivenSetOfHolidays(String, boolean, Set<LocalDate>) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
BusinessdayCalendarExcludingGivenSetOfHolidays(String, BusinessdayCalendar, boolean, Set<LocalDate>) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
BusinessdayCalendarExcludingLONHolidays - Class in net.finmath.time.businessdaycalendar: A business day calendar, where every day is a business day, except for weekends and London holidays
BusinessdayCalendarExcludingLONHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays: Create LONDON business day calendar.
BusinessdayCalendarExcludingLONHolidays(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays: Create LONDON business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingNYCHolidays - Class in net.finmath.time.businessdaycalendar: A business day calendar, where every day is a business day, except for weekends and New York holidays
BusinessdayCalendarExcludingNYCHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays: Create NEW YORK business day calendar.
BusinessdayCalendarExcludingNYCHolidays(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays: Create NEW YORK business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingTARGETHolidays - Class in net.finmath.time.businessdaycalendar: A business day calendar, where every day is a business day, expect the TARGET holidays.
BusinessdayCalendarExcludingTARGETHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays: Create TARGET business day calendar.
BusinessdayCalendarExcludingTARGETHolidays(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays: Create TARGET business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingWeekends - Class in net.finmath.time.businessdaycalendar: A business day calendar, where every day is a business day, expect SATURDAY and SUNDAY.
BusinessdayCalendarExcludingWeekends() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends: Create business day calendar.
BusinessdayCalendarExcludingWeekends(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends: Create business day calendar using a given business day calendar as basis.

C

cache() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
cache() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
cache() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
cache() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
cache() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
cache() - Method in interface net.finmath.stochastic.RandomVariable: Return a cacheable version of this object (often a self-reference).
cache() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
cache() - Method in class net.finmath.stochastic.Scalar
calculateCapVolsFromCapletVols(double[][]) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping: Method that implements the opposite direction.
calculateInterpolatedExtrapolatedSmileVolatility(double, int) - Method in class net.finmath.marketdata.model.volatility.caplet.smile.LinearSmileInterpolater: Method that returns the linearly interpolated or constantly extrapolated volatility for a given strike and row index.
calculateInterpolatedExtrapolatedSmileVolatility(double, int) - Method in interface net.finmath.marketdata.model.volatility.caplet.smile.SmileInterpolationExtrapolationMethod
CalculationException - Exception in net.finmath.exception
CalculationException() - Constructor for exception net.finmath.exception.CalculationException: A wrapper for exceptions associated with numerical algorithm of finmath lib
CalculationException(String) - Constructor for exception net.finmath.exception.CalculationException: Create an exception with error message.
CalculationException(String, Throwable) - Constructor for exception net.finmath.exception.CalculationException: Create an exception from another exception with error message.
CalculationException(Throwable) - Constructor for exception net.finmath.exception.CalculationException: Create an exception from another exception.
CalibratableHestonModel - Class in net.finmath.fouriermethod.calibration.models: This class is creates new instances of HestonModel and communicates with the optimization algorithm.
CalibratableHestonModel(HestonModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel: Basic constructor where all parameters are to be calibrated.
CalibratableHestonModel(HestonModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, boolean) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel: This constructor allows for the specification of constraints.
CalibratableMertonModel - Class in net.finmath.fouriermethod.calibration.models: This class is creates new instances of MertonModel and communicates with the optimization algorithm.
CalibratableMertonModel(MertonModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel: Basic constructor where all parameters are to be calibrated.
CalibratableMertonModel(MertonModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel: This constructor allows for the specification of constraints.
CalibratableProcess - Interface in net.finmath.fouriermethod.calibration.models: Every class implementing this interface communicates with the calibration routine by providing clones of the model with changed parameters.
CalibratableVarianceGammaModel - Class in net.finmath.fouriermethod.calibration.models: This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.
CalibratableVarianceGammaModel(VarianceGammaModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel: Basic constructor where all parameters are to be calibrated.
CalibratableVarianceGammaModel(VarianceGammaModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
calibrate(String) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Run the calibration.
calibrate(String, int[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Run the calibration.
CalibratedCurves - Class in net.finmath.marketdata.calibration: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves - Class in net.finmath.marketdata2.calibration: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModel, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModel, double, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves: Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata.calibration: Specification of calibration product.
CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata2.calibration: Specification of calibration product.
CalibratedModel - Class in net.finmath.fouriermethod.calibration: This class solves a calibration problem.
CalibratedModel(OptionSurfaceData, CalibratableProcess, OptimizerFactory, EuropeanOptionSmile, double[], double[]) - Constructor for class net.finmath.fouriermethod.calibration.CalibratedModel: Create the calibration from data.
CalibratedModel.OptimizationResult - Class in net.finmath.fouriermethod.calibration: Helper class for calibration results.
CalibrationProduct - Class in net.finmath.montecarlo.interestrate: 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.
CalibrationProduct(String, AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
CalibrationProduct(String, AbstractLIBORMonteCarloProduct, RandomVariable, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
CalibrationProduct(String, AbstractLIBORMonteCarloProduct, RandomVariable, double, int) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct: Construct a calibration product.
CalibrationProduct(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
CalibrationProduct(AbstractLIBORMonteCarloProduct, RandomVariable, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
CalibrationSpec(String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec: Calibration specification.
cancel(boolean) - Method in class net.finmath.concurrency.FutureWrapper
CancelableSwap - Class in net.finmath.montecarlo.interestrate.products: Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
CancelableSwap(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.CancelableSwap
cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
cap(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
cap(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
cap(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
cap(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → min(x,cap) to this random variable.
cap(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
cap(double) - Method in class net.finmath.stochastic.Scalar
cap(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
cap(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
cap(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → min(x,cap) to this random variable.
cap(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
cap(RandomVariable) - Method in class net.finmath.stochastic.Scalar
Cap - Class in net.finmath.marketdata.products: Implements the valuation of a cap via an analytic model, i.e.
Cap(Schedule, String, double, boolean, String, String) - Constructor for class net.finmath.marketdata.products.Cap: Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Cap(Schedule, String, double, boolean, String, String, VolatilitySurface.QuotingConvention) - Constructor for class net.finmath.marketdata.products.Cap: Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Caplet - Class in net.finmath.montecarlo.interestrate.products: Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
Caplet(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet: Create a caplet.
Caplet(double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet: Create a caplet or a floorlet.
Caplet(double, double, double, double, boolean, Caplet.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet: Create a caplet or a floorlet.
Caplet.ValueUnit - Enum in net.finmath.montecarlo.interestrate.products
CapletVolatilities - Class in net.finmath.marketdata.model.volatilities: A very simple container for Caplet volatilities.
CapletVolatilities(String, LocalDate, ForwardCurve, double[], double[], double[], VolatilitySurface.QuotingConvention, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilities
CapletVolatilitiesParametric - Class in net.finmath.marketdata.model.volatilities: 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 $.
CapletVolatilitiesParametric(String, LocalDate, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric: Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String, LocalDate, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric: Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String, LocalDate, ForwardCurve, DiscountCurve, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric: Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String, LocalDate, ForwardCurve, DiscountCurve, double, double, double, double, double, VolatilitySurface.QuotingConvention) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric: Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametricDisplacedFourParameterAnalytic - Class in net.finmath.marketdata.model.volatilities: 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 $.
CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String, LocalDate, ForwardCurve, DiscountCurve, double, boolean, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic: Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
CapletVolatilitiesParametricFourParameterPicewiseConstant - Class in net.finmath.marketdata.model.volatilities: 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 $.
CapletVolatilitiesParametricFourParameterPicewiseConstant(String, LocalDate, double, double, double, double, TimeDiscretization) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant: Create a model with parameters a,b,c,d.
CapletVolatilitySurface - Class in net.finmath.marketdata.model.volatility.caplet: This class implements a caplet volatility surface.
CapletVolatilitySurface(String, LocalDate, double[][], double[], double[], ForwardCurve, VolatilitySurface.QuotingConvention, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface: The constructor of the caplet volatility surface class.
CapletVolatilitySurface(String, LocalDate, double, double[], double[], ForwardCurve, VolatilitySurface.QuotingConvention, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface: The constructor of the caplet volatility surface class.
CapletVolBootstrapping - Class in net.finmath.marketdata.model.volatility.caplet: This class implements a caplet volatility bootstrapper.
CapletVolBootstrapping(CapVolMarketData, AnalyticModel) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping: Overloaded constructor of the caplet bootstrapping class if a correlation provider isn't necessary.
CapletVolBootstrapping(CorrelationProvider, CapVolMarketData, AnalyticModel) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping: The constructor of the caplet bootstrapping class.
CappedFlooredIndex - Class in net.finmath.montecarlo.interestrate.products.indices: 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.
CappedFlooredIndex(AbstractIndex, AbstractIndex, AbstractIndex) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex: Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).
CapShiftedVol - Class in net.finmath.marketdata.model.volatility.caplet: Implements the valuation of a cap via an analytic model, i.e.
CapShiftedVol(Schedule, String, double, boolean, String, String, double) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapShiftedVol: Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
CapTenorStructure - Enum in net.finmath.marketdata.model.volatility.caplet: Enum determining the currency of the observed cap or caplet prices.
CapVolMarketData - Class in net.finmath.marketdata.model.volatility.caplet: This class is a container for all the cap data needed to perform the caplet bootstrapping.
CapVolMarketData(String, String, String, CapTenorStructure, int[], double[], double[][], double, int, int, int) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData: The constructor of the cap volatility market data class.
CapVolMarketData(String, String, CapTenorStructure, int[], double[], double[][], double, int) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData: Overloaded constructor of the cap volatility market data class that assumes no tenor change.
Cashflow - Class in net.finmath.marketdata.products: Implements the valuation of a single cashflow by a discount curve.
Cashflow - Class in net.finmath.marketdata2.products: Implements the valuation of a single cashflow by a discount curve.
Cashflow - Class in net.finmath.montecarlo.interestrate.products.components: A single deterministic cashflow at a fixed time
Cashflow(double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow: Create a single deterministic cashflow at a fixed time.
Cashflow(String, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow: Create a single deterministic cashflow at a fixed time.
Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata.products.Cashflow: Create a single deterministic cashflow at a fixed time.
Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata2.products.Cashflow: Create a single deterministic cashflow at a fixed time.
CashSettledPayerSwaption - Class in net.finmath.singleswaprate.products: A European cash settled payer swaption.
CashSettledPayerSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.CashSettledPayerSwaption: Create the product.
CashSettledPayerSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType, double, double, int) - Constructor for class net.finmath.singleswaprate.products.CashSettledPayerSwaption: Create the product with custom replication settings.
CashSettledReceiverSwaption - Class in net.finmath.singleswaprate.products: A European cash settled receiver swaption.
CashSettledReceiverSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.CashSettledReceiverSwaption: Create the product.
CashSettledReceiverSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType, double, double, int) - Constructor for class net.finmath.singleswaprate.products.CashSettledReceiverSwaption: Create the product with custom replication settings.
CAUCHY - net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation.Distribution
CharacteristicFunction - Interface in net.finmath.fouriermethod: Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).
CharacteristicFunctionModel - Interface in net.finmath.fouriermethod.models: Interface which has to be implemented by models providing the characteristic functions of stochastic processes.
Choice - Class in net.finmath.montecarlo.interestrate.products.components: An right to choose between two underlyings.
Choice(double, TermStructureMonteCarloProduct, TermStructureMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Choice: Creates the function underlying1(exerciseDate) > underlying2(exerciseDate) ? underlying1 : underlying2.
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
choose(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → (x ≥ 0 ? valueIfTriggerNonNegative : valueIfTriggerNegative)
choose(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
choose(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
clone() - Method in interface net.finmath.marketdata.model.AnalyticModel
clone() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
clone() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
clone() - Method in interface net.finmath.marketdata.model.curves.Curve: Create a deep copied clone.
clone() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
clone() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
clone() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
clone() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
clone() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
clone() - Method in interface net.finmath.marketdata2.model.AnalyticModel
clone() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
clone() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
clone() - Method in interface net.finmath.marketdata2.model.curves.Curve: Create a deep copied clone.
clone() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
clone() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
clone() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
clone() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
clone() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
clone() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess: Create and return a clone of this process.
clone() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
clone() - Method in interface net.finmath.montecarlo.process.Process: Create and return a clone of this process.
clone() - Method in class net.finmath.optimizer.LevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer.
clone() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer.
clone() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer.
clone() - Method in interface net.finmath.singleswaprate.data.DataTable
clone() - Method in class net.finmath.singleswaprate.data.DataTableBasic
clone() - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
clone() - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
clone() - Method in class net.finmath.singleswaprate.data.DataTableLight
clone() - Method in class net.finmath.singleswaprate.data.DataTableLinear
clone() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
clone() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
CMSOption - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of an option on a CMS rate.
CMSOption(double, double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.CMSOption: Create the option on a CMS rate.
compareTo(CurveInterpolation.Point) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
compareTo(Period) - Method in class net.finmath.time.Period
compose(RandomOperator) - Method in interface net.finmath.stochastic.RandomOperator: Returns a composed function that first applies the before function to its input, and then applies this function to the result.
computeSeasonalAdjustments(double[], int, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve: Computes annualized seasonal adjustments from given monthly realized CPI values.
computeSeasonalAdjustments(LocalDate, Map<LocalDate, Double>, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
ConditionalExpectationEstimator - Interface in net.finmath.stochastic: The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.
CONSTANT - net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Constant extrapolation.
CONSTANT - net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod: Constant extrapolation.
CONSTANT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Constant extrapolation.
CONSTANT - net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod: Constant extrapolation.
ConstantBarrier(AssetModelMonteCarloSimulationModel) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
constantElasticityOfVarianceOptionValue(double, double, double, double, double, double, boolean) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the CEV option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a CEV process.
ConstantMaturitySwap - Class in net.finmath.singleswaprate.products: A constant maturity swap.
ConstantMaturitySwap(Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.ConstantMaturitySwap: Create the single swap rate product.
ConstantMaturitySwaprate - Class in net.finmath.montecarlo.interestrate.products.indices: An idealized (single curve) CMS index with given maturity and given period length.
ConstantMaturitySwaprate(double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate: Create a CMS index with given period lengths.
ConstantMaturitySwaprate(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate: Create a CMS index with given maturity and given period length.
ConstantMaturitySwaprate(double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate: Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate: Create a CMS index with given fixing offset and given maturity and given period length.
ConstantMaturitySwaprate(String, String, double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate: Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(String, String, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate: Create a CMS index with given fixing offset and given maturity and given period length.
ConstantNormalizer - Class in net.finmath.singleswaprate.annuitymapping: Constant normalizer returning the value one.
ConstantNormalizer() - Constructor for class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
Constraint - Interface in net.finmath.fouriermethod.calibration: Constraint base interface (scalar and multivariate)
containsEntryFor(double, double) - Method in interface net.finmath.singleswaprate.data.DataTable: Checks whether the table has an actual entry at the specified coordinates.
containsEntryFor(double, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
containsEntryFor(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
containsEntryFor(int, int) - Method in interface net.finmath.singleswaprate.data.DataTable: Checks whether the table has an actual entry at the specified coordinates.
containsEntryFor(int, int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
containsEntryFor(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLight
containsEntryFor(int, int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Returns true if the lattice contains an entry at the specified location.
convertCashLatticeToNormalVolatility(SwaptionDataLattice, VolatilityCubeModel) - Static method in class net.finmath.singleswaprate.Utils: Convert a lattice containing cash settled swaption prices to payer normal volatilities.
convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface: Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface: Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface: Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface: Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface: Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface: Convert the value of a caplet from one quoting convention to another quoting convention.
convertLattice(SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Convert this lattice to store data in the given convention.
convertLattice(SwaptionDataLattice.QuotingConvention, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Convert this lattice to store data in the given convention.
convertMapOfTablesToLattice(Map<Integer, DataTable>, SwaptionDataLattice.QuotingConvention, LocalDate, String, String, SchedulePrototype, SchedulePrototype) - Static method in class net.finmath.singleswaprate.Utils: Convert a map of DataTable containing swaption data to a SwaptionDataLattice.
convertOffsetCodesToTimes(String[]) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
convertTableToLattice(DataTable, SwaptionDataLattice.QuotingConvention, LocalDate, String, String, SchedulePrototype, SchedulePrototype) - Static method in class net.finmath.singleswaprate.Utils: Convert a DataTable containing swaption data to a SwaptionDataLattice.
convertTenor() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.TenorConverter: Method that converts the current tenor caplet volatilities to the new tenor.
ConvexityAdjustedModel - Class in net.finmath.montecarlo.hybridassetinterestrate: A general convexity adjustment for models.
ConvexityAdjustedModel(ProcessModel, MonteCarloProcess, Map<Integer, Integer>) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.ConvexityAdjustedModel
CorrelatedBrownianMotion - Class in net.finmath.montecarlo: Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.
CorrelatedBrownianMotion(BrownianMotion, double[][]) - Constructor for class net.finmath.montecarlo.CorrelatedBrownianMotion: Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.
CorrelationProvider - Interface in net.finmath.marketdata.model.volatility.caplet.tenorconversion: Interface for a correlation provider for forward curves.
CorrelationProviderTenorBasis - Class in net.finmath.marketdata.model.volatility.caplet.tenorconversion: This class implements a correlation provider based on iCap market data.
CorrelationProviderTenorBasis(CapVolMarketData, CapVolMarketData) - Constructor for class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
cos() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
cos() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
cos() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
cos() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
cos() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
cos() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → cos(x) to this random variable.
cos() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
cos() - Method in class net.finmath.stochastic.Scalar
covariance(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Returns a random variable which is deterministic and corresponds the covariance of this random variable and the argument.
createDateFromDateAndOffsetCodes(LocalDate, String[]) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
createDiscountCurveFromDiscountFactors(String, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationModel, double) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from forwards given by a LIBORMonteCarloModel.
createDiscountCurveFromZeroRates(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Deprecated.
Initializing a curve without reference date is deprecated.
createDiscountCurveFromZeroRates(String, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, Date, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, Date, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountFactorsFromForwardRates(String, TimeDiscretization, double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Create a discount curve from given time discretization and forward rates.
createDiscountFactorsFromForwardRates(String, TimeDiscretization, RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Create a discount curve from given time discretization and forward rates.
createForwardCurveFromDiscountFactors(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and discount factors.
createForwardCurveFromDiscountFactors(String, double[], RandomVariable[], double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and discount factors.
createForwardCurveFromForwards(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, double[], double[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createForwardCurveFromForwards(String, double[], double[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createForwardCurveFromForwards(String, double[], RandomVariable[], double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, double[], RandomVariable[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, Date, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, Date, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from given times and given forwards.
createForwardCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationModel, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Create a forward curve from forwards given by a LIBORMonteCarloModel.
createIndexCurveWithSeasonality(String, LocalDate, Map<LocalDate, Double>, Map<String, Double>, Integer, Map<LocalDate, Double>, String, String) - Static method in class net.finmath.marketdata.model.curves.CurveFactory: Creates a monthly index curve with seasonality and past fixings.
createRandomVariable(double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
createRandomVariable(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
createRandomVariable(double) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory: Create a (deterministic) random variable from a constant.
createRandomVariable(double) - Method in interface net.finmath.montecarlo.RandomVariableFactory: Create a (deterministic) random variable from a constant.
createRandomVariable(double) - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
createRandomVariable(double, double) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory: Create a (deterministic) random variable form a constant using a specific filtration time.
createRandomVariable(double, double) - Method in interface net.finmath.montecarlo.RandomVariableFactory: Create a (deterministic) random variable from a constant using a specific filtration time.
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFloatFactory
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
createRandomVariable(double, double[]) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory: Create a random variable form an array using a specific filtration time.
createRandomVariable(double, double[]) - Method in interface net.finmath.montecarlo.RandomVariableFactory: Create a random variable from an array using a specific filtration time.
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFloatFactory
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
createRandomVariableArray(double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
createRandomVariableArray(double[]) - Method in interface net.finmath.montecarlo.RandomVariableFactory: Create an array of (deterministic) random variables from an array of constants.
createRandomVariableMatrix(double[][]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
createRandomVariableMatrix(double[][]) - Method in interface net.finmath.montecarlo.RandomVariableFactory: Create a matrix of (deterministic) random variables from an matrix of constants.
createRandomVariableNonDifferentiable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
createRandomVariableNonDifferentiable(double, double) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory: Create a (deterministic) random variable, which is not differentiable, from a constant.
createRandomVariableNonDifferentiable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
createRandomVariableNonDifferentiable(double, double[]) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory: Create a random variable, which is not differentiable, from an array using a specific filtration time.
createSABRVolatilityCube(String, LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel, double, double, double, double) - Static method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration: Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility.
createSABRVolatilityCubeParallel(String, LocalDate, SchedulePrototype, SchedulePrototype, double, double, double, double, double, double, SwaptionDataLattice, VolatilityCubeModel, String) - Static method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallelFactory: Build a SABRVolatilityCubeParallel from given shared parameters and marketdata.
createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator: Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, String, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: ScheduleFromPeriods generation with futureCodes (in the format DEC17).
createScheduleFromConventions(LocalDate, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: Simple schedule generation where startDate and maturityDate are calculated based on tradeDate, spotOffsetDays, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String) - Static method in class net.finmath.time.ScheduleGenerator: Deprecated.
Will be removed in version 2.3
createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: Deprecated.
Will be removed in version 2.3
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator: ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createScheduleFromConventions(Date, Date, Date, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator: ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createSwaption(String, double, TimeDiscretization, String) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFactory
createVolatilityCubeLattice(String, LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel) - Static method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration: Return all data points as volatilities that serve as calibration targets.
createZeroRates(double, double[], LIBORModelMonteCarloSimulationModel) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
CrossCurrencyLIBORMarketModelFromModels - Class in net.finmath.montecarlo.hybridassetinterestrate: Cross Currency LIBOR Market Model with Black-Scholes FX Model.
CrossCurrencyLIBORMarketModelFromModels(String, Map<String, LIBORModelMonteCarloSimulationModel>, Map<String, MonteCarloProcessFromProcessModel>) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels: Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model.
CrossCurrencyTermStructureMonteCarloSimulationModel - Interface in net.finmath.montecarlo.crosscurrency: Interface for cross currency term structure models.
CSVCurveParser - Class in net.finmath.parser: Provides options to parse curves.
CSVCurveParser() - Constructor for class net.finmath.parser.CSVCurveParser: Set up the parser with default interpolation.
CSVCurveParser(CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.parser.CSVCurveParser: Set up the parser with given interpolation.
CSVSwaptionParser - Class in net.finmath.parser: Provides options to parse SwaptionDataLattice from csv files.
CSVSwaptionParser(String[], String[], SchedulePrototype, SchedulePrototype) - Constructor for class net.finmath.parser.CSVSwaptionParser: Create the parser with filter on maturities and tenors.
CSVSwaptionParser(SchedulePrototype, SchedulePrototype) - Constructor for class net.finmath.parser.CSVSwaptionParser: Create the parser with no filter on the maturities and tenors.
CUBIC_SPLINE - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Cubic spline interpolation.
CUBIC_SPLINE - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Cubic spline interpolation.
CUBIC_SPLINE - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Cubic spline interpolation.
cumulativeDistribution(double) - Method in class net.finmath.functions.NonCentralChiSquaredDistribution: Cumulative distribution function of the non-central Χ² distribution
cumulativeDistribution(double) - Static method in class net.finmath.functions.NormalDistribution: Cumulative distribution function of the standard normal distribution.
Curve - Interface in net.finmath.marketdata.model.curves: The interface which is implemented by a general curve.
Curve - Interface in net.finmath.marketdata2.model.curves: The interface which is implemented by a general curve.
CurveBuilder - Interface in net.finmath.marketdata.model.curves: Interface of builders which allow to build curve objects by successively adding points.
CurveBuilder - Interface in net.finmath.marketdata2.model.curves: Interface of builders which allow to build curve objects by successively adding points.
CurveEstimation - Class in net.finmath.marketdata.model.curves.locallinearregression: 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(LocalDate, double, double[], double[], double[], double) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation: Creates a curve estimation object with a normal kernel.
CurveEstimation(LocalDate, double, double[], double[], double[], double, CurveEstimation.Distribution) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation: Creates a curve estimation object.
CurveEstimation.Distribution - Enum in net.finmath.marketdata.model.curves.locallinearregression: Possible kernel types.
CurveFactory - Class in net.finmath.marketdata.model.curves: A collection of convenient methods constructing some more specialized curves.
CurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves: A curve derived from other curves by multiplying the values.
CurveFromProductOfCurves(String, LocalDate, Curve...) - Constructor for class net.finmath.marketdata.model.curves.CurveFromProductOfCurves: Create a curve using one or more curves.
CurveInterpolation - Class in net.finmath.marketdata.model.curves: This class represents a curve build from a set of points in 2D.
CurveInterpolation - Class in net.finmath.marketdata2.model.curves: This class represents a curveFromInterpolationPoints build from a set of points in 2D.
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation: Create a curve with a given name, reference date and an interpolation method.
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, double[], double[]) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation: Create a curve with a given name, reference date and an interpolation method from given points
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation: Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, double[], RandomVariable[]) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation: Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given points
CurveInterpolation.Builder - Class in net.finmath.marketdata.model.curves: A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
CurveInterpolation.Builder - Class in net.finmath.marketdata2.model.curves: A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
CurveInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata.model.curves: Possible extrapolation methods.
CurveInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata2.model.curves: Possible extrapolation methods.
CurveInterpolation.InterpolationEntity - Enum in net.finmath.marketdata.model.curves: Possible interpolation entities.
CurveInterpolation.InterpolationEntity - Enum in net.finmath.marketdata2.model.curves: Possible interpolation entities.
CurveInterpolation.InterpolationMethod - Enum in net.finmath.marketdata.model.curves: Possible interpolation methods.
CurveInterpolation.InterpolationMethod - Enum in net.finmath.marketdata2.model.curves: Possible interpolation methods.
CurveInterpolation.Point - Class in net.finmath.marketdata.model.curves: Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.

D

d(double) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition: If a given x is into an interval of the partition, this method returns the reference point of the corresponding interval.
DAILY - net.finmath.time.ScheduleGenerator.Frequency: Daily periods.
DataTable - Interface in net.finmath.singleswaprate.data: An interface for storing double values in a tenor grid.
DataTable.TableConvention - Enum in net.finmath.singleswaprate.data: Possible conventions for the table.
DataTableBasic - Class in net.finmath.singleswaprate.data: A basic implementation of DataTable, which provides no means of inter- or extrapolation.
DataTableBasic(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic: Create an empty table.
DataTableBasic(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic: Create a table.
DataTableBasic(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic: Create a table.
DataTableBasic.DoubleKey - Class in net.finmath.singleswaprate.data: Nested class to use as key in values map.
DataTableExtrapolated - Class in net.finmath.singleswaprate.data: Extends DataTableBasic with the capacity to inter- and extrapolate values off the tenor grid.
DataTableExtrapolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableExtrapolated: Create an empty table.
DataTableExtrapolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableExtrapolated: Create a table.
DataTableExtrapolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableExtrapolated: Create a table.
DataTableInterpolated - Class in net.finmath.singleswaprate.data: Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes.
DataTableInterpolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableInterpolated: Create an empty table.
DataTableInterpolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableInterpolated: Create a table.
DataTableInterpolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableInterpolated: Create a table.
DataTableLight - Class in net.finmath.singleswaprate.data: A basic implementation of DataTable, which only allows access to data via int and provides no means of inter- or extrapolation.
DataTableLight(String, DataTable.TableConvention) - Constructor for class net.finmath.singleswaprate.data.DataTableLight: Create an empty table.
DataTableLight(String, DataTable.TableConvention, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableLight: Create a table.
DataTableLight(String, DataTable.TableConvention, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableLight: Create a table.
DataTableLinear - Class in net.finmath.singleswaprate.data: 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.
DataTableLinear(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableLinear: Create an empty table.
DataTableLinear(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableLinear: Create a table.
DataTableLinear(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableLinear: Create a table.
DateIndex - Class in net.finmath.montecarlo.interestrate.products.indices: An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
DateIndex(String, String, DateIndex.DateIndexType) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.DateIndex: Construct a date index.
DateIndex(String, DateIndex.DateIndexType) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.DateIndex: Construct a date index.
DateIndex.DateIndexType - Enum in net.finmath.montecarlo.interestrate.products.indices
DAY - net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType
DayCountConvention - Interface in net.finmath.time.daycount: Interface for various day count conventions.
DayCountConvention_30E_360 - Class in net.finmath.time.daycount: Implementation of 30E/360 and 30E+/360.
DayCountConvention_30E_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360: Create a 30E/360 daycount convention.
DayCountConvention_30E_360(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360: Create a 30E/360 or 30E+/360 day count convention.
DayCountConvention_30E_360_ISDA - Class in net.finmath.time.daycount: Implementation of 30E/360 ISDA.
DayCountConvention_30E_360_ISDA() - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA: Create a 30E/360 ISDA daycount convention using isTreatEndDateAsTerminationDate = false.
DayCountConvention_30E_360_ISDA(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA: Create a 30E/360 ISDA daycount convention.
DayCountConvention_30U_360 - Class in net.finmath.time.daycount: Calculates the day count using the US 30/360 adjusted method.
DayCountConvention_30U_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_30U_360: Create a 30U/360 day count convention.
DayCountConvention_30U_360(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30U_360: Create a 30U/360 day count convention.
DayCountConvention_ACT - Class in net.finmath.time.daycount: Base class which calculates the day count by calculating the actual number of days between startDate and endDate.
DayCountConvention_ACT() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT: Create an ACT day count convention.
DayCountConvention_ACT_360 - Class in net.finmath.time.daycount: Implementation of ACT/360.
DayCountConvention_ACT_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_360: Create an ACT/360 day count convention.
DayCountConvention_ACT_365 - Class in net.finmath.time.daycount: Implementation of ACT/365.
DayCountConvention_ACT_365() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365: Create an ACT/365 day count convention.
DayCountConvention_ACT_365A - Class in net.finmath.time.daycount: Implementation of ACT/365A.
DayCountConvention_ACT_365A() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365A: Create an ACT/365 day count convention.
DayCountConvention_ACT_365L - Class in net.finmath.time.daycount: Implementation of ACT/365L.
DayCountConvention_ACT_365L() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365L: Create an ACT/365 day count convention.
DayCountConvention_ACT_ACT_AFB - Class in net.finmath.time.daycount: Implementation of ACT/ACT AFB.
DayCountConvention_ACT_ACT_AFB() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB: Create an ACT/ACT FBA daycount convention.
DayCountConvention_ACT_ACT_ICMA - Class in net.finmath.time.daycount: Implementation of ACT/ACT ICMA.
DayCountConvention_ACT_ACT_ICMA(ArrayList<Period>, int) - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA: Create an ACT/ACT ICMA day count convention.
DayCountConvention_ACT_ACT_ISDA - Class in net.finmath.time.daycount: Implementation of ACT/ACT ISDA.
DayCountConvention_ACT_ACT_ISDA() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA: Create an ACT/ACT ISDA day count convention.
DayCountConvention_ACT_ACT_ISDA(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA: Create an ACT/ACT ISDA day count convention.
DayCountConvention_ACT_ACT_YEARFRAC - Class in net.finmath.time.daycount: Implementation of ACT/ACT as in Excel (2013).
DayCountConvention_ACT_ACT_YEARFRAC() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC: Create an ACT/ACT YEARFRAC daycount convention.
DayCountConvention_NL_365 - Class in net.finmath.time.daycount: Implementation of NL/365.
DayCountConvention_NL_365() - Constructor for class net.finmath.time.daycount.DayCountConvention_NL_365: Create an NL/365 day count convention.
DayCountConvention_NONE - Class in net.finmath.time.daycount: 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_NONE() - Constructor for class net.finmath.time.daycount.DayCountConvention_NONE: Create a day count convention with a constant year fraction of 1.0 for all periods.
DayCountConvention_UNKNOWN - Class in net.finmath.time.daycount: Implements a placeholder object for an unknown day count convention, throwing an exception, whenever a day count or day count fraction is requested.
DayCountConvention_UNKNOWN() - Constructor for class net.finmath.time.daycount.DayCountConvention_UNKNOWN: Create the unknown day count convention.
DayCountConvention_UNKNOWN(String) - Constructor for class net.finmath.time.daycount.DayCountConvention_UNKNOWN: Create the unknown day count convention.
DayCountConventionFactory - Class in net.finmath.time.daycount: Factory methods for day count conventions.
DAYS - net.finmath.singleswaprate.data.DataTable.TableConvention
DAYS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit
daysBetween(LocalDate, LocalDate) - Static method in class net.finmath.time.daycount.DayCountConvention_ACT: Returns the number of days, between two dates.
DEFAULT - net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Extrapolation using the interpolation function of the adjacent interval
DEFAULT - net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod: Extrapolation using the interpolation function of the adjacent interval
DEFAULT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Extrapolation using the interpolation function of the adjacent interval
DEFAULT - net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod: Extrapolation using the interpolation function of the adjacent interval
DefaultFactors(RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.interestrate.models.FundingCapacity.DefaultFactors
deltaGammaHedge - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
deltaGammaHedge - net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio.HedgeStrategy
deltaHedge - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
deltaHedge - net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio.HedgeStrategy
DeltaHedgedPortfolioWithAAD - Class in net.finmath.montecarlo.assetderivativevaluation.products: This class implements a delta hedged portfolio (a hedge simulator).
DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD: Construction of a delta hedge portfolio.
DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD: Construction of a delta hedge portfolio.
deltaVegaHedge - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
density(double) - Static method in class net.finmath.functions.NormalDistribution: Returns the value of the density at x.
Deposit - Class in net.finmath.marketdata.products: Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
Deposit - Class in net.finmath.marketdata2.products: Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
Deposit(Schedule, double, String) - Constructor for class net.finmath.marketdata.products.Deposit
Deposit(Schedule, double, String) - Constructor for class net.finmath.marketdata2.products.Deposit
DescribedAnalyticModel(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>) - Constructor for class net.finmath.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel
DescribedModel<M extends ModelDescriptor> - Interface in net.finmath.modelling: 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 in net.finmath.modelling: Interface for products which can provide a complete description of themself, i.e.
diag(double[]) - Static method in class net.finmath.functions.LinearAlgebra: Generates a diagonal matrix with the input vector on its diagonal
DigitalCaplet - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel.
DigitalCaplet(double, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.DigitalCaplet: Create a digital caplet with given maturity and strike.
DigitalFloorlet - Class in net.finmath.montecarlo.interestrate.products: Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
DigitalFloorlet(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.DigitalFloorlet
DigitalOption - Class in net.finmath.fouriermethod.products: Implements valuation of a European option on a single asset.
DigitalOption - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements the valuation of a digital option on a single asset.
DigitalOption(double, double) - Constructor for class net.finmath.fouriermethod.products.DigitalOption: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
DigitalOption(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: Construct a product representing an digital option on an asset S (where S the asset with index 0 from the model - single asset case).
DigitalOption(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: Construct a product representing an digital option on an asset S (where S the asset with index underlyingIndex from the model - single asset case).
DigitalOption(String, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
DigitalOptionDeltaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a digital option.
DigitalOptionDeltaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOptionDeltaLikelihood: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
DigitalOptionFourierMethod(SingleAssetDigitalOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.DigitalOptionFourierMethod: Create product from descriptor.
DigitalOptionMonteCarlo(SingleAssetDigitalOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo: Create product from descriptor.
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
discount(RandomVariable, double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x / (1.0 + rate * periodLength) to this random variable.
discount(RandomVariable, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
discount(RandomVariable, double) - Method in class net.finmath.stochastic.Scalar
DiscountCurve - Interface in net.finmath.marketdata.model.curves: The interface which is implemented by discount curves.
DiscountCurveFromForwardCurve - Class in net.finmath.marketdata.model.curves: A discount curve derived from a given forward curve.
DiscountCurveFromForwardCurve - Class in net.finmath.marketdata2.model.curves: A discount curve derived from a given forward curve.
DiscountCurveFromForwardCurve(String) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String, double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String, double) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurve) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurve, double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface, double) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve: Create a discount curve using a given forward curve.
DiscountCurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves: A discount curve derived from other discount curves by multiplying the discount factors.
DiscountCurveFromProductOfCurves(String, LocalDate, String...) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves: Create a discount curve using one or more curves.
DiscountCurveFromProductOfCurves(String, LocalDate, DiscountCurve...) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves: Create a discount curve using one or more given curves.
DiscountCurveInterface - Interface in net.finmath.marketdata2.model.curves: The interface which is implemented by discount curves.
DiscountCurveInterpolation - Class in net.finmath.marketdata.model.curves: Implementation of a discount factor curve based on CurveInterpolation.
DiscountCurveInterpolation - Class in net.finmath.marketdata2.model.curves: Implementation of a discount factor curve based on CurveInterpolation.
DiscountCurveNelsonSiegelSvensson - Class in net.finmath.marketdata.model.curves: Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
DiscountCurveNelsonSiegelSvensson(String, LocalDate, double[], double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson: Create a discount curve using a Nelson-Siegel-Svensson parametrization.
DiscountCurveRenormalized - Class in net.finmath.marketdata.model.curves: 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.
DiscountCurveRenormalized(String, LocalDate, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
DISCOUNTFACTOR - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the (synthetic) discount factor
DISCOUNTFACTOR - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the (synthetic) discount factor
DISCOUNTFACTOR_DISCOUNTFACTOR - net.finmath.marketdata.model.bond.BondCurve.Type
DISCOUNTFACTOR_ZERORATE - net.finmath.marketdata.model.bond.BondCurve.Type
DISCRETE_DELTA - net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod
DisplacedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance: Displaced model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel: Displaced model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel: Displaced model build on top of a standard covariance model.
DisplacedLognomalModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
DisplacedLognomalModel(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel: Create a Monte-Carlo simulation using given time discretization.
DisplacedLognomalModel(RandomVariableFactory, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel: Create a Monte-Carlo simulation using given time discretization.
DisplacedLognomalModel(RandomVariableFactory, RandomVariable, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel: Create a Monte-Carlo simulation using given time discretization.
DisplacedLognormal - Class in net.finmath.timeseries.models.parametric: Displaced log-normal process with constanst volatility.
DisplacedLognormal(double[]) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
DisplacedLognormal(double[], double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
DisplacedLognormal(double[], double, int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
DisplacedLognormal(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
DisplacedLognormalARMAGARCH - Class in net.finmath.timeseries.models.parametric: Displaced log-normal process with ARMAGARCH(1,1) volatility.
DisplacedLognormalARMAGARCH(TimeSeries) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
DisplacedLognormalARMAGARCH(TimeSeries, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
DisplacedLognormalARMAGARCH(TimeSeries, double, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
DisplacedLognormalGARCH - Class in net.finmath.timeseries.models.parametric: Displaced log-normal process with GARCH(1,1) volatility.
DisplacedLognormalGARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
DisplacedLognormalGARCH(double[], double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
DisplacedLognormalGARCH(double[], double, int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
DisplacedLognormalGARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
DisplacedLognormalGJRGARCH - Class in net.finmath.timeseries.models.parametric: Displaced log-normal process with GJR-GARCH(1,1) volatility.
DisplacedLognormalGJRGARCH(TimeSeries) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
DisplacedLognormalGJRGARCH(TimeSeries, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
DisplacedLognormalGJRGARCH(TimeSeries, double, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
div(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
div(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
div(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
div(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
div(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
div(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x / value to this random variable.
div(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
div(double) - Method in class net.finmath.stochastic.Scalar
div(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
div(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
div(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
div(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
div(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
div(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x/randomVariable to this random variable.
div(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
div(RandomVariable) - Method in class net.finmath.stochastic.Scalar
DoubleKey(double, double) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey: Create key from double.
DoubleKey(int, int) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey: Create key from int.
doubleStream() - Method in interface net.finmath.time.TimeDiscretization: Return a DoubleStream of this time discretization.
DoubleTernaryOperator - Interface in net.finmath.functions: Functional interface for functions mapping (double,double,double) to double.
doubleValue() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
doubleValue() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
doubleValue() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
doubleValue() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
doubleValue() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
doubleValue() - Method in interface net.finmath.stochastic.RandomVariable: Returns the double value if isDeterministic() is true.
doubleValue() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
doubleValue() - Method in class net.finmath.stochastic.Scalar
DOWN_IN - net.finmath.functions.BarrierOptions.BarrierType
DOWN_OUT - net.finmath.functions.BarrierOptions.BarrierType

E

E30_360 - net.finmath.time.ScheduleGenerator.DaycountConvention: See DayCountConvention_30E_360.
E30_360_ISDA - net.finmath.time.ScheduleGenerator.DaycountConvention: See DayCountConvention_30E_360_ISDA.
equals(Object) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
equals(Object) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
equals(Object) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
equals(Object) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
equals(Object) - Method in class net.finmath.montecarlo.GammaProcess
equals(Object) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
equals(Object) - Method in class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey
equals(Object) - Method in class net.finmath.time.Period
equals(Object) - Method in class net.finmath.time.TimeDiscretizationFromArray
equals(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
equals(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
equals(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
equals(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
equals(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
equals(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Compare this random variable with a given one
equals(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
equals(RandomVariable) - Method in class net.finmath.stochastic.Scalar
ErrorEstimation - Class in net.finmath.singleswaprate.data: Provides several error estimates between values taken from market data and values taken from a model.
ErrorEstimation(LocalDate, SchedulePrototype, SchedulePrototype, AnnuityMapping.AnnuityMappingType, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, String, String, String, double, double, int) - Constructor for class net.finmath.singleswaprate.data.ErrorEstimation: Create the class.
ESTIMATE_COND_EXPECTATION - net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption.ExerciseMethod
ESTIMATE_COND_EXPECTATION - net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption.ExerciseMethod
EULER - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Driftapproximation
EULER - net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Driftapproximation
EULER - net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement.Driftapproximation
EULER - net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme
EULER - net.finmath.montecarlo.templatemethoddesign.LogNormalProcess.Scheme
EULER_FUNCTIONAL - net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme
EulerSchemeFromProcessModel - Class in net.finmath.montecarlo.process: This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
EulerSchemeFromProcessModel(ProcessModel, IndependentIncrements) - Constructor for class net.finmath.montecarlo.process.EulerSchemeFromProcessModel: Create an Euler discretization scheme.
EulerSchemeFromProcessModel(ProcessModel, IndependentIncrements, EulerSchemeFromProcessModel.Scheme) - Constructor for class net.finmath.montecarlo.process.EulerSchemeFromProcessModel: Create an Euler discretization scheme.
EulerSchemeFromProcessModel.Scheme - Enum in net.finmath.montecarlo.process
EUR - net.finmath.marketdata.model.volatility.caplet.CapTenorStructure
EuropeanOption - Class in net.finmath.fouriermethod.products: Implements valuation of a European option on a single asset.
EuropeanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements the valuation of a European option on a single asset.
EuropeanOption(double, double) - Constructor for class net.finmath.fouriermethod.products.EuropeanOption: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(String, double, double) - Constructor for class net.finmath.fouriermethod.products.EuropeanOption
EuropeanOption(String, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption: Construct a product representing an European option on an asset S (where S the asset with index underlyingIndex from the model - single asset case).
EuropeanOptionDeltaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a European option using the likelihood ratio method.
EuropeanOptionDeltaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaLikelihood: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionDeltaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products: 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.
EuropeanOptionDeltaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwise: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionDeltaPathwiseForGeometricModel - Class in net.finmath.montecarlo.assetderivativevaluation.products: 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(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwiseForGeometricModel: Construct a product representing the delta of an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionFourierMethod(SingleAssetEuropeanOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.EuropeanOptionFourierMethod: Create the product from a descriptor.
EuropeanOptionGammaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a European option.
EuropeanOptionGammaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaLikelihood: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionGammaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a European option using the pathwise method.
EuropeanOptionGammaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionMonteCarlo(SingleAssetEuropeanOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionRhoLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a European option.
EuropeanOptionRhoLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoLikelihood: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionRhoPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a European option using the pathwise method.
EuropeanOptionRhoPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoPathwise: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionSmile - Class in net.finmath.fouriermethod.products.smile: This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
EuropeanOptionSmile(double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
EuropeanOptionSmile(String, double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
EuropeanOptionSmileByCarrMadan - Class in net.finmath.fouriermethod.products.smile: This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.
EuropeanOptionSmileByCarrMadan(double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
EuropeanOptionSmileByCarrMadan(String, double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
EuropeanOptionSmileByCarrMadan(String, double, double[], int, double, RationalFunctionInterpolation.InterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
EuropeanOptionThetaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the theta of a European option using the pathwise method.
EuropeanOptionThetaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionVegaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the delta of a European option.
EuropeanOptionVegaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaLikelihood: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionVegaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements calculation of the vega of a European option using the pathwise method.
EuropeanOptionVegaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise: Construct a product representing the vega of a European option on an asset S.
EuropeanOptionWithBoundary - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements pricing of a European stock option.
EuropeanOptionWithBoundary(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary: Create an European option.
EuropeanOptionWithBoundary.ConstantBarrier - Class in net.finmath.montecarlo.assetderivativevaluation.products
evaluate(SwaptionDataLattice, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Evaluate the market data against the model.
exp() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
exp() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
exp() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
exp() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
exp() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
exp() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → exp(x) to this random variable.
exp() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
exp() - Method in class net.finmath.stochastic.Scalar
exp(double[][]) - Method in class net.finmath.functions.LinearAlgebra: Calculate the "matrix exponential" (expm).
exp(RealMatrix) - Method in class net.finmath.functions.LinearAlgebra: Calculate the "matrix exponential" (expm).
expand(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
expectation() - Method in interface net.finmath.stochastic.RandomVariable: Returns a random variable which is deterministic and corresponds the expectation of this random variable.
ExpectedTailLoss - Class in net.finmath.montecarlo.interestrate.products.components: The expected tail loss.
ExpectedTailLoss(double, double, TermStructureMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ExpectedTailLoss: Creates the function underlying(exerciseDate) ≥ quantileValue ? underlying : 0.0, where quantileValue is such that P(underlying > quantileValue) = quantile
expm1() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
expm1() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → expm1(x) (that is x → exp(x)-1.0) to this random variable.
expm1() - Method in class net.finmath.stochastic.Scalar
ExponentialCorrelationCurve - Class in net.finmath.singleswaprate.model.curves: A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .
ExponentialCorrelationCurve(String, LocalDate, double, double) - Constructor for class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve: Create the curve.
ExponentialDecayLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance: Exponential decay model build on top of a given covariance model.
ExponentialDecayLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel: Exponential decay model build on top of a standard covariance model.
ExponentialDecayLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel: Exponential decay model build on top of a standard covariance model.
ExponentialDecayLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel: Exponential decay model build on top of a standard covariance model.
ExponentialNormalizer - Class in net.finmath.singleswaprate.annuitymapping: An exponential normalizing function following \[ c e^{-(x / S)^2} \] where S is the swap rate and c is some scaling factor.
ExponentialNormalizer(double, double) - Constructor for class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer: Create the exponential normalizer with parameters.
ExponentialNormalizer(Schedule, Schedule, String, String, String, VolatilityCubeModel) - Constructor for class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer: Create the exponential normalizer from information of the product.
exportTable(DataTable) - Static method in interface net.finmath.singleswaprate.data.DataTable: Provides an overview of the contents of this table as basic java objects sorted in an unmodifiable map.
ExposureEstimator - Class in net.finmath.montecarlo.interestrate.products.components: 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.
ExposureEstimator(AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator: Creates (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.

F

factorReduction(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra: Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
factorReductionUsingCommonsMath(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra: Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
FactorTransform - Interface in net.finmath.montecarlo.process.component.factortransform
FDMBlackScholesModel - Class in net.finmath.finitedifference.models: Black Scholes model using finite difference method.
FDMBlackScholesModel(int, int, int, double, double, double, double, double) - Constructor for class net.finmath.finitedifference.models.FDMBlackScholesModel
FDMConstantElasticityOfVarianceModel - Class in net.finmath.finitedifference.models: CEV model using finite difference method.
FDMConstantElasticityOfVarianceModel(int, int, int, double, double, double, double, double, double) - Constructor for class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
FDMEuropeanCallOption - Class in net.finmath.finitedifference.products: Implementation of a European option to be valued by a the finite difference method.
FDMEuropeanCallOption(double, double) - Constructor for class net.finmath.finitedifference.products.FDMEuropeanCallOption
FDMEuropeanPutOption - Class in net.finmath.finitedifference.products: Implementation of a European option to be valued by a the finite difference method.
FDMEuropeanPutOption(double, double) - Constructor for class net.finmath.finitedifference.products.FDMEuropeanPutOption
FDMThetaMethod - Class in net.finmath.finitedifference.solvers: One dimensional finite difference solver.
FDMThetaMethod(FiniteDifference1DModel, FiniteDifference1DBoundary, double, double, double) - Constructor for class net.finmath.finitedifference.solvers.FDMThetaMethod
FileUtilities - Class in net.finmath.util: Provides utility method to write an object to a file and read an object from a file.
FileUtilities() - Constructor for class net.finmath.util.FileUtilities
FiniteDifference1DBoundary - Interface in net.finmath.finitedifference.models: Interface for boundaries conditions provided to one dimensional finite difference solvers.
FiniteDifference1DModel - Interface in net.finmath.finitedifference.models: Interface one dimensional finite difference models.
FiniteDifference1DProduct - Interface in net.finmath.finitedifference.products: Interface one dimensional finite difference products.
FiniteDifferenceDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products: This class implements a delta hedged portfolio of a given product (a hedge simulator).
FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationModel) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio: Construction of a delta hedge portfolio using finite differences on every path and in every time-step.
FiniteDifferenceHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products: This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationModel, ArrayList<AbstractAssetMonteCarloProduct>, FiniteDifferenceHedgedPortfolio.HedgeStrategy) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio: Construction of a hedge portfolio.
FiniteDifferenceHedgedPortfolio.HedgeStrategy - Enum in net.finmath.montecarlo.assetderivativevaluation.products
FIPXMLParser - Class in net.finmath.modelling.descriptor.xmlparser: Class for parsing trades saved in FIPXML to product descriptors.
FIPXMLParser() - Constructor for class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser: Construct the parser with default parameters.
FIPXMLParser(boolean, String) - Constructor for class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser: Construct the parser.
FIRST - net.finmath.time.ScheduleGenerator.ShortPeriodConvention: The first period will be shorter, if a regular period does not fit.
FixedCoupon - Class in net.finmath.montecarlo.interestrate.products.indices: A fixed coupon index paying constant coupon..
FixedCoupon(double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon: Creates a fixed coupon index paying constant coupon.
FlexiCap - Class in net.finmath.montecarlo.interestrate.products: This class implements the valuation of a Flexi Cap (aka Auto Cap).
FlexiCap(double[], double[], double[], int) - Constructor for class net.finmath.montecarlo.interestrate.products.FlexiCap: Create a Flexi Cap (aka Auto Cap).
FloatingpointDate - Class in net.finmath.time: This class provides the library wide conversion from a floating point number to a LocalDate.
floor(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
floor(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
floor(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
floor(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
floor(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
floor(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → max(x,floor) to this random variable.
floor(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
floor(double) - Method in class net.finmath.stochastic.Scalar
floor(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
floor(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
floor(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
floor(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
floor(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
floor(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → max(x,floor) to this random variable.
floor(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
floor(RandomVariable) - Method in class net.finmath.stochastic.Scalar
FOLLOWING - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
Forward - Class in net.finmath.marketdata.products: Implements the valuation of a forward using curves (discount curve, forward curve).
Forward - Class in net.finmath.marketdata2.products: Implements the valuation of a forward using curves (discount curve, forward curve).
Forward(double, double, String, double, String) - Constructor for class net.finmath.marketdata.products.Forward: Creates a forward.
Forward(double, double, String, double, String) - Constructor for class net.finmath.marketdata2.products.Forward: Creates a forward.
FORWARD - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the forward
FORWARD - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the forward
FORWARD_TIMES_DISCOUNTFACTOR - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the value = forward * discount factor
FORWARD_TIMES_DISCOUNTFACTOR - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the value = forward * discount factor
ForwardAgreement - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements the valuation of a forward on a single asset.
ForwardAgreement(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreement(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreement(String, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreementWithFundingRequirement - Class in net.finmath.montecarlo.assetderivativevaluation.products: Implements the valuation of a forward on a single asset.
ForwardAgreementWithFundingRequirement(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreementWithFundingRequirement(double, double, int, FundingCapacity) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreementWithFundingRequirement(String, double, double, FundingCapacity) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement: Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardCurve - Interface in net.finmath.marketdata.model.curves: The interface which is implemented by forward curves.
ForwardCurveFromDiscountCurve - Class in net.finmath.marketdata.model.curves: A forward curve derived from a given discount curve.
ForwardCurveFromDiscountCurve - Class in net.finmath.marketdata2.model.curves: A forward curve derived from a given discount curve.
ForwardCurveFromDiscountCurve(String, String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, LocalDate, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve: Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A fixed coupon index paying coupon calculated from a forward curve.
ForwardCurveIndex(ForwardCurve) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex: Creates a forward curve index.
ForwardCurveInterface - Interface in net.finmath.marketdata2.model.curves: The interface which is implemented by forward curves.
ForwardCurveInterpolation - Class in net.finmath.marketdata.model.curves: A container for a forward (rate) curve.
ForwardCurveInterpolation - Class in net.finmath.marketdata2.model.curves: A container for a forward (rate) curve.
ForwardCurveInterpolation(String, double, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, double, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation.InterpolationEntityForward - Enum in net.finmath.marketdata.model.curves: Additional choice of interpolation entities for forward curves.
ForwardCurveInterpolation.InterpolationEntityForward - Enum in net.finmath.marketdata2.model.curves: Additional choice of interpolation entities for forward curves.
ForwardCurveNelsonSiegelSvensson - Class in net.finmath.marketdata.model.curves: Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
ForwardCurveNelsonSiegelSvensson(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention, double[], double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
ForwardCurveNelsonSiegelSvensson(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention, double[], double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
ForwardCurveWithFixings - Class in net.finmath.marketdata.model.curves
ForwardCurveWithFixings(ForwardCurve, ForwardCurve, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveWithFixings: Create a piecewise forward curve.
ForwardRateAgreement - Class in net.finmath.marketdata.products: Implements the valuation of a FRA in multi-curve setting.
ForwardRateAgreement - Class in net.finmath.marketdata2.products: Implements the valuation of a FRA in multi-curve setting.
ForwardRateAgreement(Schedule, double, String, String) - Constructor for class net.finmath.marketdata.products.ForwardRateAgreement: Creates a payer FRA.
ForwardRateAgreement(Schedule, double, String, String) - Constructor for class net.finmath.marketdata2.products.ForwardRateAgreement: Creates a payer FRA.
ForwardRateAgreement(Schedule, double, String, String, boolean) - Constructor for class net.finmath.marketdata.products.ForwardRateAgreement: Creates a FRA.
ForwardRateAgreement(Schedule, double, String, String, boolean) - Constructor for class net.finmath.marketdata2.products.ForwardRateAgreement: Creates a FRA.
ForwardRateAgreementGeneralized - Class in net.finmath.montecarlo.hybridassetinterestrate.products: This class implements the valuation of a zero coupon bond.
ForwardRateAgreementGeneralized(String, double, double, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized
ForwardRateAgreementGeneralized(LocalDateTime, String, double, double, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized: Create a forward rate agreement.
ForwardRateAgreementGeneralized(LocalDateTime, String, double, double, double, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized
ForwardRateVolatilitySurfaceCurvature - Class in net.finmath.montecarlo.interestrate.products: This class implements the calculation of the curvature of the volatility surface of the forward rates.
ForwardRateVolatilitySurfaceCurvature() - Constructor for class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature: Create the calculation of the curvature of the volatility surface of the forward rates
ForwardRateVolatilitySurfaceCurvature(double) - Constructor for class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature: Create the calculation of the curvature of the volatility surface of the forward rates.
FourierTransformProduct - Interface in net.finmath.fouriermethod.products
FPMLParser - Class in net.finmath.modelling.descriptor.xmlparser: Class for parsing trades saved in FpML to product descriptors.
FPMLParser(String, String) - Constructor for class net.finmath.modelling.descriptor.xmlparser.FPMLParser: Construct the parser.
fromFile(File) - Static method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
FULL_TRUNCATION - net.finmath.montecarlo.assetderivativevaluation.models.HestonModel.Scheme: Full truncation scheme, that is V is replaced by Math.max(V,0), where V denotes the current realization of V(t).
FundingCapacity - Class in net.finmath.montecarlo.interestrate.models: 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.
FundingCapacity(String, RandomVariable, SortedMap<Double, Double>) - Constructor for class net.finmath.montecarlo.interestrate.models.FundingCapacity
FundingCapacity.DefaultFactors - Class in net.finmath.montecarlo.interestrate.models
FutureWrapper<V> - Class in net.finmath.concurrency: Implementation of the Future interface, without any concurrent execution.
FutureWrapper(V) - Constructor for class net.finmath.concurrency.FutureWrapper: Create a wrapper to an object that looks like a Future on that object.

G

GammaDistribution - Class in net.finmath.functions
GammaDistribution(double, double) - Constructor for class net.finmath.functions.GammaDistribution
GammaProcess - Class in net.finmath.montecarlo: 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.
GammaProcess(TimeDiscretization, int, int, int, double) - Constructor for class net.finmath.montecarlo.GammaProcess: Construct a Gamma process with a given shape parameter.
GammaProcess(TimeDiscretization, int, int, int, double, double) - Constructor for class net.finmath.montecarlo.GammaProcess: Construct a Gamma process with a given shape parameter.
GARCH - Class in net.finmath.timeseries.models.parametric: Log-normal process with GARCH(1,1) volatility.
GARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.GARCH: Create GARCH model estimated form the given time series of values.
GARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.GARCH: Create GARCH model estimated form the given time series of values.
generateSchedule(LocalDate, int, int) - Method in class net.finmath.time.SchedulePrototype: Generate a schedule with start / end date determined by an offset in months from the reference date.
generateSchedule(LocalDate, int, int, SchedulePrototype.OffsetUnit) - Method in class net.finmath.time.SchedulePrototype: Generate a schedule with start / end date determined by an offset from the reference date.
generateSchedule(LocalDate, LocalDate, LocalDate) - Method in class net.finmath.time.SchedulePrototype: Generate a schedule for the given start and end date.
generateScheduleDescriptor(LocalDate, LocalDate) - Method in class net.finmath.time.SchedulePrototype: Generate a schedule descriptor for the given start and end date.
get() - Method in class net.finmath.concurrency.FutureWrapper
get() - Method in interface net.finmath.stochastic.RandomVariableAccumulator
get(double, double) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
get(int) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
get(int) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
get(int) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
get(int) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
get(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
get(int) - Method in interface net.finmath.stochastic.RandomVariable: Evaluate at a given path or state.
get(int) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
get(int) - Method in class net.finmath.stochastic.Scalar
get(long, TimeUnit) - Method in class net.finmath.concurrency.FutureWrapper
get3MCorrelation(double, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
get6MCorrelation(double, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getAccruedInterest(double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the accrued interest of the bond for a given time.
getAccruedInterest(LocalDate, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the accrued interest of the bond for a given date.
getAccuracy() - Method in class net.finmath.marketdata.calibration.Solver: Returns the accuracy achieved in the last solver run.
getAccuracy() - Method in class net.finmath.marketdata2.calibration.Solver: Returns the accuracy achieved in the last solver run.
getAccuracy() - Method in class net.finmath.optimizer.GoldenSectionSearch
getAdjustedDate(LocalDate, String, BusinessdayCalendar.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
getAdjustedDate(LocalDate, String, BusinessdayCalendar.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar: Get an adjusted date for a given date and offset code.
getAdjustedDate(LocalDate, BusinessdayCalendar.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
getAdjustedDate(LocalDate, BusinessdayCalendar.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar: Get an adjusted date for a given date.
getAlpha() - Method in class net.finmath.fouriermethod.models.BatesModel
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getAnalyticModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel: Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
getAsArrayList() - Method in interface net.finmath.time.TimeDiscretization: Return a clone of this time discretization as ArrayList<Double>.
getAsArrayList() - Method in class net.finmath.time.TimeDiscretizationFromArray
getAsDouble() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator1D
getAsDoubleArray() - Method in interface net.finmath.time.TimeDiscretization: Return a clone of this time discretization as double[].
getAsDoubleArray() - Method in class net.finmath.time.TimeDiscretizationFromArray
getAssetValue(double, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Returns the random variable representing the asset's value at a given time for a given asset.
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getAssetValue(double, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getAssetValue(double, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getAssetValue(int, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Returns the random variable representing the asset's value at a given time for a given asset.
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getAssetValue(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getAssetValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getATMForward(AnalyticModel, boolean) - Method in class net.finmath.marketdata.products.Cap: Return the ATM forward for this cap.
getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getAverage() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getAverage() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getAverage() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getAverage() - Method in interface net.finmath.stochastic.RandomVariable: Returns the expectation of this random variable.
getAverage() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getAverage() - Method in class net.finmath.stochastic.Scalar
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getAverage(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Returns the expectation of this random variable for a given probability measure (weight).
getAverage(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getAverage(RandomVariable) - Method in class net.finmath.stochastic.Scalar
getBarrier() - Method in interface net.finmath.montecarlo.process.component.barrier.ProcessWithBarrier
getBarrierDiracWidth() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory: Deprecated.
getBarrierDirection(int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
getBarrierDirection(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier: The barrier direction, i.e.
getBarrierLevel(int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
getBarrierLevel(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier: The barrier level
getBaseCalendar() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel: Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a L_i,0 + (1-a)L_i(t)) F_i(t) where a is the displacement and L_i is the realization of the i-th component of the stochastic process and F_i is the factor loading loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel: Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a L_i,0 + (1-a)L_i(t)) F_i(t) where a is the displacement and L_i is the realization of the i-th component of the stochastic process and F_i is the factor loading loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel: Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is exp(- a t) F_i(t) where a is the decay parameter and F_i is the factor loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel: Returns the base covariance model, i.e., the model providing the factor loading F.
getBaseCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getBaseModel() - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getBaseVolTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getBasisFactorCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
getBasisFunctions() - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctions
getBasisFunctions() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven
getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption: Return the basis functions for the regression suitable for this product.
getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Provides a set of $ \mathcal{F}_{t} $-measurable random variables which can serve as regression basis functions.
getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option: Return the regression basis functions.
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsFromProducts
getBasisFunctions(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsProvider: Provides a set of $ \mathcal{F}_{t} $-measurable random variables which can serve as regression basis functions.
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption: Return the basis functions for the regression suitable for this product.
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
getBasisFunctionsEstimator() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
getBasisFunctionsPredictor() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
getBasisFunctionsProviderWithForwardRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getBasisFunctionsProviderWithSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getBestFitParameters() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
getBestFitParameters() - Method in class net.finmath.optimizer.LevenbergMarquardt
getBestFitParameters() - Method in interface net.finmath.optimizer.Optimizer: Get the best fit parameter vector.
getBestFitParameters() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
getBestFitParameters() - Method in interface net.finmath.optimizer.StochasticOptimizer: Get the best fit parameter vector.
getBestFitParameters() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
getBestParameters() - Method in interface net.finmath.timeseries.HistoricalSimulationModel: Returns the parameters estimated for the given time series.
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.GARCH
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
getBestParameters(Map<String, Object>) - Method in interface net.finmath.timeseries.HistoricalSimulationModel: Returns the parameters estimated for the given time series, using a parameter guess.
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.GARCH
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
getBestPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch
getBeta() - Method in class net.finmath.fouriermethod.models.BatesModel
getBeta() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getBoundaryAdjustment(double, double, AssetModelMonteCarloSimulationModel, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary
getBrownianIncrement(double, int) - Method in interface net.finmath.montecarlo.BrownianMotion: Return the Brownian increment for a given timeIndex.
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
getBrownianIncrement(int, int) - Method in interface net.finmath.montecarlo.BrownianMotion: Return the Brownian increment for a given timeIndex.
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getBrownianMotion() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getBrownianMotion() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Returns the Brownian motion used to simulate the curve.
getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getBrownianMotion() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getBrownianMotion() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getBuildString() - Static method in class net.finmath.information.Library: Return the build string of this instance of finmath-lib.
getBusinessdayCalendar() - Method in class net.finmath.time.SchedulePrototype
getCalibratedModel(Set<ParameterObject>) - Method in class net.finmath.marketdata.calibration.Solver: Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
getCalibratedModel(Set<ParameterObject>) - Method in class net.finmath.marketdata2.calibration.Solver: Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
getCalibration() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel: Solves the calibration problem thus providing a calibrated model.
getCalibrationOutput() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.
getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.
getCapletFixingTimeVectorInYears() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
getCapletVolMatrix() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping: Method that bootstraps the caplet volatilities from the cap volatility data.
getCapTenorStructure() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getCapVolData(int, double) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getCapVolData(int, int) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getCashAverageError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the average error in cash settled swaption premiums.
getCashAverageError(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the average error in cash settled swaption premiums at a specific node on the tenor grid.
getCashAverageErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the average error in cash settled swaption premiums, in percent difference from the market data.
getCashAverageErrorPercent(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the average error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
getCashMaxError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the maximal error in cash settled swaption premiums.
getCashMaxError(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the maximal error in cash settled swaption premiums at a specific node on the tenor grid.
getCashMaxErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the maximal error in cash settled swaption premiums, in percent difference from the market data.
getCashMaxErrorPercent(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the maximal error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
getCharacteristicFunctionModel() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess: Directly returns the characteristic function.
getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
getCloneBuilder() - Method in class net.finmath.marketdata.model.bond.BondCurve
getCloneBuilder() - Method in interface net.finmath.marketdata.model.curves.Curve: Returns a curve builder bases on a clone of this curve.
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
getCloneBuilder() - Method in interface net.finmath.marketdata2.model.curves.Curve: Returns a curve builder bases on a clone of this curve.
getCloneBuilder() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getCloneBuilder() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
getCloneBuilder() - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>, ParameterTransformation) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>, ParameterTransformation, OptimizerFactory) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric: Create a clone of this volatility surface using a generic calibration of its parameters to given market data.
getCloneCalibrated(LIBORMarketModel, CalibrationProduct[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
getCloneCalibrated(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric: Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelCalibrateable: Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric: Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelCalibrateable: Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(TermStructureModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric: Return a calibrated clone of the covariance model.
getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getCloneCalibrated(TimeSeries) - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
getCloneCalibratedLegazy(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
getCloneCalibratedLegazy(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric: Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
getCloneForModifiedParameters(double[]) - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess: Calibration substitutes in the model the parameters of the process with calibrated ones.
getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterObject: Create a clone with a modified parameter.
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.model.curves.Curve
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric: Returns a clone of this volatility surface with modified parameters.
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
getCloneForParameter(Map<ParameterObject, double[]>) - Method in interface net.finmath.marketdata.model.AnalyticModel
getCloneForParameter(Map<ParameterObject, double[]>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getCloneForParameter(Map<ParameterObject, RandomVariable[]>) - Method in interface net.finmath.marketdata2.model.AnalyticModel
getCloneForParameter(Map<ParameterObject, RandomVariable[]>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
getCloneForParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterObject: Create a clone with a modified parameter.
getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
getCloneForParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.model.curves.Curve
getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getCloneIndependent() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getCloneIndependent() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable: Returns a clone of this differentiable random variable with a new ID.
getCloneShifted(double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
getCloneShifted(double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
getCloneShifted(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(String, double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Map<String, Double>) - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Map<String, Double>) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Pattern, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Pattern, double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel: Create a new object implementing LIBORMarketModel, using the new covariance model.
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel: Create a clone of this simulation modifying one of its properties (if any).
getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel: Create a clone of this simulation modifying one of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Create a clone of this simulation modifying some of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel: Create a new object implementing LIBORModel, using the new data.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel: Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel: Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel: Create a new object implementing TermStructureModel, using the new data.
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.model.ProcessModel: Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Create a clone of this simulation modifying some of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.process.MonteCarloProcess: Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getCloneWithModifiedModel(ProcessModel) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getCloneWithModifiedModel(ProcessModel) - Method in interface net.finmath.montecarlo.process.MonteCarloProcess: Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelParametricInterface: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface: Create a new object constructed from a clone of this time scaling, where some parameters have been modified.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
getCloneWithModifiedParameters(double, double[]) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile: Returns the same valuation method for different parameters (maturity and strikes).
getCloneWithModifiedParameters(double, double[]) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getCloneWithModifiedParameters(RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric: Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel: Deprecated.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianBridge
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.BrownianMotion: Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionView
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.GammaProcess
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels: Deprecated.
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.IndependentIncrements: Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Deprecated.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.MertonJumpProcess
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.VarianceGammaProcess
getCloneWithModifiedTargetValues(double[], double[], boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<Number>, List<Number>, boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<RandomVariable>, List<RandomVariable>, boolean) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<RandomVariable>, List<RandomVariable>, boolean) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(RandomVariable[], RandomVariable[], boolean) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(RandomVariable[], RandomVariable[], boolean) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianBridge
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in interface net.finmath.montecarlo.BrownianMotion: Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionView
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.GammaProcess
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in interface net.finmath.montecarlo.IndependentIncrements: Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.JumpProcessIncrements
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.MertonJumpProcess
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.VarianceGammaProcess
getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel) - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel: Create a new object implementing ShortRateModel, using the new volatility model.
getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getCloneWithWindow(int, int) - Method in interface net.finmath.timeseries.HistoricalSimulationModel: Create a new model, using only a window of the times series.
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.GARCH
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
getColumnIndex(double) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getConditionalExpectation(ConditionalExpectationEstimator) - Method in interface net.finmath.stochastic.RandomVariable: Returns the conditional expectation using a given conditional expectation estimator.
getConditionalExpectation(ConditionalExpectationEstimator) - Method in interface net.finmath.stochastic.RandomVariableArray
getConditionalExpectation(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
getConditionalExpectation(RandomVariable) - Method in interface net.finmath.stochastic.ConditionalExpectationEstimator: Return the conditional expectation of a given random variable.
getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption: Return the conditional expectation estimator suitable for this product.
getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: The conditional expectation is calculated using a Monte-Carlo regression technique.
getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory
getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionFactory: Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.
getConstraint() - Method in interface net.finmath.fouriermethod.calibration.ScalarParameterInformation: Returns the constraint.
getConstraint() - Method in class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation
getConvention() - Method in class net.finmath.marketdata.model.volatilities.OptionData
getConvention() - Method in interface net.finmath.singleswaprate.data.DataTable: Returns the convention the table understands its coordinates in.
getConvention() - Method in class net.finmath.singleswaprate.data.DataTableBasic
getConvention() - Method in class net.finmath.singleswaprate.data.DataTableLight
getCorrelation(int, double, double, AnalyticModel, String) - Method in interface net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProvider
getCorrelation(int, double, double, AnalyticModel, String) - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
getCorrelationDecay() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getCorrelationDecay() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Return the correlation decay parameter of the cube.
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getCorrelationMatrix() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Returns the volatility parameters of this model.
getCorrelationMatrix3M() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getCorrelationMatrix6M() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getCorrelationModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getCorrelations() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Returns the volatility parameters of this model.
getCoupon() - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon: Returns the coupon.
getCoupon(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getCoupon(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Period
getCouponPayment(int, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the coupon payment of the period with the given index.
getCovariance(double, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getCovariance(double, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Returns the instantaneous covariance calculated from factor loadings.
getCovariance(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getCovariance(int, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Returns the instantaneous covariance calculated from factor loadings.
getCovariance(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getCovarianceModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel: Return the forward rate (LIBOR) covariance model.
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement: Returns the term structure covariance model.
getCurrency() - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue
getCurrency() - Method in interface net.finmath.montecarlo.interestrate.products.components.Notional: Returns the currency string of this notional.
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.Option
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
getCurrency() - Method in interface net.finmath.montecarlo.MonteCarloProduct: Returns the currency string of this product.
getCurrentFundingLevel() - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity
getCurve(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Get a curve for a given name.
getCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModel: Get a curve by a given curve name.
getCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getCurve(String) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Get a curve for a given name.
getCurve(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Get a curve by a given curve name.
getCurve(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getCurves() - Method in interface net.finmath.marketdata.model.AnalyticModel: Returns an unmodifiable map of all curves.
getCurves() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getCurves() - Method in interface net.finmath.marketdata2.model.AnalyticModel: Returns an unmodifiable map of all curves.
getCurves() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getCurvesMap() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
getDate() - Method in class net.finmath.timeseries.MarketData
getDate(int) - Method in interface net.finmath.time.Tenor: Returns the date for the given time index.
getDate(int) - Method in class net.finmath.time.TenorFromArray
getDateFromDateAndOffsetCode(LocalDate, String) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
getDateFromDateAndOffsetCode(LocalDate, String) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar: Create a new date by "adding" a year fraction to a given base date.
getDateFromFloatingPointDate(LocalDate, double) - Static method in class net.finmath.time.FloatingpointDate: Convert a floating point date to a LocalDate.
getDateFromFloatingPointDate(LocalDateTime, double) - Static method in class net.finmath.time.FloatingpointDate: Convert a floating point date to a LocalDateTime.
getDateRollConvention() - Method in class net.finmath.time.SchedulePrototype
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30U_360
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NL_365
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NONE
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_UNKNOWN
getDaycount(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConvention: Return the number of days between startDate and endDate given the specific daycount convention.
getDaycount(LocalDate, LocalDate, String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory: Return the number of days between startDate and endDate given the specific daycount convention.
getDaycountconvention() - Method in class net.finmath.time.RegularSchedule
getDaycountconvention() - Method in interface net.finmath.time.Schedule: Returns the daycount convention used to calculate period lengths.
getDaycountconvention() - Method in class net.finmath.time.ScheduleFromPeriods
getDaycountConvention() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
getDaycountConvention() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
getDaycountConvention() - Method in class net.finmath.time.SchedulePrototype
getDayCountConvention(String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory: Create a day count convention base on a convention string.
getDaycountFraction() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getDaycountFraction(int) - Method in interface net.finmath.time.Tenor: Returns the day count fraction for the period form timeIndex to to timeIndex+1.
getDaycountFraction(int) - Method in class net.finmath.time.TenorFromArray
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30U_360
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_360
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365A
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365L
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NL_365
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NONE
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_UNKNOWN
getDaycountFraction(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConvention: Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.
getDaycountFraction(LocalDate, LocalDate, String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory: Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.
getDefaultCompensation() - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity.DefaultFactors
getDefaultCompensationForRequiredFunding(double, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity
getDefaultFactors(double, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity
getDegreesOfFreedom() - Method in class net.finmath.functions.NonCentralChiSquaredDistribution
getDelta() - Method in class net.finmath.fouriermethod.models.BatesModel
getDenominatorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex: Returns the denominator index.
getDescriptor() - Method in class net.finmath.marketdata.products.Swap
getDescriptor() - Method in class net.finmath.marketdata.products.SwapLeg
getDescriptor() - Method in interface net.finmath.modelling.DescribedModel: Return a model descriptor representing this model.
getDescriptor() - Method in interface net.finmath.modelling.DescribedProduct: Return a product descriptor representing this product.
getDescriptor() - Method in class net.finmath.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel
getDescriptor() - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapLegMonteCarlo
getDescriptor() - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapMonteCarlo
getDescriptor() - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo
getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.DigitalOptionFourierMethod
getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.EuropeanOptionFourierMethod
getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo
getDescriptor() - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo
getDescriptor(LocalDate, int) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile: Return a product descriptor for a specific strike.
getDescriptors(LocalDate) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile: Return a collection of product descriptors for each option in the smile.
getDimension() - Method in class net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator
getDimension() - Method in class net.finmath.randomnumbers.HaltonSequence
getDimension() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator: Get the sample vector dimension.
getDimension() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator1D
getDimension() - Method in class net.finmath.randomnumbers.SobolSequence
getDiracDeltaApproximationDensityRegressionWidthPerStdDev() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
getDiracDeltaApproximationMethod() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
getDiracDeltaApproximationWidthPerStdDev() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
getDiscountCurve() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
getDiscountCurve() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getDiscountCurve() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
getDiscountCurve() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
getDiscountCurve() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getDiscountCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel: Return the discount curve associated the forwards.
getDiscountCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModel: Returns a discount curve for a given name.
getDiscountCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getDiscountCurve(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Returns a discount curve for a given name.
getDiscountCurve(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.HestonModel
getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.MertonModel
getDiscountCurveForDiscountRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getDiscountCurveForDiscountRate() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getDiscountCurveForDiscountRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getDiscountCurveForDiscountRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.HestonModel
getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.MertonModel
getDiscountCurveForForwardRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getDiscountCurveForForwardRate() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getDiscountCurveForForwardRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getDiscountCurveForForwardRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getDiscountCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
getDiscountCurveName() - Method in interface net.finmath.marketdata.model.curves.ForwardCurve
getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
getDiscountCurveName() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getDiscountCurveName() - Method in class net.finmath.marketdata.products.Cap: Returns the name of the discount curve referenced by this cap.
getDiscountCurveName() - Method in class net.finmath.marketdata.products.Deposit
getDiscountCurveName() - Method in class net.finmath.marketdata.products.SwapLeg
getDiscountCurveName() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
getDiscountCurveName() - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface
getDiscountCurveName() - Method in class net.finmath.marketdata2.products.Deposit
getDiscountCurveName() - Method in class net.finmath.marketdata2.products.SwapLeg
getDiscountCurveName() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Return the name of the discount curve in this descriptor.
getDiscountCurveName() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
getDiscountFactor(double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurve: Returns the discount factor for the corresponding maturity.
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getDiscountFactor(double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
getDiscountFactor(double) - Method in interface net.finmath.marketdata2.model.curves.DiscountCurveInterface: Returns the discount factor for the corresponding maturity.
getDiscountFactor(double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.bond.BondCurve
getDiscountFactor(AnalyticModel, double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurve: Returns the discount factor for the corresponding maturity.
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson: Return the discount factor within a given model context for a given maturity.
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
getDiscountFactor(AnalyticModel, double) - Method in interface net.finmath.marketdata2.model.curves.DiscountCurveInterface: Returns the discount factor for the corresponding maturity.
getDiscountFactor(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
getDiscountIndex() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getDiscountRate() - Method in class net.finmath.fouriermethod.models.BatesModel
getDiscountRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getDiscountRate() - Method in class net.finmath.fouriermethod.models.HestonModel
getDiscountRate() - Method in class net.finmath.fouriermethod.models.MertonModel
getDiscountRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getDiscountRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getDisplacement() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getDisplacement() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getDisplacement() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getDisplacement() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getDisplacement() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getDisplacement() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getDoubleValue() - Method in class net.finmath.swing.JNumberField
getDrift(int, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getDrift(int, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getDrift(int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: Get the the drift.
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement: Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
getDrift(MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in interface net.finmath.montecarlo.model.ProcessModel: This method has to be implemented to return the drift, i.e.
getDrift(RandomVariable[], MonteCarloProcess, int, RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.hybridassetinterestrate.ConvexityAdjustedModel
getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getDriftEuler(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getElement(int) - Method in interface net.finmath.stochastic.RandomVariableArray
getElement(int) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getEnum(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit: Get the date offset unit enum for a string (using common synonyms like "d", "b", "bd", "w").
getEnum(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention: Get the date roll convention enum for a string (using common synonyms like "modfollow".
getEnum(String) - Static method in enum net.finmath.time.ScheduleGenerator.DaycountConvention
getEquityForwardCurve() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getExcerciseDate() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor: Return the exercise date of the option.
getExchangeRate(String, String, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel: Return the (cross curve or currency) exchange rate for a given simulation time.
getExecutor() - Static method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getExerciseDate() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
getExerciseDate() - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
getExerciseDates() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
getExerciseDates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Returns the exercise dates.
getExerciseIndicator(LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Swaption: Deprecated.
getExerciseProbabilitiesFromTimes(LocalDateTime, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules: Determines the vector of exercise probabilities for a given RandomVariable of exerciseTimes.
getExerciseTimes() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getExpiryInMonths(int) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getExpiryInYears(int) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getExpiryVectorInMonths() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getExpiryVectorInYears() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getExtrapolationMethod() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation: Returns the extrapolation method used by this curve.
getExtrapolationMethod() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation: Returns the extrapolation method used by this curveFromInterpolationPoints.
getFactorDrift(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.factortransform.FactorTransform: The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
getFactorDrift(LIBORModelMonteCarloSimulationModel, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct: Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
getFactorDrift(LIBORModelMonteCarloSimulationModel, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift(LIBORModelMonteCarloSimulationModel, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct: Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
getFactorDriftDeterminant(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.factortransform.FactorTransform: The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
getFactorLoading(double, double, double, TimeDiscretization, RandomVariable[], TermStructureModel) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel
getFactorLoading(double, double, double, TimeDiscretization, RandomVariable[], TermStructureModel) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
getFactorLoading(double, double, double, TimeDiscretization, RandomVariable[], TermStructureModel) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelInterface: Return the factor loading for a given time and a term structure period.
getFactorLoading(double, double, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getFactorLoading(double, double, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Return the factor loading for a given time and a given component.
getFactorLoading(double, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getFactorLoading(double, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Return the factor loading for a given time and component index.
getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
getFactorLoading(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getFactorLoading(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: This method should be overwritten and return the factor loading, i.e.
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
getFactorLoading(int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Return the factor loading for a given time index and component index.
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getFactorLoading(int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getFactorLoading(MonteCarloProcess, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.model.ProcessModel: This method has to be implemented to return the factor loadings, i.e.
getFactorLoadingMatrix() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Returns the factorLoadings parameters of this model.
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: Returns the pseudo inverse of the factor matrix.
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getFactorLoadingPseudoInverse(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getFactorLoadings() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Returns the factorLoadings parameters of this model.
getFactorMatrix(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra: Returns the matrix of the n Eigenvectors corresponding to the first n largest Eigenvalues of a correlation matrix.
getFactorScaling(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.factortransform.FactorTransform: The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.
getFactory() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getFiltrationTime() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getFiltrationTime() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getFiltrationTime() - Method in interface net.finmath.stochastic.RandomVariable: Returns the filtration time.
getFiltrationTime() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getFiltrationTime() - Method in class net.finmath.stochastic.Scalar
getFinalMaturity() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getFirstDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping: Return the first derivative of the annuity mapping for the given swap rate.
getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping
getFirstDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.NormalizingFunction: Return the first derivative of the normalizing function at the given swap rate.
getFirstDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
getFixedCoupon() - Method in class net.finmath.marketdata.model.bond.Bond
getFixedPartCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getFixedPartEndTime() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getFixedPartStartTime() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getFixing() - Method in class net.finmath.time.Period
getFixing(int) - Method in class net.finmath.time.RegularSchedule
getFixing(int) - Method in interface net.finmath.time.Schedule: Return the fixing converted to the internal daycounting relative to the schedules reference date.
getFixing(int) - Method in class net.finmath.time.ScheduleFromPeriods
getFixingDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getFixingDates() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
getFixingDates() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
getFixingDates(double) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getFixingOffsetDays() - Method in class net.finmath.time.SchedulePrototype
getFixingTime() - Method in class net.finmath.marketdata.products.Deposit
getFixingTime() - Method in class net.finmath.marketdata2.products.Deposit
getFixMetaSchedule() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getFixSchedule() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getFloatingPointDateFromDate(LocalDate, LocalDate) - Static method in class net.finmath.time.FloatingpointDate: Convert a given date to a floating point date using a given reference date.
getFloatingPointDateFromDate(LocalDateTime, LocalDateTime) - Static method in class net.finmath.time.FloatingpointDate: Convert a given date to a floating point date using a given reference date.
getFloatingSpread() - Method in class net.finmath.marketdata.model.bond.Bond
getFloatMetaSchedule() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getFloatSchedule() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getForward(AnalyticModel, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurve: Returns the forward for the corresponding fixing time.
getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getForward(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
getForward(AnalyticModel, double, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurve: Returns the forward for the corresponding fixing time and paymentOffset.
getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Returns the forward for the corresponding fixing time.
getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
getForward(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
getForward(AnalyticModel, double) - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface: Returns the forward for the corresponding fixing time.
getForward(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
getForward(AnalyticModel, double, double) - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface: Returns the forward for the corresponding fixing time and paymentOffset.
getForward(AnalyticModel, double, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Returns the forward for the corresponding fixing time.
getForwardCurve() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
getForwardCurve() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
getForwardCurve() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
getForwardCurve() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
getForwardCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModel: Returns a forward curve for a given name.
getForwardCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getForwardCurve(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Returns a forward curve for a given name.
getForwardCurve(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getForwardCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
getForwardCurveName() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getForwardCurveName() - Method in class net.finmath.marketdata.products.Cap: Returns the name of the forward curve references by this cap.
getForwardCurveName() - Method in class net.finmath.marketdata.products.SwapLeg
getForwardCurveName() - Method in class net.finmath.marketdata2.products.SwapLeg
getForwardCurveName() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Return the name of the forward curve in this descriptor.
getForwardCurveName() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getForwardCurveName() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getForwardDiscountBond(MonteCarloProcess, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getForwardDiscountBond(MonteCarloProcess, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getForwardDiscountBond(MonteCarloProcess, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel: Returns the time $ t $ forward bond derived from the numeraire, i.e., $ P(T;t) = E( \frac{N(t)}{N(T)} \vert \mathcal{F}_{t} ) $.
getForwardRate(String, double, double, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel: Return the forward rate for a given simulation time and a given period start and period end.
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getForwardRateCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel: Return the initial forward rate curve.
getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve: Returns the forwards for a given vector fixing times.
getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson: Returns the forwards for a given vector fixing times.
getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings: Returns the forwards for a given vector fixing times.
getForwards(AnalyticModel, double[]) - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve: Returns the forwards for a given vector fixing times.
getForwardSwapRate(Schedule, Schedule, ForwardCurve) - Static method in class net.finmath.marketdata.products.Swap
getForwardSwapRate(Schedule, Schedule, ForwardCurve, AnalyticModel) - Static method in class net.finmath.marketdata.products.Swap
getForwardSwapRate(Schedule, Schedule, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.Swap
getForwardSwapRate(Schedule, Schedule, ForwardCurveInterface, AnalyticModel) - Static method in class net.finmath.marketdata2.products.Swap
getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurve) - Static method in class net.finmath.marketdata.products.Swap
getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurve, DiscountCurve) - Static method in class net.finmath.marketdata.products.Swap
getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.Swap
getForwardSwapRate(TimeDiscretization, TimeDiscretization, ForwardCurveInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata2.products.Swap
getForwardValue(double) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getForwardValue(double) - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getForwardValue(double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getFrequency() - Method in class net.finmath.time.SchedulePrototype
getGammaProcess() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getGoldenSection(double, double) - Static method in class net.finmath.optimizer.GoldenSectionSearch: Get the golden section of an interval as gs * left + (1-gs) * right, where gs is GOLDEN_SECTION_RATIO.
getGradient() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable: Returns the gradient of this random variable with respect to all its leaf nodes.
getGradient(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD: Returns the gradient of this random variable with respect to all its leaf nodes.
getGradient(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD: Returns the gradient of this random variable with respect to all its leaf nodes.
getGradient(Set<Long>) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable: Returns the gradient of this random variable with respect to the given IDs.
getGridNodesPerMoneyness() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Get a view of the locations of swaptions in this lattice.
getHaltonNumber(long) - Method in class net.finmath.randomnumbers.HaltonSequence
getHaltonNumber(long, int) - Method in class net.finmath.randomnumbers.HaltonSequence
getHaltonNumberForGivenBase(long, int) - Static method in class net.finmath.randomnumbers.HaltonSequence: Return a Halton number, sequence starting at index = 0, base > 1.
getHistogram(double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getHistogram(double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getHistogram(double[]) - Method in interface net.finmath.stochastic.RandomVariable: Generates a Histogram based on the realizations stored in this random variable.
getHistogram(double[]) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getHistogram(double[]) - Method in class net.finmath.stochastic.Scalar
getHistogram(int, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getHistogram(int, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getHistogram(int, double) - Method in interface net.finmath.stochastic.RandomVariable: Generates a histogram based on the realizations stored in this random variable using interval points calculated from the arguments, see also RandomVariable.getHistogram(double[]).
getHistogram(int, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getHistogram(int, double) - Method in class net.finmath.stochastic.Scalar
getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays
getHolidays() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays
getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationModel, BrownianMotion, double[], double, double[][], double[], double[], double[], DiscountCurve) - Method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory: Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getIborOisDecorrelation() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Return the IBOR vs OIS decorrelation parameter.
getIborOisDecorrelation() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getICap3MCapletVolBootrapper() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getiCap3MCapletVolMatrix() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getICap6MCapletVolBootrapper() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getiCap6MCapletVolMatrix() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
getID() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getID() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getID() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable: A unique id for this random variable.
getImpliedBachelierATMOptionVolatility(RandomVariable, double, double) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionATM: Calculates ATM Bachelier implied volatilities.
getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getImpliedVolatility(double, AnalyticModel, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.products.Cap: Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).
getIncrement(int) - Method in class net.finmath.montecarlo.BrownianBridge
getIncrement(int) - Method in interface net.finmath.montecarlo.IndependentIncrements: Return the increment for a given timeIndex.
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getIncrement(int, int) - Method in class net.finmath.montecarlo.GammaProcess
getIncrement(int, int) - Method in interface net.finmath.montecarlo.IndependentIncrements: Return the increment for a given timeIndex and given factor.
getIncrement(int, int) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getIncrement(int, int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
getIncrement(int, int) - Method in class net.finmath.montecarlo.MertonJumpProcess
getIncrement(int, int) - Method in class net.finmath.montecarlo.VarianceGammaProcess
getIndex() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getIndex() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getIndex1() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex: Returns the index 1.
getIndex2() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex: Returns the index 2.
getIndexBeforeChange() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getInitialBeta() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
getInitialCorrelationDecay() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
getInitialDisplacement() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
getInitialIborOisDecorrelation() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
getInitialParameters() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getInitialRho() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
getInitialState() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getInitialState(MonteCarloProcess) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getInitialState(MonteCarloProcess) - Method in interface net.finmath.montecarlo.model.ProcessModel: Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.
getInitialValue() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getInitialValue() - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getInitialValue() - Method in class net.finmath.fouriermethod.models.BatesModel
getInitialValue() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getInitialValue() - Method in class net.finmath.fouriermethod.models.HestonModel
getInitialValue() - Method in class net.finmath.fouriermethod.models.MertonModel
getInitialValue() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getInitialValue() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
getInitialValue() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getInitialValue() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getInitialValue() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel: Returns the initial value parameter of this model.
getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getInitialValue() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel: Returns the initial value parameter of this model.
getInitialValue() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getInitialValue() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getInitialValue(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel: Return the initial value of this model.
getInitialValue(MonteCarloProcess) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves: Return the initial value of this model.
getInitialValue(MonteCarloProcess) - Method in class net.finmath.montecarlo.model.AbstractProcessModel: Returns the initial value of the model.
getInitialVolvol() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
getInstance() - Static method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory
getIntegral(double, double) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Get the integral $ \int_{a}^{b} f(x) dx $ of this function $ f $ for given bounds $ a, b $.
getIntegral(double, double, DoubleUnaryOperator) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Get the integral $ \int_{a}^{b} g(f(x)) dx $ of this function $ f $ plugged into a given function $ g $ for given bounds $ a, b $.
getIntegral(double, double, Function<Double, Double>) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Get the integral $ \int_{a}^{b} g(f(x)) dx $ of this function $ f $ plugged into a given function $ g $ for given bounds $ a, b $.
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getIntegratedLIBORCovariance(TimeDiscretization) - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel: Returns the integrated instantaneous log-forward rate covariance, i.e., $ \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t $.
getIntegratedLIBORCovariance(TimeDiscretization) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getIntegratedLIBORCovariance(TimeDiscretization) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.DigitalOption
getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
getIntegrationDomainImagLowerBound() - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct: Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
getIntegrationDomainImagLowerBound() - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform: Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.DigitalOption
getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
getIntegrationDomainImagUpperBound() - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct: Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
getIntegrationDomainImagUpperBound() - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform: Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
getIntegrationLowerBound() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getIntegrationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getIntegrationUpperBound() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getInterpolationEntity() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation: Returns the interpolation entity used by this curve.
getInterpolationEntity() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation: Returns the interpolation entity used by this curveFromInterpolationPoints.
getInterpolationEntityForward() - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation: Returns the special interpolation method used for this forward curve.
getInterpolationEntityForward() - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation: Returns the special interpolation method used for this forward curve.
getInterpolationMethod() - Method in class net.finmath.interpolation.RationalFunctionInterpolation: Returns the interpolation method used.
getInterpolationMethod() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation: Returns the interpolation method used by this curve.
getInterpolationMethod() - Method in class net.finmath.marketdata2.interpolation.RationalFunctionInterpolation: Returns the interpolation method used.
getInterpolationMethod() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation: Returns the interpolation method used by this curveFromInterpolationPoints.
getInterpolationMethod() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getIntervalLength(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getIntervalNumber(double) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition: Returns for a given x the number of the interval where x is included.
getIntervalReferencePoint(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getIntValue() - Method in class net.finmath.swing.JNumberField
getIsCallable() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getIsParameterToCalibrate() - Method in interface net.finmath.fouriermethod.calibration.ScalarParameterInformation: Boolean flag for parameters that need to be calibrated.
getIsParameterToCalibrate() - Method in class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation
getIterations() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
getIterations() - Method in class net.finmath.marketdata.calibration.Solver: Returns the number of iterations required in the last solver step.
getIterations() - Method in class net.finmath.marketdata2.calibration.Solver: Returns the number of iterations required in the last solver step.
getIterations() - Method in class net.finmath.optimizer.LevenbergMarquardt
getIterations() - Method in interface net.finmath.optimizer.Optimizer: Get the number of iterations.
getIterations() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
getIterations() - Method in interface net.finmath.optimizer.StochasticOptimizer: Get the number of iterations.
getIterations() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
getJumpIntensity() - Method in class net.finmath.fouriermethod.models.MertonModel
getJumpIntensity() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getJumpIntensity() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getJumpIntensity() - Method in class net.finmath.montecarlo.MertonJumpProcess
getJumpSizeMean() - Method in class net.finmath.fouriermethod.models.MertonModel
getJumpSizeMean() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getJumpSizeMean() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getJumpSizeMean() - Method in class net.finmath.montecarlo.MertonJumpProcess
getJumpSizeStdDev() - Method in class net.finmath.fouriermethod.models.MertonModel
getJumpSizeStdDev() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getJumpSizeStdDev() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getJumpSizeStDev() - Method in class net.finmath.montecarlo.MertonJumpProcess
getK() - Method in class net.finmath.fouriermethod.models.BatesModel
getKappa() - Method in class net.finmath.fouriermethod.models.HestonModel
getKappa() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getKappa() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getLambda() - Method in class net.finmath.fouriermethod.models.BatesModel
getLambda() - Method in class net.finmath.optimizer.LevenbergMarquardt: Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the $ \lambda $ in $ H + \lambda \diag H $.
getLambda() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the $ \lambda $ in $ H + \lambda \diag H $.
getLambda() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the $ \lambda $ in $ H + \lambda \diag H $.
getLambdaDivisor() - Method in class net.finmath.optimizer.LevenbergMarquardt: Get the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if $ H + \lambda \diag H $ is invertable.
getLambdaDivisor() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Get the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if $ H + \lambda \diag H $ is invertable.
getLambdaDivisor() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Get the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if $ H + \lambda \diag H $ is invertable.
getLambdaMultiplicator() - Method in class net.finmath.optimizer.LevenbergMarquardt: Get the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if $ H + \lambda \diag H $ is not invertable.
getLambdaMultiplicator() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Get the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if $ H + \lambda \diag H $ is not invertable.
getLambdaMultiplicator() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Get the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if $ H + \lambda \diag H $ is not invertable.
getLastAccuracy() - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Return the accuracy achieved in the last calibration.
getLastAccuracy() - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Return the accuracy achieved in the last calibration.
getLastNumberOfInterations() - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Return the number of iterations needed to calibrate the model.
getLastNumberOfInterations() - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Return the number of iterations needed to calibrate the model.
getLastOperationTimingDerivative() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
getLastOperationTimingValuation() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getLastResidualForParameters(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH: Returns the last estimate of the time series volatility.
getLastResidualForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getLastResidualForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getLastValuationExerciseTime() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
getLegPayer() - Method in class net.finmath.marketdata.products.Swap: Return the payer leg of the swap, i.e.
getLegPayer() - Method in class net.finmath.marketdata2.products.Swap: Return the payer leg of the swap, i.e.
getLegPayer() - Method in class net.finmath.modelling.descriptor.InterestRateSwapProductDescriptor: Return the descriptor of the payer leg of this swap.
getLegReceiver() - Method in class net.finmath.marketdata.products.Swap: Return the receiver leg of the swap, i.e.
getLegReceiver() - Method in class net.finmath.marketdata2.products.Swap: Return the receiver leg of the swap, i.e.
getLegReceiver() - Method in class net.finmath.modelling.descriptor.InterestRateSwapProductDescriptor: Return the descriptor of the receiver leg of this swap.
getLegScheduleDescriptor() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Return the descriptor of the schedule of this product descriptor.
getLength() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getLevel() - Method in interface net.finmath.stochastic.RandomVariableArray: Returns the level of the array The level of the array is given by 1 if the elements are of type RandomVariable but not of type RandomVariableArray.
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel: Return the forward rate for a given simulation time and a given period start and period end.
getLIBOR(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Return the forward rate for a given simulation time index and a given forward rate index.
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getLIBOR(LocalDateTime, LocalDateTime, LocalDateTime) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel: Return the forward rate for a given simulation time and a given period start and period end.
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getLIBOR(MonteCarloProcess, double, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getLIBOR(MonteCarloProcess, double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel: Returns the time $ t $ forward rate on the models forward curve.
getLIBOR(MonteCarloProcess, int, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getLIBOR(MonteCarloProcess, int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel: Return the forward rate at a given timeIndex and for a given liborIndex.
getLIBOR(MonteCarloProcess, int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getLIBOR(MonteCarloProcess, int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getLIBOR(MonteCarloProcess, int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getLIBOR(MonteCarloProcess, int, int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getLIBOR(MonteCarloProcess, int, int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getLIBOR(MonteCarloProcess, int, int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getLIBORForStateVariable(TimeDiscretization, RandomVariable[], double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getLiborPeriod(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel: The period start corresponding to a given forward rate discretization index.
getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Returns the period start of the specified forward rate period.
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModel: The tenor time discretization of the forward rate curve.
getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Returns the libor period discretization as time discretization representing start and end dates of periods.
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: The forward rate time discretization associated with this model (defines the components).
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel: Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getLIBORs(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getLIBORs(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Return the forward rate curve for a given simulation time index.
getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getLinearRegressionParameters(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression: Return the solution x of XTX x = XT y for a given y.
getLinearRegressionParameters(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents: Return the solution x of XTX x = XT y for a given y.
getLocalVolatility(double, double) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getLocalVolatility(double, double) - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getLocalVolatility(double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getLogLikelihoodForParameters(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH: Get log likelihood of the sample time series for given model parameters.
getLogLikelihoodForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getLogLikelihoodForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getLogSwaprateDerivative(TimeDiscretization, DiscountCurve, ForwardCurve) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation: This function calculate the partial derivative d log(S) / d log(L_k) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLogSwaprateDerivative(TimeDiscretization, DiscountCurve, ForwardCurve, double[]) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato: This function calculate the partial derivative d log(S) / d log(L_k) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLogSwaprateDerivative(TimeDiscretization, ForwardCurve, double[]) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation: This function calculate the partial derivative d log(S) / d log(L_k) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLogSwapRateDerivative(TimeDiscretization, DiscountCurve, ForwardCurve) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation: This function calculate the partial derivative d log(S) / d log(L_k) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLowerBound() - Method in class net.finmath.fouriermethod.calibration.BoundConstraint: Return the lower bound.
getLowerBound() - Method in interface net.finmath.fouriermethod.calibration.ScalarConstraint: Returns the lower bound, possibly given by Double.NEGATIVE_INFINITY.
getLowerBound() - Method in class net.finmath.integration.AbstractRealIntegral: Get the lower integration bound.
getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getLowestStrike(VolatilityCubeModel) - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Returns the lowest possible value of strike that can be evaluated by this cube.
getLowestStrike(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getMaturities() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getMaturities() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all maturities for which data exists.
getMaturities() - Method in interface net.finmath.singleswaprate.data.DataTable: Get a sorted set view of all maturities in the table.
getMaturities() - Method in class net.finmath.singleswaprate.data.DataTableBasic
getMaturities() - Method in class net.finmath.singleswaprate.data.DataTableLight
getMaturities(double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all valid maturities for a given moneyness.
getMaturities(int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all valid maturities for a given moneyness.
getMaturitiesForTermination(int) - Method in interface net.finmath.singleswaprate.data.DataTable: Get a sorted set view of all maturities for a speceific termination in the table.
getMaturitiesForTermination(int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
getMaturitiesForTermination(int) - Method in class net.finmath.singleswaprate.data.DataTableLight
getMaturity() - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getMaturity() - Method in class net.finmath.fouriermethod.products.DigitalOption
getMaturity() - Method in class net.finmath.fouriermethod.products.EuropeanOption
getMaturity() - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct: Return the maturity of the associated payoff.
getMaturity() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
getMaturity() - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform: Return the maturity of the associated payoff.
getMaturity() - Method in class net.finmath.marketdata.model.volatilities.OptionData
getMaturity() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
getMaturity() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
getMaturity() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
getMaturity() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: Returns the maturity of the option.
getMaturity() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: Returns the maturity of the option.
getMaturity() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
getMaturity() - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
getMaturity() - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire
getMaturity() - Method in class net.finmath.montecarlo.interestrate.products.Bond
getMaturity() - Method in class net.finmath.montecarlo.interestrate.products.LIBORBond
getMax() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getMax() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getMax() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getMax() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getMax() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getMax() - Method in interface net.finmath.stochastic.RandomVariable: Returns the maximum value attained by this random variable.
getMax() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getMax() - Method in class net.finmath.stochastic.Scalar
getMaxAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getMaxAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getMaxExpiryInMonths() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getMaxExpiryInYears() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getMaxIterations() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getMaxIterations() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getMaxIterations() - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
getMaxIterations() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
getMeanReversion(int) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel: Returns the value of $ a(t) $ for $ t_{i} \leq t < t_{i+1} $.
getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
getMeanSquaredError(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt
getMeanSquaredError(RandomVariable[]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
getMeanSquaredError(RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
getMeasure() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getMeasure() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getMin() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getMin() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getMin() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getMin() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getMin() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getMin() - Method in interface net.finmath.stochastic.RandomVariable: Returns the minimum value attained by this random variable.
getMin() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getMin() - Method in class net.finmath.stochastic.Scalar
getMinAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getMinAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getModel() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
getModel() - Method in class net.finmath.marketdata.calibration.CalibratedCurves: Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.
getModel() - Method in class net.finmath.marketdata2.calibration.CalibratedCurves: Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.
getModel() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel: Returns the ProcessModel used for this Monte-Carlo simulation.
getModel() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel: Returns the BlackScholesModel used for this Monte-Carlo simulation.
getModel() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel: Returns the underlying model.
getModel() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel: Returns the underlying model.
getModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel: Returns the underlying model.
getModel() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel: Get the model used to generate the stochastic process.
getModel() - Method in interface net.finmath.montecarlo.process.Process: Returns the model that is used to generate this process, null if no model was used.
getModel() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getModelDescriptor() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
getModelDescriptor() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
getModelDescriptor() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess: Every class implementing this interface must contain a ModelDescriptor from which we can create some concrete model.
getModelDescriptor() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
getModelFromDescriptor(AnalyticModelDescriptor) - Method in class net.finmath.modelling.modelfactory.AnalyticModelFactory
getModelFromDescriptor(AssetModelDescriptor) - Method in class net.finmath.modelling.modelfactory.AssetModelFourierMethodFactory
getModelFromDescriptor(AssetModelDescriptor) - Method in class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory
getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFactory
getModelFromDescriptor(BlackScholesModelDescriptor) - Method in class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFiniteDifference1D
getModelFromDescriptor(HestonModelDescriptor) - Method in class net.finmath.modelling.modelfactory.HestonModelMonteCarloFactory
getModelFromDescriptor(T) - Method in interface net.finmath.modelling.ModelFactory: Get the model for the given descriptor.
getModelParameters() - Method in interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider: Returns a map of independent model parameters of this model.
getModelParameters() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getModelParameters() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getMoneyness() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all levels of moneyness for which data exists.
getMoneynessAsOffsets() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all levels of moneyness for which data exists.
getMoneynessPerGridNode() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Get a view of the locations of swaptions in this lattice.
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getMonteCarloWeights(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel: This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.process.Process: This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: This method returns the weights of a weighted Monte Carlo method (the probability density).
getName() - Method in class net.finmath.marketdata.model.bond.BondCurve
getName() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
getName() - Method in interface net.finmath.marketdata.model.curves.Curve: Get the name of the curve.
getName() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getName() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getName() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
getName() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getName() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface: Returns the name of the volatility surface.
getName() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
getName() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
getName() - Method in interface net.finmath.marketdata2.model.curves.Curve: Get the name of the curve.
getName() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
getName() - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface: Returns the name of the volatility surface.
getName() - Method in class net.finmath.montecarlo.hybridassetinterestrate.RiskFactorForwardRate
getName() - Method in class net.finmath.montecarlo.hybridassetinterestrate.RiskFactorFX
getName() - Method in interface net.finmath.montecarlo.hybridassetinterestrate.RiskFactorID
getName() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct: The method returns a short name for this calibration product.
getName() - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex: Returns the name of the index.
getName() - Method in interface net.finmath.singleswaprate.data.DataTable
getName() - Method in class net.finmath.singleswaprate.data.DataTableBasic
getName() - Method in class net.finmath.singleswaprate.data.DataTableLight
getName() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getName() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getName() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getName() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getName() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getName() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Returns the name of the volatility cube.
getName() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getName() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
getNameOfUnderliyng() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
getNameOfUnderlying() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
getNameOfUnderlying() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: Returns a string name of the underlying (if supported), otherwise null.
getNext() - Method in class net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator
getNext() - Method in class net.finmath.randomnumbers.HaltonSequence
getNext() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator: Get the next sample vector of dimension n, where n is getDimension.
getNext() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator1D
getNext() - Method in class net.finmath.randomnumbers.SobolSequence
getNextPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch: Returns the next point for which a valuation is requested.
getNonCentrality() - Method in class net.finmath.functions.NonCentralChiSquaredDistribution
getNotional() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getNotional() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
getNotional() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.components.Notional: Calculates the notional at the end of a period, given a period.
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.components.Notional: Calculates the notional at the start of a period, given a period.
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant
getNotionals() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Return the notionals per period of this descriptor.
getNotionals() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
getNu() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getNu() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getNu() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getNu() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getNumberOfAssets() - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Returns the number of asset price processes.
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getNumberOfAssets() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getNumberOfAssets() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: This method is just a synonym to getNumberOfLibors
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getNumberOfComponents() - Method in interface net.finmath.montecarlo.model.ProcessModel: Returns the number of components
getNumberOfComponents() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
getNumberOfComponents() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getNumberOfComponents() - Method in interface net.finmath.montecarlo.process.Process
getNumberOfComponents() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getNumberOfElements() - Method in interface net.finmath.stochastic.RandomVariableArray
getNumberOfElements() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getNumberOfEvaluationPoints() - Method in class net.finmath.integration.MonteCarloIntegrator
getNumberOfExpiryDates() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getNumberOfFactors() - Method in class net.finmath.fouriermethod.models.BatesModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianBridge
getNumberOfFactors() - Method in interface net.finmath.montecarlo.BrownianMotion: Returns the number of factors.
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionView
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getNumberOfFactors() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getNumberOfFactors() - Method in class net.finmath.montecarlo.GammaProcess
getNumberOfFactors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getNumberOfFactors() - Method in interface net.finmath.montecarlo.IndependentIncrements: Returns the number of factors.
getNumberOfFactors() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelInterface
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel: Return the number of factors.
getNumberOfFactors() - Method in class net.finmath.montecarlo.JumpProcessIncrements
getNumberOfFactors() - Method in class net.finmath.montecarlo.MertonJumpProcess
getNumberOfFactors() - Method in interface net.finmath.montecarlo.model.ProcessModel: Returns the number of factors m, i.e., the number of independent Brownian drivers.
getNumberOfFactors() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getNumberOfFactors() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
getNumberOfFactors() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getNumberOfFactors() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getNumberOfIntervals() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getNumberOfIterations() - Method in class net.finmath.optimizer.GoldenSectionSearch
getNumberOfLibors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModel: Get the number of LIBORs in the LIBOR discretization.
getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Returns the number of paths.
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianBridge
getNumberOfPaths() - Method in interface net.finmath.montecarlo.BrownianMotion: Returns the number of paths.
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionView
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getNumberOfPaths() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getNumberOfPaths() - Method in class net.finmath.montecarlo.GammaProcess
getNumberOfPaths() - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getNumberOfPaths() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getNumberOfPaths() - Method in interface net.finmath.montecarlo.IndependentIncrements: Returns the number of paths.
getNumberOfPaths() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getNumberOfPaths() - Method in class net.finmath.montecarlo.JumpProcessIncrements
getNumberOfPaths() - Method in class net.finmath.montecarlo.MertonJumpProcess
getNumberOfPaths() - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Returns the numberOfPaths.
getNumberOfPaths() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getNumberOfPaths() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
getNumberOfPaths() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getNumberOfPaths() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getNumberOfPeriods() - Method in class net.finmath.modelling.descriptor.ScheduleDescriptor: The number of periods any schedule from this descriptor will have.
getNumberOfPeriods() - Method in class net.finmath.time.RegularSchedule
getNumberOfPeriods() - Method in interface net.finmath.time.Schedule: Returns the number of periods.
getNumberOfPeriods() - Method in class net.finmath.time.ScheduleFromPeriods
getNumberOfStrikes() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getNumberOfThreads() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getNumberOfThreads() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getNumberOfThreads() - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
getNumberOfThreads() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
getNumberOfTimePoints() - Method in interface net.finmath.timeseries.TimeSeries
getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeriesFromArray
getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeriesView
getNumberOfTimes() - Method in interface net.finmath.time.TimeDiscretization
getNumberOfTimes() - Method in class net.finmath.time.TimeDiscretizationFromArray
getNumberOfTimeSteps() - Method in interface net.finmath.time.TimeDiscretization
getNumberOfTimeSteps() - Method in class net.finmath.time.TimeDiscretizationFromArray
getNumeraire(double) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Returns the numeraire associated with the valuation measure used by this model.
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getNumeraire(double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel: Return the numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getNumeraire(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getNumeraire(double) - Method in interface net.finmath.montecarlo.hybridassetinterestrate.HybridAssetMonteCarloSimulation: Return the (default) numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getNumeraire(double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel: Return the numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getNumeraire(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel: Returns the numeraire associated with the valuation measure used by this model.
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getNumeraire(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getNumeraire(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getNumeraire(String, double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getNumeraire(String, double) - Method in interface net.finmath.montecarlo.hybridassetinterestrate.HybridAssetMonteCarloSimulation: Return the numeraire associated with a given (collateral or funding) account at a given time.
getNumeraire(LocalDateTime) - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel: Return the numeraire at a given time.
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Return the numeraire at a given time.
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Return the numeraire at a given time.
getNumeraire(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement: Return the numeraire at a given time.
getNumeraire(MonteCarloProcess, double) - Method in interface net.finmath.montecarlo.model.ProcessModel: Return the numeraire at a given time index.
getNumeraireAdjustments() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getNumerairetUnAdjusted(MonteCarloProcess, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getNumerairetUnAdjustedAtLIBORIndex(MonteCarloProcess, int) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getNumeratorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex: Returns the numerator index.
getNumSpacesteps() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getNumSpacesteps() - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getNumSpacesteps() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getNumStandardDeviations() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getNumStandardDeviations() - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getNumStandardDeviations() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getNumTimesteps() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getNumTimesteps() - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getNumTimesteps() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getObjectsToModifyForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
getObjectsToModifyForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
getOffsetCodeFromCurveName(String) - Static method in class net.finmath.time.SchedulePrototype: Determines the offset code of a forward contract from the name of a forward curve.
getOffsetCodeFromIndex(String) - Static method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getOffsetCodeFromSchedule(Schedule) - Static method in class net.finmath.time.SchedulePrototype: Determines the offset code of a forward contract from a schedule.
getOperator() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getOperator() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getOperator() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getOperator() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getOperator() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getOperator() - Method in interface net.finmath.stochastic.RandomVariable: Returns the operator path → this.get(path) corresponding to this random variable.
getOperator() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getOperator() - Method in class net.finmath.stochastic.Scalar
getOperatorTreeNode() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getOperatorTreeNode() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getOptimizer(Optimizer.ObjectiveFunction, double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactory
getOptimizer(Optimizer.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
getOptimizer(Optimizer.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactory
getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactory
getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
getOptimizer(Optimizer.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactory
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactory
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizerFactory
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardt
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardtAD
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
getOptimizer(StochasticOptimizer.ObjectiveFunction, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
getOption(double) - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
getOptionMaturities() - Method in class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
getOptionMaturities() - Method in interface net.finmath.marketdata.model.volatilities.SwaptionMarketData
getOptionMaturity() - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet
getParameter() - Method in class net.finmath.marketdata.calibration.ParameterAggregation
getParameter() - Method in interface net.finmath.marketdata.calibration.ParameterObject: Get the current parameter associated with the state of the objects.
getParameter() - Method in class net.finmath.marketdata.model.bond.BondCurve
getParameter() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
getParameter() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getParameter() - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
getParameter() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getParameter() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
getParameter() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getParameter() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
getParameter() - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
getParameter() - Method in interface net.finmath.marketdata2.calibration.ParameterObject: Get the current parameter associated with the state of the objects.
getParameter() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getParameter() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
getParameter() - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric: Get the parameters of determining this parametric covariance model.
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric: Get the parameters of determining this parametric volatility model.
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
getParameter() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric: Get the parameters of determining this parametric volatility model.
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric: Get the parameters of determining this parametric covariance model.
getParameter() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelParametricInterface: Get the parameters of determining this parametric covariance model.
getParameter() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
getParameter() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
getParameter() - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
getParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation: Return the original parameter for the given (unbounded) solver parameter.
getParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterTransformation: Return the original parameter for the given (unbounded) solver parameter.
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric: Get the parameters of determining this parametric covariance model.
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
getParameterAsDouble() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
getParameterAsDouble() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric: Get the parameters of determining this parametric volatility model.
getParameterIndex(double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getParameterIndex(double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getParameterLowerBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
getParameterLowerBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
getParameterLowerBounds() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess: Extracts parameter lower bounds for the optimizer factory.
getParameterLowerBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
getParameterNames() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getParameterNames() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getParameterNames() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getParameterNames() - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getParameters() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Returns a map with all implementation dependent parameters of this volatility cube.
getParameters() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getParameters() - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
getParameterUpperBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
getParameterUpperBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
getParameterUpperBounds() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess: Extracts parameter upper bounds for the optimizer factory.
getParameterUpperBounds() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
getParsedModel() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
getPayment() - Method in class net.finmath.time.Period
getPayment(int) - Method in class net.finmath.time.RegularSchedule
getPayment(int) - Method in interface net.finmath.time.Schedule: Return the payment date converted to the internal daycounting relative to the schedules reference date.
getPayment(int) - Method in class net.finmath.time.ScheduleFromPeriods
getPaymentBusinessdayCalendar() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
getPaymentBusinessdayCalendar() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
getPaymentDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getPaymentDateRollConvention() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
getPaymentDateRollConvention() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
getPaymentDates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getPaymentDates() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
getPaymentDates() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
getPaymentOffset(double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurve: Returns the payment offset associated with this forward curve and a corresponding fixingTime.
getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
getPaymentOffset(double) - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
getPaymentOffset(double) - Method in interface net.finmath.marketdata2.model.curves.ForwardCurveInterface: Returns the payment offset associated with this forward curve and a corresponding fixingTime.
getPaymentOffsetCode() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
getPaymentOffsetCode() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
getPaymentOffsetDays() - Method in class net.finmath.time.SchedulePrototype
getPeriod(int) - Method in class net.finmath.time.RegularSchedule
getPeriod(int) - Method in interface net.finmath.time.Schedule: Return the period for a given period index.
getPeriod(int) - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodEnd() - Method in class net.finmath.montecarlo.hybridassetinterestrate.RiskFactorForwardRate
getPeriodEnd() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getPeriodEnd() - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet
getPeriodEnd() - Method in class net.finmath.time.Period
getPeriodEnd(int) - Method in class net.finmath.time.RegularSchedule
getPeriodEnd(int) - Method in interface net.finmath.time.Schedule: Return the period end date converted to the internal daycounting relative to the schedules reference date.
getPeriodEnd(int) - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodEndTime() - Method in class net.finmath.marketdata.products.Deposit
getPeriodEndTime() - Method in class net.finmath.marketdata2.products.Deposit
getPeriodIndex(double) - Method in class net.finmath.time.RegularSchedule
getPeriodIndex(double) - Method in interface net.finmath.time.Schedule: Return the index of the period which contains the given time point.
getPeriodIndex(double) - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodIndex(LocalDate) - Method in class net.finmath.time.RegularSchedule
getPeriodIndex(LocalDate) - Method in interface net.finmath.time.Schedule: Return the index of the period which contains the given date.
getPeriodIndex(LocalDate) - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodLength() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex: Returns the tenor encoded as an pseudo act/365 daycount fraction.
getPeriodLength(int) - Method in class net.finmath.time.RegularSchedule
getPeriodLength(int) - Method in interface net.finmath.time.Schedule: Return the period length for a given period index.
getPeriodLength(int) - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodLength(LIBORModelMonteCarloSimulationModel, double) - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
getPeriodLengths() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getPeriodLengths() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
getPeriodLengths() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
getPeriodNotionals() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getPeriods() - Method in class net.finmath.modelling.descriptor.ScheduleDescriptor: The periods of a schedule generated from this descriptor.
getPeriods() - Method in class net.finmath.time.RegularSchedule
getPeriods() - Method in interface net.finmath.time.Schedule: Returns the array of periods.
getPeriods() - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodStart() - Method in class net.finmath.montecarlo.hybridassetinterestrate.RiskFactorForwardRate
getPeriodStart() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getPeriodStart() - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet
getPeriodStart() - Method in class net.finmath.time.Period
getPeriodStart(int) - Method in class net.finmath.time.RegularSchedule
getPeriodStart(int) - Method in interface net.finmath.time.Schedule: Return the period start date converted to the internal daycounting relative to the schedules reference date.
getPeriodStart(int) - Method in class net.finmath.time.ScheduleFromPeriods
getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex: Returns the fixingOffet as an act/365 day count.
getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex: Returns the fixingOffet as an act/365 day count.
getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex: Returns the periodStartOffset as an act/365 daycount.
getPhysicalAverageError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the average error in physically settled swaption premiums.
getPhysicalAverageErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the average error in physically settled swaption premiums, in percent difference from the market data.
getPhysicalMaxError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the maximal error in physically settled swaption premiums.
getPhysicalMaxErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation: Get the maximal error in physically settled swaption premiums, in percent difference from the market data.
getPoint(int) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getPoints() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation: Returns the interpolation points.
getPoints() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getPreferedValueIncrement() - Method in class net.finmath.swing.JNumberField
getPriority() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
getProcess() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel: Returns the MonteCarloProcess used for this Monte-Carlo simulation.
getProcess() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureMonteCarloSimulationModel
getProcess() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getProcess() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getProcess() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getProcess() - Method in interface net.finmath.montecarlo.interestrate.TermStructureMonteCarloSimulationModel
getProcessTimeDiscretization(LocalDateTime) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getProcessTimeDiscretization(LocalDateTime) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
getProcessTimeDiscretization(LocalDateTime) - Method in interface net.finmath.montecarlo.process.ProcessTimeDiscretizationProvider: Returns a suggestion for a time discretization which is suited (or required) for the processing (e.g valuation) of this object.
getProcessValue(double, int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess: Returns the (possibly interpolated) value of this stochastic process at a given time $ t $.
getProcessValue(int) - Method in interface net.finmath.montecarlo.process.Process: This method returns the realization of the process for a given time index.
getProcessValue(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: This method returns the realization of the process at a certain time index.
getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel: This method returns the realization of the process at a certain time index.
getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
getProcessValue(int, int) - Method in interface net.finmath.montecarlo.process.Process: This method returns the realization of a component of the process for a given time index.
getProcessValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: This method returns the realization of the process at a certain time index.
getProduct() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
getProductDescriptor(File) - Method in class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser
getProductDescriptor(File) - Method in class net.finmath.modelling.descriptor.xmlparser.FPMLParser
getProductDescriptor(File) - Method in interface net.finmath.modelling.descriptor.xmlparser.XMLParser: Parse a product descriptor from a file.
getProductFromDescriptor(ProductDescriptor) - Method in interface net.finmath.modelling.DescribedModel: Construct a product from a product descriptor, which may be valued by this model.
getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel
getProductFromDescriptor(ProductDescriptor) - Method in interface net.finmath.modelling.ProductFactory: Constructs the product from a given product descriptor.
getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.InterestRateAnalyticProductFactory
getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory
getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.ProductFactoryCascade
getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory
getProductFromDescriptor(ProductDescriptor) - Method in class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory
getProducts() - Method in class net.finmath.marketdata.products.Portfolio: Returns the list of products as an unmodifiable list.
getProducts() - Method in class net.finmath.marketdata2.products.Portfolio: Returns the list of products as an unmodifiable list.
getProducts() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection: Returns the collection containing all products as an unmodifiable collection.
getProducts() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
getQuantile(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getQuantile(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getQuantile(double) - Method in interface net.finmath.stochastic.RandomVariable: Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
getQuantile(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getQuantile(double) - Method in class net.finmath.stochastic.Scalar
getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getQuantile(double, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getQuantile(double, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
getQuantile(double, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getQuantile(double, RandomVariable) - Method in class net.finmath.stochastic.Scalar
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getQuantileExpectation(double, double) - Method in interface net.finmath.stochastic.RandomVariable: Returns the expectation over a quantile for this given random variable.
getQuantileExpectation(double, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getQuantileExpectation(double, double) - Method in class net.finmath.stochastic.Scalar
getQuantilPredictions(int, double[]) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
getQuantilPredictionsForParameters(double[], double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getQuantilPredictionsForParameters(double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.GARCH
getQuantilPredictionsForParameters(double, double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
getQuantilPredictionsForParameters(double, double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getQuotingConvention() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface: Return the default quoting convention of this surface.
getQuotingConvention() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
getQuotingConvention() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
getQuotingConvention() - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface: Return the default quoting convention of this surface.
getRandomVariable() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getRandomVariableFactory() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getRandomVariableFactory() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getRandomVariableForConstant(double) - Method in interface net.finmath.marketdata2.model.AnalyticModel
getRandomVariableForConstant(double) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianBridge
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.BrownianMotion: Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotion.
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionView
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.GammaProcess
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.IndependentIncrements: Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotion.
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.JumpProcessIncrements
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.MertonJumpProcess
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.model.ProcessModel: Return a random variable initialized with a constant using the models random variable factory.
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.VarianceGammaProcess
getRandomVariableOrDefault(RandomVariableFactory, Object, RandomVariable) - Static method in interface net.finmath.montecarlo.RandomVariableFactory: Static method for creating random variables from Objects.
getRate() - Method in class net.finmath.marketdata.products.Deposit
getRate() - Method in class net.finmath.marketdata2.products.Deposit
getRate(AnalyticModel) - Method in class net.finmath.marketdata.products.Deposit: Return the deposit rate implied by the given model's curve.
getRate(AnalyticModel) - Method in class net.finmath.marketdata.products.ForwardRateAgreement: Return the par FRA rate for a given curve.
getRate(AnalyticModel) - Method in class net.finmath.marketdata2.products.Deposit: Return the deposit rate implied by the given model's curve.
getRate(AnalyticModel) - Method in class net.finmath.marketdata2.products.ForwardRateAgreement: Return the par FRA rate for a given curve.
getRealizations() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getRealizations() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getRealizations() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getRealizations() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getRealizations() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getRealizations() - Method in interface net.finmath.stochastic.RandomVariable: Returns a vector representing the realization of this random variable.
getRealizations() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getRealizations() - Method in class net.finmath.stochastic.Scalar
getRealizationsStream() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getRealizationsStream() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getRealizationsStream() - Method in interface net.finmath.stochastic.RandomVariable: Returns a stream of doubles corresponding to the realizations of this random variable.
getRealizationsStream() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getRealizationsStream() - Method in class net.finmath.stochastic.Scalar
getRecoveryRate() - Method in class net.finmath.marketdata.model.bond.Bond
getReferenceCubeName() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getReferenceCubeName() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getReferenceCurve() - Method in class net.finmath.marketdata.model.bond.BondCurve
getReferenceDate() - Method in class net.finmath.fouriermethod.models.BatesModel
getReferenceDate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getReferenceDate() - Method in class net.finmath.fouriermethod.models.HestonModel
getReferenceDate() - Method in class net.finmath.fouriermethod.models.MertonModel
getReferenceDate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getReferenceDate() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols: Returns the reference date of the curves of this model.
getReferenceDate() - Method in class net.finmath.marketdata.model.bond.BondCurve
getReferenceDate() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
getReferenceDate() - Method in interface net.finmath.marketdata.model.curves.Curve: Return the reference date of this curve, i.e.
getReferenceDate() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getReferenceDate() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.OptionData
getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
getReferenceDate() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface: Return the reference date of this surface, i.e.
getReferenceDate() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
getReferenceDate() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
getReferenceDate() - Method in interface net.finmath.marketdata2.model.curves.Curve: Return the reference date of this curve, i.e.
getReferenceDate() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
getReferenceDate() - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface: Return the reference date of this surface, i.e.
getReferenceDate() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
getReferenceDate() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
getReferenceDate() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getReferenceDate() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getReferenceDate() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getReferenceDate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getReferenceDate() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
getReferenceDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getReferenceDate() - Method in class net.finmath.montecarlo.model.AbstractProcessModel
getReferenceDate() - Method in interface net.finmath.montecarlo.model.ProcessModel: Returns the model's date corresponding to the time discretization's $ t = 0 $.
getReferenceDate() - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Returns the model's date corresponding to the time discretization's $ t = 0 $.
getReferenceDate() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
getReferenceDate() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getReferenceDate() - Method in interface net.finmath.singleswaprate.data.DataTable: The reference date of the table.
getReferenceDate() - Method in class net.finmath.singleswaprate.data.DataTableBasic
getReferenceDate() - Method in class net.finmath.singleswaprate.data.DataTableLight
getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getReferenceDate() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Return the reference date of this cube, i.e.
getReferenceDate() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getReferenceDate() - Method in class net.finmath.time.RegularSchedule
getReferenceDate() - Method in interface net.finmath.time.Schedule: Returns the reference data of this schedule.
getReferenceDate() - Method in class net.finmath.time.ScheduleFromPeriods
getReferenceDate() - Method in interface net.finmath.time.Tenor
getReferenceDate() - Method in class net.finmath.time.TenorFromArray
getReferenceDates(Curve[]) - Static method in class net.finmath.parser.CSVCurveParser: Extract the reference date of each curve in an array.
getReferenceDates(SwaptionDataLattice[]) - Static method in class net.finmath.parser.CSVSwaptionParser: Extract the reference date of each SwaptionDataLattice in an array.
getReferencePoints() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getRegressionCoefficients(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.LinearRegression: Get the vector of regression coefficients.
getRegressionCurve() - Method in class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation: Returns the curve resulting from the local linear regression with discrete kernel.
getReplicationLowerBound() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getReplicationLowerBound() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getReplicationLowerBound() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
getReplicationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getReplicationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getReplicationNumberOfEvaluationPoints() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
getReplicationUpperBound() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
getReplicationUpperBound() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
getReplicationUpperBound() - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
getRho() - Method in class net.finmath.fouriermethod.models.BatesModel
getRho() - Method in class net.finmath.fouriermethod.models.HestonModel
getRho() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getRho() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getRhoTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getRiskFreeRate() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getRiskFreeRate() - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getRiskFreeRate() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.BatesModel
getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.HestonModel
getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.MertonModel
getRiskFreeRate() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2: Returns the riskFreeRate.
getRolledDate(LocalDate, int) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
getRolledDate(LocalDate, int) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar: Find a new date by adding the given number of business days to a given base date.
getRootMeanSquaredError() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
getRootMeanSquaredError() - Method in class net.finmath.optimizer.LevenbergMarquardt
getRootMeanSquaredError() - Method in interface net.finmath.optimizer.Optimizer
getRootMeanSquaredError() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
getRootMeanSquaredError() - Method in interface net.finmath.optimizer.StochasticOptimizer
getRootMeanSquaredError() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
getRowIndex(int) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getSampleVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getSampleVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getSampleVariance() - Method in interface net.finmath.stochastic.RandomVariable: Returns the sample variance of this random variable, i.e., V * size()/(size()-1) where V = getVariance().
getSampleVariance() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getSampleVariance() - Method in class net.finmath.stochastic.Scalar
getSampleVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getSampleVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getScaledTenorTime(double, double) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
getScaledTenorTime(double, double) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
getScaledTenorTime(double, double) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
getScaling1() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex: Returns the scaling 1.
getScaling2() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex: Returns the scaling 2.
getSchedule() - Method in class net.finmath.marketdata.model.bond.Bond
getSchedule() - Method in class net.finmath.marketdata.products.Deposit
getSchedule() - Method in class net.finmath.marketdata.products.SwapLeg
getSchedule() - Method in class net.finmath.marketdata2.products.Deposit
getSchedule() - Method in class net.finmath.marketdata2.products.SwapLeg
getSchedule(LocalDate) - Method in class net.finmath.modelling.descriptor.ScheduleDescriptor: Generate a schedule relative to the given reference date.
getScheduleMetaData() - Method in interface net.finmath.singleswaprate.data.DataTable
getScheduleMetaData() - Method in class net.finmath.singleswaprate.data.DataTableBasic
getScheduleMetaData() - Method in class net.finmath.singleswaprate.data.DataTableLight
getScheme() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getScheme() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getScheme() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getSecondDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping: Return the second derivative of the annuity mapping for the given swap rate.
getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping
getSecondDerivative(double) - Method in interface net.finmath.singleswaprate.annuitymapping.NormalizingFunction: Return the second derivative of the normalizing function at the given swap rate.
getSecondDerivative(double) - Method in class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
getSeed() - Method in class net.finmath.integration.MonteCarloIntegrator
getSeed() - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getSeed() - Method in class net.finmath.montecarlo.GammaProcess
getSeed() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getSeed() - Method in class net.finmath.montecarlo.JumpProcessIncrements
getShift() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getShortPeriodConvention() - Method in class net.finmath.time.SchedulePrototype
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel: Calculates the variance $ \mathop{Var}(r(t) \vert r(s) ) $, that is $ \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau $ where $ a $ is the meanReversion and $ \sigma $ is the short rate instantaneous volatility.
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff: Calculates the variance $ \mathop{Var}(r(t) \vert r(s) ) $, that is $ \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot a \cdot (t-\tau)) \ \mathrm{d}\tau $ where $ a $ is the meanReversion and $ \sigma $ is the short rate instantaneous volatility.
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation: Calculates the variance $ \mathop{Var}(r(t) \vert r(s) ) $, that is $ \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau $ where $ a $ is the meanReversion and $ \sigma $ is the short rate instantaneous volatility.
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension: Calculates the variance $ \mathop{Var}(r(t) \vert r(s) ) $, that is $ \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau $ where $ a $ is the meanReversion and $ \sigma $ is the short rate instantaneous volatility.
getSigma() - Method in class net.finmath.fouriermethod.models.BatesModel
getSigma() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getSigma() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getSigma() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getSigma() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getSimulationTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
getSmile() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
getSmile(double) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getSolverParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation: Return the (unbounded) solver parameter for the given original parameter.
getSolverParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterTransformation: Return the (unbounded) solver parameter for the given original parameter.
getSpread() - Method in class net.finmath.marketdata.products.SwapLeg: Returns the constant spread, , if the spread of this leg is constant.
getSpread() - Method in class net.finmath.marketdata2.products.SwapLeg
getSpread(double, Curve, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the spread value such that the sum of cash flows of the bond discounted with a given reference curve with the additional spread coincides with a given price.
getSpreadCurve() - Method in class net.finmath.marketdata.model.bond.BondCurve
getSpreads() - Method in class net.finmath.marketdata.products.SwapLeg
getSpreads() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Return the spreads per period of this descriptor.
getStandardDeviation() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getStandardDeviation() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getStandardDeviation() - Method in interface net.finmath.stochastic.RandomVariable: Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
getStandardDeviation() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getStandardDeviation() - Method in class net.finmath.stochastic.Scalar
getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getStandardDeviation(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getStandardDeviation(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
getStandardDeviation(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getStandardDeviation(RandomVariable) - Method in class net.finmath.stochastic.Scalar
getStandardDeviationAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getStandardDeviationAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getStandardError() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getStandardError() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getStandardError() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getStandardError() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getStandardError() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getStandardError() - Method in interface net.finmath.stochastic.RandomVariable: Returns the standard error (discretization error) of this random variable.
getStandardError() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getStandardError() - Method in class net.finmath.stochastic.Scalar
getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getStandardError(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getStandardError(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Returns the standard error (discretization error) of this random variable.
getStandardError(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getStandardError(RandomVariable) - Method in class net.finmath.stochastic.Scalar
getStandardErrorAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getStandardErrorAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getStartTime() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
getStateVariable(MonteCarloProcess, int, double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getStateVariableForPeriod(TimeDiscretization, RandomVariable[], double, double) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
getStochasticDriver() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
getStochasticDriver() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
getStrike() - Method in class net.finmath.marketdata.model.volatilities.OptionData
getStrike() - Method in class net.finmath.marketdata.products.Cap: Returns the strike of this caplet.
getStrike() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
getStrike() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
getStrike() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: Returns the strike of the option.
getStrike() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: Returns the strike of the option.
getStrike() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
getStrike() - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet
getStrike(int) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getStrikeRate() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor: Return the strike rate of the option.
getStrikes() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
getStrikes() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
getStrikes() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
getStrikes() - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap
getStrikeVector() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getSurface() - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getSurvivalProbability() - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity.DefaultFactors
getSurvivalProbabilityCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
getSurvivalProbabilityRequiredFunding(double, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity
getSwap() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getSwapAnnuity(double, Schedule, DiscountCurve, AnalyticModel) - Static method in class net.finmath.marketdata.products.SwapAnnuity: Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(double, Schedule, DiscountCurveInterface, AnalyticModel) - Static method in class net.finmath.marketdata2.products.SwapAnnuity: Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(Schedule, DiscountCurve) - Static method in class net.finmath.marketdata.products.SwapAnnuity: Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(Schedule, ForwardCurve) - Static method in class net.finmath.marketdata.products.SwapAnnuity: Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
getSwapAnnuity(Schedule, DiscountCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity: Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(Schedule, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity: Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
getSwapAnnuity(TimeDiscretization, DiscountCurve) - Static method in class net.finmath.marketdata.products.SwapAnnuity: Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(TimeDiscretization, ForwardCurve) - Static method in class net.finmath.marketdata.products.SwapAnnuity: Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
getSwapAnnuity(TimeDiscretization, DiscountCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity: Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(TimeDiscretization, ForwardCurveInterface) - Static method in class net.finmath.marketdata2.products.SwapAnnuity: Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
getSwapEndDate() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getSwapPeriodLength() - Method in class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
getSwapPeriodLength() - Method in interface net.finmath.marketdata.model.volatilities.SwaptionMarketData
getSwapProductDescriptor(File) - Method in class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser: Parse a product descriptor from a file containing a swap trade.
getSwapRateDerivative(TimeDiscretization, AnalyticModel, DiscountCurve, ForwardCurve) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation: Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.
getSwaprates() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
getSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Return the swaption market data used for calibration (if any, may be null).
getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Return the swaption market data used for calibration (if any, may be null).
getSwaptionType() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getSymbol() - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
getSzenarios(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
getSzenarios(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
getSzenarios(int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
getTangents() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getTangents() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable: Returns the tangents of this random variable with respect to all its dependent nodes.
getTangents(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getTangents(Set<Long>) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getTangents(Set<Long>) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable: Returns the tangents of this random variable with respect to the given dependent node IDs (if dependent).
getTargetValue() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
getTenor() - Method in class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
getTenor() - Method in interface net.finmath.marketdata.model.volatilities.SwaptionMarketData
getTenorChangeTimeInMonths() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getTenors() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all tenors for which data exists.
getTenors(double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all valid tenors for a given moneyness and maturity.
getTenors(int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return all valid tenors for a given moneyness and maturity.
getTerminations() - Method in interface net.finmath.singleswaprate.data.DataTable: Get a sorted set view of all terminations in the table.
getTerminations() - Method in class net.finmath.singleswaprate.data.DataTableBasic
getTerminations() - Method in class net.finmath.singleswaprate.data.DataTableLight
getTerminationsForMaturity(int) - Method in interface net.finmath.singleswaprate.data.DataTable: Get a sorted set view of all terminations for a specific maturity in the table.
getTerminationsForMaturity(int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
getTerminationsForMaturity(int) - Method in class net.finmath.singleswaprate.data.DataTableLight
getTheta() - Method in class net.finmath.fouriermethod.models.HestonModel
getTheta() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
getTheta() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getTheta() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
getTheta() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getTheta() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
getTheta() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getTickSize() - Method in interface net.finmath.time.TimeDiscretization: Returns the smallest time span distinguishable in this time discretization.
getTickSize() - Method in class net.finmath.time.TimeDiscretizationFromArray
getTime() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getTime(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getTime(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getTime(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getTime(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getTime(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Returns the time for a given time index.
getTime(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
getTime(int) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getTime(int) - Method in interface net.finmath.montecarlo.process.Process
getTime(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: Returns the time for a given simulation time index.
getTime(int) - Method in interface net.finmath.time.TimeDiscretization: Returns the time for the given time index.
getTime(int) - Method in class net.finmath.time.TimeDiscretizationFromArray
getTime(int) - Method in interface net.finmath.timeseries.TimeSeries
getTime(int) - Method in class net.finmath.timeseries.TimeSeriesFromArray
getTime(int) - Method in class net.finmath.timeseries.TimeSeriesView
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianBridge
getTimeDiscretization() - Method in interface net.finmath.montecarlo.BrownianMotion: Returns the time discretization used for this set of time-discrete Brownian increments.
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionView
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
getTimeDiscretization() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
getTimeDiscretization() - Method in class net.finmath.montecarlo.GammaProcess
getTimeDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getTimeDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getTimeDiscretization() - Method in interface net.finmath.montecarlo.IndependentIncrements: Returns the time discretization used for this set of time-discrete Brownian increments.
getTimeDiscretization() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel: The simulation time discretization associated with this model.
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
getTimeDiscretization() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel: The simulation time discretization associated with this model.
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
getTimeDiscretization() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel: Returns the time discretization $ \{ t_{i} \} $ associated with the piecewise constant functions.
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
getTimeDiscretization() - Method in class net.finmath.montecarlo.JumpProcessIncrements
getTimeDiscretization() - Method in class net.finmath.montecarlo.MertonJumpProcess
getTimeDiscretization() - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Returns the timeDiscretizationFromArray.
getTimeDiscretization() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
getTimeDiscretization() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getTimeDiscretization() - Method in interface net.finmath.montecarlo.process.Process
getTimeDiscretization() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
getTimeDiscretization() - Method in class net.finmath.montecarlo.VarianceGammaProcess
getTimeIndex(double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getTimeIndex(double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
getTimeIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getTimeIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
getTimeIndex(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel: Returns the time index for a given time.
getTimeIndex(double) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
getTimeIndex(double) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
getTimeIndex(double) - Method in interface net.finmath.montecarlo.process.Process: Returns the time index for a given simulation time.
getTimeIndex(double) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: Returns the time index for a given simulation time.
getTimeIndex(double) - Method in interface net.finmath.time.TimeDiscretization: Returns the time index for the given time.
getTimeIndex(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
getTimeIndexNearestGreaterOrEqual(double) - Method in interface net.finmath.time.TimeDiscretization: Returns the time index for the time in the time discretization which is the nearest to the given time, being greater or equal (i.e.
getTimeIndexNearestGreaterOrEqual(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
getTimeIndexNearestLessOrEqual(double) - Method in interface net.finmath.time.TimeDiscretization: Returns the time index for the time in the time discretization which is the nearest to the given time, being less or equal (i.e.
getTimeIndexNearestLessOrEqual(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
getTimes() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation: Returns the interpolation times (the x-values).
getTimeScaling() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
getTimesForAveraging() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: Returns the TimeDiscretization used for averaging in the asian option.
getTimeShiftedTimeDiscretization(double) - Method in interface net.finmath.time.TimeDiscretization: Return a new time discretization where all time points have been shifted by a given time shift.
getTimeShiftedTimeDiscretization(double) - Method in class net.finmath.time.TimeDiscretizationFromArray
getTimeStep(int) - Method in interface net.finmath.time.TimeDiscretization: Returns the time step from the given time index to the next one.
getTimeStep(int) - Method in class net.finmath.time.TimeDiscretizationFromArray
getTimeToMaturityDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
getType() - Method in class net.finmath.marketdata.model.bond.BondCurve
getTypePriority() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getTypePriority() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getTypePriority() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getTypePriority() - Method in interface net.finmath.stochastic.RandomVariable: Returns the type priority.
getTypePriority() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getTypePriority() - Method in class net.finmath.stochastic.Scalar
getUnderlying() - Method in class net.finmath.marketdata.model.volatilities.OptionData
getUnderlying() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
getUnderlyingIndex() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: Returns the index of the asset requested from model.getUnderlying(time, assetIndex) to get the underlying.
getUnderlyingIndex() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: Returns the index of the asset requested from model.getUnderlying(time, assetIndex) to get the underlying.
getUnderlyingIndex() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
getUnderlyingName() - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
getUnderlyingName() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
getUnderlyingSwap() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor: Return the descriptor of the underlying swap.
getUnderlyingTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getUnderlyingTenorInMonths() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getUnderlyingTenorInMonthsBeforeChange() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getUpperBound() - Method in class net.finmath.fouriermethod.calibration.BoundConstraint: Return the upper bound.
getUpperBound() - Method in interface net.finmath.fouriermethod.calibration.ScalarConstraint: Returns the upper bound, possibly given by Double.POSITIVE_INFINITY.
getUpperBound() - Method in class net.finmath.integration.AbstractRealIntegral: Get the upper integration bound.
getValue() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
getValue() - Method in class net.finmath.marketdata.model.volatilities.OptionData
getValue() - Method in class net.finmath.swing.JNumberField
getValue(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation: Get an interpolated value for a given argument x.
getValue(double) - Method in class net.finmath.marketdata.model.bond.BondCurve
getValue(double) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
getValue(double) - Method in interface net.finmath.marketdata.model.curves.Curve: Returns the value for the time using the interpolation method associated with this curve.
getValue(double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getValue(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getValue(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
getValue(double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getValue(double) - Method in class net.finmath.marketdata2.interpolation.RationalFunctionInterpolation: Get an interpolated value for a given argument x.
getValue(double) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
getValue(double) - Method in interface net.finmath.marketdata2.model.curves.Curve: Returns the value for the time using the interpolation method associated with this curve.
getValue(double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getValue(double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
getValue(double) - Method in interface net.finmath.singleswaprate.annuitymapping.AnnuityMapping: Return the value the fraction of annuities take, when the realized swap rate meets the given swap rate.
getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping
getValue(double) - Method in interface net.finmath.singleswaprate.annuitymapping.NormalizingFunction: Return the value of the normalizing function for the given swap rate.
getValue(double) - Method in class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
getValue(double, double) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getValue(double, double) - Method in interface net.finmath.singleswaprate.data.DataTable: Returns the value of the table at a given time.
getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
getValue(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLinear
getValue(double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return the value in the quoting convention of this lattice.
getValue(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
getValue(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.SwaptionMarketData: Returns the option price of a swaption for a given option maturity and tenor length.
getValue(double, double, double, SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return the value in the given quoting convention.
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Return the volatility at the specified coordinates in the desired quotation.
getValue(double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getValue(double, double, DoubleUnaryOperator) - Method in class net.finmath.finitedifference.solvers.FDMThetaMethod
getValue(double, double, DoubleUnaryOperator, FiniteDifference1DBoundary) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getValue(double, double, DoubleUnaryOperator, FiniteDifference1DBoundary) - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getValue(double, double, DoubleUnaryOperator, FiniteDifference1DBoundary) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel: Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface: Returns the price or implied volatility for the corresponding maturity and strike.
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface: Method that returns the volatility value.
getValue(double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface: Returns the price or implied volatility for the corresponding maturity and strike.
getValue(double, FiniteDifference1DModel) - Method in class net.finmath.finitedifference.products.FDMEuropeanCallOption
getValue(double, FiniteDifference1DModel) - Method in class net.finmath.finitedifference.products.FDMEuropeanPutOption
getValue(double, FiniteDifference1DModel) - Method in interface net.finmath.finitedifference.products.FiniteDifference1DProduct: Return the value of the product under the given model.
getValue(double, CharacteristicFunctionModel) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
getValue(double, CharacteristicFunctionModel) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
getValue(double, CharacteristicFunctionModel) - Method in interface net.finmath.fouriermethod.products.smile.SmileByIntegralTransform: Return the value of a family of options with the same maturity for different strikes.
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
getValue(double, AnalyticModel) - Method in interface net.finmath.marketdata.products.AnalyticProduct: Return the valuation of the product using the given model.
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Cap
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Cashflow
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Deposit
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Forward
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.MarketForwardRateAgreement
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Performance
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Portfolio
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Swap
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.SwapAnnuity
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata.products.SwapLeg
getValue(double, AnalyticModel) - Method in class net.finmath.modelling.UnsupportedProduct
getValue(double, AnalyticModel) - Method in class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
getValue(double, AnalyticModel) - Method in interface net.finmath.marketdata2.products.AnalyticProduct: Return the valuation of the product using the given model.
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Cashflow
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Deposit
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Forward
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.ForwardRateAgreement
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.MarketForwardRateAgreement
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Performance
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Portfolio
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.Swap
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.SwapAnnuity
getValue(double, AnalyticModel) - Method in class net.finmath.marketdata2.products.SwapLeg
getValue(double, Model) - Method in interface net.finmath.finitedifference.products.FiniteDifference1DProduct
getValue(double, Model) - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getValue(double, Model) - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
getValue(double, Model) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
getValue(double, Model) - Method in class net.finmath.marketdata2.products.AbstractAnalyticProduct
getValue(double, Model) - Method in interface net.finmath.modelling.Product: Return the valuation of the product using the given model.
getValue(double, Model) - Method in class net.finmath.modelling.UnsupportedProduct
getValue(double, Model) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValue(double, Model) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
getValue(double, Model) - Method in interface net.finmath.montecarlo.MonteCarloProduct
getValue(double, Model) - Method in class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.assetderivativevaluation.products.AssetMonteCarloProduct
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOptionDeltaLikelihood: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaLikelihood: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwise: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwiseForGeometricModel: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaLikelihood
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoLikelihood
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoPathwise
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaLikelihood
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.LocalRiskMinimizingHedgePortfolio
getValue(double, HybridAssetLIBORModelMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
getValue(double, HybridAssetMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.Bond: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, HybridAssetMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, HybridAssetMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, HybridAssetMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapMonteCarlo
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Bond: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.CancelableSwap: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Caplet: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.CMSOption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Cashflow: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Choice: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.ExpectedTailLoss: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Numeraire: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Period: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Selector: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.DigitalFloorlet: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.DateIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.MinIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceOnScheduleIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.PowIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.ProductIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.LIBORBond: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Portfolio: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SimpleCappedFlooredFloatingRateBond
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SimpleZeroSwap: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Swap
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwapLeg
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwapLegWithFundingProvider
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.Swaption: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionATM
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSimple: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionWithComponents: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwapWithComponents: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct
getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation
getValue(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.products.PortfolioMonteCarloProduct
getValue(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Return the valuation of the product using the given model.
getValue(double, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getValue(double, VolatilityCubeModel) - Method in interface net.finmath.singleswaprate.products.AnalyticVolatilityCubeProduct: Return the valuation of the product using the given model.
getValue(int) - Method in interface net.finmath.timeseries.TimeSeries
getValue(int) - Method in class net.finmath.timeseries.TimeSeriesFromArray
getValue(int) - Method in class net.finmath.timeseries.TimeSeriesView
getValue(int, int) - Method in interface net.finmath.singleswaprate.data.DataTable: Returns the value of the table at a given time.
getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLight
getValue(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLinear
getValue(int, int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return the value in the quoting convention of this lattice.
getValue(int, int, int, SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return the value in the given quoting convention.
getValue(String) - Method in class net.finmath.timeseries.MarketData
getValue(String, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return the value in the quoting convention of this lattice.
getValue(String, int, SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Return the value in the given quoting convention.
getValue(CharacteristicFunctionModel) - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getValue(CharacteristicFunctionModel) - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct: This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(AnalyticModel) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.bond.BondCurve
getValue(AnalyticModel, double) - Method in interface net.finmath.marketdata.model.curves.Curve: Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
getValue(AnalyticModel, double) - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.OptionSurfaceData
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurface: Returns the price or implied volatility for the corresponding maturity and strike.
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
getValue(AnalyticModel, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.marketdata2.model.volatilities.VolatilitySurface: Returns the price or implied volatility for the corresponding maturity and strike.
getValue(ForwardCurve, double) - Method in class net.finmath.montecarlo.interestrate.products.CMSOption: This method returns the value of the product using a Black-Scholes model for the swap rate with the Hunt-Kennedy convexity adjustment.
getValue(ForwardCurve, double) - Method in class net.finmath.montecarlo.interestrate.products.Swaption: This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
getValue(ForwardCurve, double) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve: This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
getValue(AnalyticModel) - Method in class net.finmath.marketdata2.products.AbstractAnalyticProduct
getValue(AnalyticModel, double) - Method in interface net.finmath.marketdata2.model.curves.Curve: Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
getValue(AnalyticModel, double) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaLikelihood: Calculates the value of the option under a given model.
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise: Calculates the value of the option under a given model.
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoLikelihood: Calculates the value of the option under a given model.
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoPathwise: Calculates the value of the option under a given model.
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise: Calculates the theta of the option under a given model.
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaLikelihood: Calculates the value of the option under a given model.
getValue(AssetModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise: Calculates the vega of the option under a given model using the pathwise method.
getValue(RiskFactorID, double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
getValue(RiskFactorID, double) - Method in interface net.finmath.montecarlo.hybridassetinterestrate.HybridAssetMonteCarloSimulation: Return the random variable of a risk factor with a given name at a given observation time index.
getValue(MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValue(MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value of the product under the specified model.
getValue(DataTableBasic.DoubleKey) - Method in class net.finmath.singleswaprate.data.DataTableBasic
getValue(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct: Return the valuation of the product at time 0 using the given model.
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube: Return the volatility at the specified coordinates in the desired quotation.
getValue(VolatilityCubeModel, double, double, double, VolatilitySurface.QuotingConvention) - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
getValueAsPrice(double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatility.caplet.CapShiftedVol: Returns the value of this product under the given model.
getValueAsPrice(double, AnalyticModel) - Method in class net.finmath.marketdata.products.Cap: Returns the value of this product under the given model.
getValueAtLowerBoundary(FiniteDifference1DModel, double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DBoundary: Return the value of the value process at the lower boundary for a given time and asset value.
getValueAtLowerBoundary(FiniteDifference1DModel, double, double) - Method in class net.finmath.finitedifference.products.FDMEuropeanCallOption
getValueAtLowerBoundary(FiniteDifference1DModel, double, double) - Method in class net.finmath.finitedifference.products.FDMEuropeanPutOption
getValueAtUpperBoundary(FiniteDifference1DModel, double, double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DBoundary: Return the value of the value process at the upper boundary for a given time and asset value.
getValueAtUpperBoundary(FiniteDifference1DModel, double, double) - Method in class net.finmath.finitedifference.products.FDMEuropeanCallOption
getValueAtUpperBoundary(FiniteDifference1DModel, double, double) - Method in class net.finmath.finitedifference.products.FDMEuropeanPutOption
getValueForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct
getValueForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getValueOfLegAnalytic(double, LIBORModelMonteCarloSimulationModel, Schedule, boolean, double, double) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules: Determines the time $ t $-measurable value of a swap leg (can handle fix or float).
getValues() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD: Returns the underlying values.
getValues() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD: Returns the underlying values.
getValues() - Method in interface net.finmath.stochastic.RandomVariable: Returns the underlying values and a random variable.
getValues() - Method in interface net.finmath.timeseries.TimeSeries
getValues() - Method in class net.finmath.timeseries.TimeSeriesFromArray
getValues() - Method in class net.finmath.timeseries.TimeSeriesView
getValues(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve: Return a vector of values corresponding to a given vector of times.
getValues(double[]) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve: Return a vector of values corresponding to a given vector of times.
getValues(double, Model) - Method in class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getValues(double, Model) - Method in interface net.finmath.fouriermethod.products.FourierTransformProduct
getValues(double, Model) - Method in interface net.finmath.modelling.Product: Return the valuation of the product using the given model.
getValues(double, Model) - Method in class net.finmath.modelling.UnsupportedProduct
getValues(double, Model) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValues(double, Model) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
getValues(double, Model) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement
getValues(double, Model) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement
getValues(double, Model) - Method in interface net.finmath.montecarlo.MonteCarloProduct
getValues(double, HybridAssetMonteCarloSimulation) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct: This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
getValues(double, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature: Calculates the squared curvature of the LIBOR instantaneous variance.
getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
getValues(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getValues(double, LIBORModelMonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct: This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
getValues(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValues(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value of the product under the specified model and other information in a key-value map.
getValues(double, TimeDiscretization, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation: Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues(double, TimeDiscretization, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation: Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues(double, TimeDiscretization, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato: Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues(double, TimeDiscretization, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation: Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d S/d L (t) = d S/d L (0).
getValues(double, TimeDiscretization, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation: Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues(MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValues(MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value of the product under the specified model and other information in a key-value map.
getValuesForModifiedData(double, MonteCarloSimulationModel, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValuesForModifiedData(double, MonteCarloSimulationModel, String, Object) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value under shifted market data (or model parameters).
getValuesForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValuesForModifiedData(double, MonteCarloSimulationModel, Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value under shifted market data (or model parameters).
getValuesForModifiedData(MonteCarloSimulationModel, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValuesForModifiedData(MonteCarloSimulationModel, String, Object) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value under shifted market data (or model parameters).
getValuesForModifiedData(MonteCarloSimulationModel, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
getValuesForModifiedData(MonteCarloSimulationModel, Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloProduct: This method returns the value under shifted market data (or model parameters).
getValueWithGivenSpreadOverCurve(double, Curve, double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the value of the sum of discounted cash flows of the bond where the discounting is done with the given reference curve and an additional spread.
getValueWithGivenYield(double, double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the value of the sum of discounted cash flows of the bond where the discounting is done with the given yield curve.
getVanDerCorputNumber(long, int) - Static method in class net.finmath.randomnumbers.VanDerCorputSequence: Return the van-der-Corput number.
getVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getVariance() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getVariance() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getVariance() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getVariance() - Method in interface net.finmath.stochastic.RandomVariable: Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
getVariance() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getVariance() - Method in class net.finmath.stochastic.Scalar
getVariance(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getVariance(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getVariance(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
getVariance(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
getVariance(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
getVariance(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
getVariance(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
getVariance(RandomVariable) - Method in class net.finmath.stochastic.Scalar
getVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
getVarianceAsRandomVariableAAD() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
getVersionString() - Static method in class net.finmath.information.Library: Return the version string of this instance of finmath-lib.
getVolatilities() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Returns the volatility parameters of this model.
getVolatility() - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
getVolatility() - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
getVolatility() - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
getVolatility() - Method in class net.finmath.fouriermethod.models.BatesModel
getVolatility() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
getVolatility() - Method in class net.finmath.fouriermethod.models.HestonModel
getVolatility() - Method in class net.finmath.fouriermethod.models.MertonModel
getVolatility() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
getVolatility() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getVolatility() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel: Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
getVolatility() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2: Returns the volatility.
getVolatility(double) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
getVolatility(double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
getVolatility(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
getVolatility(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.SwaptionMarketData: Returns the option implied volatility of a swaption for a given option maturity and tenor length.
getVolatility(int) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel: Returns the value of $ \sigma(t) $ for $ t_{i} \leq t < t_{i+1} $.
getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel: Implement this method to complete the implementation.
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
getVolatilityCube(String) - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
getVolatilityCube(String) - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel: Get a volatility cube by a given name.
getVolatilityCubeName() - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
getVolatilityCubeNames() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
getVolatilityCubeNames() - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel: Return a Set view of all volatility cubes of this model.
getVolatilityCubes() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
getVolatilityCubes() - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel: Returns an unmodifiable map of all volatility cubes in the model.
getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
getVolatilityModel() - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel: Return the volatility model.
getVolatilitySurface(String) - Method in interface net.finmath.marketdata.model.AnalyticModel: Returns a volatility surface for a given name.
getVolatilitySurface(String) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getVolatilitySurface(String) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Returns a volatility surface for a given name.
getVolatilitySurface(String) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getVolatilitySurfaceMap() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
getVolatilitySurfaces() - Method in interface net.finmath.marketdata.model.AnalyticModel: Returns an unmodifiable map of all volatility surfaces.
getVolatilitySurfaces() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
getVolatilitySurfaces() - Method in interface net.finmath.marketdata2.model.AnalyticModel: Returns an unmodifiable map of all volatility surfaces.
getVolatilitySurfaces() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
getVolatilityTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant: Returns the time discretization used for the picewise constant volatility and mean reversion.
getVolatilityVector() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Returns the volatility parameters of this model.
getVolMatrix() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
getVolvolTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
getWeight() - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
getWeight() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
getWeights() - Method in class net.finmath.marketdata.products.Portfolio: Returns the list of weights as an unmodifiable list.
getWeights() - Method in class net.finmath.marketdata2.products.Portfolio: Returns the list of weights as an unmodifiable list.
getWeights() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
getXi() - Method in class net.finmath.fouriermethod.models.HestonModel
getXi() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
getXi() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
getYield(double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond: Returns the yield value such that the sum of cash flows of the bond discounted with the yield curve coincides with a given price.
getZeroRate(double) - Method in class net.finmath.marketdata.model.bond.BondCurve: Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
getZeroRate(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
getZeroRate(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson: Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
getZeroRate(double) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation: Returns the zero rates for a given vector maturities.
getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson: Returns the zero rates for a given vector maturities.
getZeroRates(double[]) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation: Returns the zero rates for a given vector maturities.
GOLDEN_SECTION_RATIO - Static variable in class net.finmath.optimizer.GoldenSectionSearch
GoldenSectionSearch - Class in net.finmath.optimizer: This class implements a Golden Section search algorithm, i.e., a minimization, implemented as a question-and-answer search algorithm.
GoldenSectionSearch(double, double) - Constructor for class net.finmath.optimizer.GoldenSectionSearch

H

HaltonSequence - Class in net.finmath.randomnumbers: Implements a multi-dimensional Halton sequence (quasi random numbers) with the given bases.
HaltonSequence(int[]) - Constructor for class net.finmath.randomnumbers.HaltonSequence: Constructs a Halton sequence with the given bases.
HARMONIC_SPLINE - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation).
HARMONIC_SPLINE - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation).
HARMONIC_SPLINE - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation).
HARMONIC_SPLINE - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation).
HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation) with a monotonic filtering at the boundary points.
HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation) with a monotonic filtering at the boundary points.
HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation) with a monotonic filtering at the boundary points.
HARMONIC_SPLINE_WITH_MONOTONIC_FILTERING - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Harmonic spline interpolation (C1 sub-spline interpolation) with a monotonic filtering at the boundary points.
hashCode() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
hashCode() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
hashCode() - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
hashCode() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
hashCode() - Method in class net.finmath.montecarlo.GammaProcess
hashCode() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
hashCode() - Method in class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey
hashCode() - Method in class net.finmath.time.Period
hashCode() - Method in class net.finmath.time.TimeDiscretizationFromArray
hedgeWeight(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Essentially the second derivative of the payoff function.
hedgeWeight(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AnnuityDummyProduct
hedgeWeight(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledPayerSwaption
hedgeWeight(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
hedgeWeight(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
hedgeWeight(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.NormalizingDummyProduct
HestonModel - Class in net.finmath.fouriermethod.models: Implements the characteristic function of a Heston model.
HestonModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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(double, double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.HestonModel
HestonModel(double, double, double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.HestonModel: Create a Heston model (characteristic function)
HestonModel(double, double, double, double, double, double, double, double, HestonModel.Scheme) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Create a Heston model.
HestonModel(double, double, double, double, double, double, double, double, HestonModel.Scheme, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Create a Heston model.
HestonModel(double, double, double, double, double, double, double, HestonModel.Scheme) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Create a Heston model.
HestonModel(double, DiscountCurve, DiscountCurve, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.HestonModel: Create a Heston model (characteristic function)
HestonModel(LocalDate, double, DiscountCurve, DiscountCurve, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.HestonModel: Create a Heston model (characteristic function)
HestonModel(HestonModelDescriptor, HestonModel.Scheme, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Create the model from a descriptor.
HestonModel(RandomVariable, DiscountCurve, RandomVariable, DiscountCurve, RandomVariable, RandomVariable, RandomVariable, RandomVariable, HestonModel.Scheme, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Create a Heston model.
HestonModel(RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, HestonModel.Scheme, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel: Create a Heston model.
HestonModel.Scheme - Enum in net.finmath.montecarlo.assetderivativevaluation.models: Truncation schemes to be used in the calculation of drift and diffusion coefficients.
HestonModelDescriptor - Class in net.finmath.modelling.descriptor
HestonModelDescriptor(LocalDate, Double, DiscountCurve, DiscountCurve, Double, Double, Double, Double, Double) - Constructor for class net.finmath.modelling.descriptor.HestonModelDescriptor
HestonModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory
HestonModelMonteCarloFactory(HestonModel.Scheme, RandomVariableFactory, IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.HestonModelMonteCarloFactory
HistoricalSimulationModel - Interface in net.finmath.timeseries: A parametric time series model based on a given times series.
HullWhiteLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance: 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.
HullWhiteLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel: The model constructed for the i-th factor loading is (1+L_i(t) d) F_i(t) where d is a constant (the period length), L_i is the realization of the i-th component of the stochastic process and F_i is the factor loading from the given covariance model.
HullWhiteModel - Class in net.finmath.montecarlo.interestrate.models: Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModel(RandomVariableFactory, TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, ShortRateVolatilityModel, Map<String, Object>) - Constructor for class net.finmath.montecarlo.interestrate.models.HullWhiteModel: Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModel(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, ShortRateVolatilityModel, Map<String, Object>) - Constructor for class net.finmath.montecarlo.interestrate.models.HullWhiteModel: Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithConstantCoeff - Class in net.finmath.montecarlo.interestrate.models: Implements a Hull-White model with constant coefficients.
HullWhiteModelWithConstantCoeff(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, double, double, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff: Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithDirectSimulation - Class in net.finmath.montecarlo.interestrate.models: Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModelWithDirectSimulation(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, ShortRateVolatilityModel, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation: Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithShiftExtension - Class in net.finmath.montecarlo.interestrate.models: Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModelWithShiftExtension(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, ShortRateVolatilityModel, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension: Creates a Hull-White model which implements LIBORMarketModel.
huntKennedyCMSAdjustedRate(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculate the adjusted forward swaprate corresponding to a change of payoff unit from the given swapAnnuity to the given payoffUnit using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
huntKennedyCMSFloorValue(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculate the value of a CMS strike using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
huntKennedyCMSOptionValue(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculate the value of a CMS option using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
HybridAssetLIBORModelMonteCarloSimulation - Interface in net.finmath.montecarlo.hybridassetinterestrate: Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
HybridAssetLIBORModelMonteCarloSimulationFromModels - Class in net.finmath.montecarlo.hybridassetinterestrate: 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.
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel, AssetModelMonteCarloSimulationModel) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel, AssetModelMonteCarloSimulationModel, DiscountCurve) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels: Create 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 - Class in net.finmath.montecarlo.hybridassetinterestrate.products: Base class for product that need an HybridAssetLIBORModelMonteCarloSimulationInterface in their valuation.
HybridAssetMonteCarloProduct() - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct
HybridAssetMonteCarloSimulation - Interface in net.finmath.montecarlo.hybridassetinterestrate: Basic interface which has to be implemented by Monte Carlo models for hybrid processes.

I

identity() - Static method in interface net.finmath.stochastic.RandomOperator: Returns a function that always returns its input argument.
IndependentIncrements - Interface in net.finmath.montecarlo: 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 - Class in net.finmath.montecarlo: Implementation of a time-discrete n-dimensional sequence of independent increments W = (W₁,...,W_n) form a given set of inverse cumulative distribution functions.
IndependentIncrementsFromICDF(TimeDiscretization, int, int, int, IntFunction<IntFunction<DoubleUnaryOperator>>) - Constructor for class net.finmath.montecarlo.IndependentIncrementsFromICDF: Construct the simulation of independet increments.
IndependentIncrementsFromICDF(TimeDiscretization, int, int, int, IntFunction<IntFunction<DoubleUnaryOperator>>, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.IndependentIncrementsFromICDF: Construct the simulation of independent increments.
IndependentModelParameterProvider - Interface in net.finmath.montecarlo.automaticdifferentiation: Interface implemented by model which can provide their independent model parameters.
IndexCurveFromDiscountCurve - Class in net.finmath.marketdata.model.curves: An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).
IndexCurveFromDiscountCurve(String, double, DiscountCurve) - Constructor for class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
IndexedValue - Class in net.finmath.montecarlo.interestrate.products.components: An indexed value.
IndexedValue(double, AbstractProductComponent, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.components.IndexedValue: Creates the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).
InhomogeneousDisplacedLognomalModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
InhomogeneousDisplacedLognomalModel(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel: Create a blended normal/lognormal model.
InhomogeneousDisplacedLognomalModel(double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel: Create a blended normal/lognormal model.
InhomogeneousDisplacedLognomalModel(RandomVariableFactory, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel: Create a blended normal/lognormal model.
InhomogeneousDisplacedLognomalModel(RandomVariableFactory, RandomVariable, RandomVariable, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel: Create a blended normal/lognormal model.
InhomogenousBachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
InhomogenousBachelierModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel: Create a Monte-Carlo simulation using given time discretization.
InhomogenousBachelierModel(RandomVariableFactory, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
initializeParameters() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Prepare the parameters for the start of the calibration.
initializeParameters() - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
initializeParameters() - Method in class net.finmath.singleswaprate.calibration.StaticCubeCalibration
initializeParameters(int) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Prepare the parameters for the start of the calibration.
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.AbstractRealIntegral
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.MonteCarloIntegrator
integrate(DoubleUnaryOperator) - Method in interface net.finmath.integration.RealIntegral
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.RombergRealIntegration
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.SimpsonRealIntegrator
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.TrapezoidalRealIntegrator
INTEGRATEDLOGNORMALVARIANCE - net.finmath.modelling.products.Swaption.ValueUnit: Deprecated.
Use INTEGRATEDVARIANCELOGNORMAL instead.
INTEGRATEDLOGNORMALVARIANCE - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit
INTEGRATEDNORMALVARIANCE - net.finmath.modelling.products.Swaption.ValueUnit: Deprecated.
Use INTEGRATEDVARIANCENORMAL instead.
INTEGRATEDNORMALVARIANCE - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit
INTEGRATEDVARIANCE - net.finmath.modelling.products.Swaption.ValueUnit: Deprecated.
Use INTEGRATEDVARIANCELOGNORMAL instead
INTEGRATEDVARIANCE - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit: Deprecated.
Use INTEGRATEDLOGNORMALVARIANCE
INTEGRATEDVARIANCE - net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.ValueUnit: Returns the Black-Scholes implied integrated variance, i.e., σ² T
INTEGRATEDVARIANCELOGNORMAL - net.finmath.modelling.products.Swaption.ValueUnit: Returns the Black-Scholes implied integrated variance, i.e., σ² T.
INTEGRATEDVARIANCENORMAL - net.finmath.modelling.products.Swaption.ValueUnit: Returns the Bachelier implied integrated variance, i.e., σ² T.
InterestRateAnalyticProductFactory - Class in net.finmath.modelling.productfactory: Product factory of interest rate derivatives for use with an analytic model.
InterestRateAnalyticProductFactory(LocalDate) - Constructor for class net.finmath.modelling.productfactory.InterestRateAnalyticProductFactory: Initialize the factory with the given referenceDate.
InterestRateModelDescriptor - Interface in net.finmath.modelling.descriptor: Marker interface for descriptors describing an interest rate model.
InterestRateMonteCarloProductFactory - Class in net.finmath.modelling.productfactory: Product factory of interest rate derivatives for use with a Monte-Carlo method based model.
InterestRateMonteCarloProductFactory(LocalDate) - Constructor for class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory: Initialize the factory with the given referenceDate.
InterestRateMonteCarloProductFactory.SwapLegMonteCarlo - Class in net.finmath.modelling.productfactory: Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
InterestRateMonteCarloProductFactory.SwapMonteCarlo - Class in net.finmath.modelling.productfactory: Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo - Class in net.finmath.modelling.productfactory: Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.
InterestRateProductDescriptor - Interface in net.finmath.modelling: Marker interface for interest rate product descriptors.
InterestRateSwapLegProductDescriptor - Class in net.finmath.modelling.descriptor: Product descriptor for an interest rate swap leg.
InterestRateSwapLegProductDescriptor(String, String, ScheduleDescriptor, double[], double[], boolean) - Constructor for class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Create the descriptor with notional and spread variable between periods.
InterestRateSwapLegProductDescriptor(String, String, ScheduleDescriptor, double, double, boolean) - Constructor for class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Create the descriptor with period uniform notional and spread.
InterestRateSwapProductDescriptor - Class in net.finmath.modelling.descriptor: Product descriptor for an interest rate swap.
InterestRateSwapProductDescriptor(InterestRateProductDescriptor, InterestRateProductDescriptor) - Constructor for class net.finmath.modelling.descriptor.InterestRateSwapProductDescriptor: Construct a swap product descriptor from the descriptors of its legs.
InterestRateSwaptionProductDescriptor - Class in net.finmath.modelling.descriptor: Product descriptor for an interest rate swaption.
InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor, LocalDate, double) - Constructor for class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor: Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.
interpolateDataTable(DataTableBasic) - Static method in class net.finmath.singleswaprate.data.DataTableInterpolated: Create an interpolated table from a basic table.
interpolateDataTable(DataTableBasic) - Static method in class net.finmath.singleswaprate.data.DataTableLinear: Create an interpolated table from a basic table.
intersect(TimeDiscretization) - Method in interface net.finmath.time.TimeDiscretization: Returns the intersection of this time discretization with another one.
intersect(TimeDiscretization) - Method in class net.finmath.time.TimeDiscretizationFromArray
inverseCumulativeDistribution(double) - Method in class net.finmath.functions.GammaDistribution: Return the inverse cumulative distribution function at x.
inverseCumulativeDistribution(double) - Static method in class net.finmath.functions.NormalDistribution: Inverse of the cumulative distribution function of the standard normal distribution using Jakarta commons-math
inverseCumulativeDistribution(double) - Method in class net.finmath.functions.PoissonDistribution: Return the inverse cumulative distribution function at x.
inverseCumulativeNormalDistributionWichura(double) - Static method in class net.finmath.functions.NormalDistribution: Inverse of the cumulative distribution function of the standard normal distribution Java Version of Michael J.
invert() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
invert() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
invert() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
invert() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
invert() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
invert() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → 1/x to this random variable.
invert() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
invert() - Method in class net.finmath.stochastic.Scalar
invert(double[][]) - Static method in class net.finmath.functions.LinearAlgebra: Returns the inverse of a given matrix.
isBusinessday(LocalDate) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar: Test if a given date is a businessday.
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
isCancelled() - Method in class net.finmath.concurrency.FutureWrapper
isDeterministic() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
isDeterministic() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
isDeterministic() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
isDeterministic() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
isDeterministic() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
isDeterministic() - Method in interface net.finmath.stochastic.RandomVariable: Check if this random variable is deterministic in the sense that it is represented by a single double value.
isDeterministic() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
isDeterministic() - Method in class net.finmath.stochastic.Scalar
isDone() - Method in class net.finmath.concurrency.FutureWrapper
isDone() - Method in class net.finmath.optimizer.GoldenSectionSearch
isEasterSunday(LocalDate) - Static method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays: Test a given date for being easter sunday.
isExcludingWeekends() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
isGradientRetainsLeafNodesOnly() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
isNaN() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
isNaN() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
isNaN() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
isNaN() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
isNaN() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
isNaN() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → (Double.isNaN(x) ? 1.0 : 0.0)
isNaN() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
isNaN() - Method in class net.finmath.stochastic.Scalar
isNotionalExchanged() - Method in class net.finmath.marketdata.products.SwapLeg
isNotionalExchanged() - Method in class net.finmath.marketdata2.products.SwapLeg
isNotionalExchanged() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor: Indicates whether the leg exchanges notional.
isParameter() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
isReplicationUseAsOffset() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
isReplicationUseAsOffset() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
isUpperBarrier() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
isUpperBarrier() - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier
isUseEndOfMonth() - Method in class net.finmath.time.SchedulePrototype
isUseLinearInterpolation() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
isUseLinearInterpolation() - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
iterator() - Method in class net.finmath.time.RegularSchedule
iterator() - Method in class net.finmath.time.ScheduleFromPeriods
iterator() - Method in class net.finmath.time.TimeDiscretizationFromArray

J

JarqueBeraTest - Class in net.finmath.functions: Class providing the test statistic of the Jarque-Bera test.
JarqueBeraTest() - Constructor for class net.finmath.functions.JarqueBeraTest: Create an instance of the Jarque-Bera test.
JNumberField - Class in net.finmath.swing: A Java swing bean to represent a number field in a GUI.
JNumberField() - Constructor for class net.finmath.swing.JNumberField
JNumberField(double, String, ActionListener) - Constructor for class net.finmath.swing.JNumberField
JNumberField(double, DecimalFormat, ActionListener) - Constructor for class net.finmath.swing.JNumberField
JNumberField(String) - Constructor for class net.finmath.swing.JNumberField
JumpProcessIncrements - Class in net.finmath.montecarlo: Implementation of a time-discrete n-dimensional jump process J = (J₁,...,J_n) where J_i is a Poisson jump process and J_i, J_j are independent for i not equal j.
JumpProcessIncrements(TimeDiscretization, double[], int, int) - Constructor for class net.finmath.montecarlo.JumpProcessIncrements: Construct a jump process.
JumpProcessIncrements(TimeDiscretization, double[], int, int, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.JumpProcessIncrements: Construct a jump process.

L

LaggedIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A time-lagged index paying index(t+fixingOffset)
LaggedIndex(AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex: Creates a time-lagged index paying index(t+fixingOffset).
LaggedIndex(AbstractProductComponent, String, BusinessdayCalendar) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
LAPLACE - net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation.Distribution
LAST - net.finmath.time.ScheduleGenerator.ShortPeriodConvention: The last period will be shorter, if a regular period does not fit.
LEVENBERG - net.finmath.optimizer.LevenbergMarquardt.RegularizationMethod: The Hessian approximated and regularized as $ H_{\lambda} = J^T J + \lambda I $.
LEVENBERG - net.finmath.optimizer.StochasticLevenbergMarquardt.RegularizationMethod: The Hessian approximated and regularized as $ H_{\lambda} = J^T J + \lambda I $.
LEVENBERG_MARQUARDT - net.finmath.optimizer.LevenbergMarquardt.RegularizationMethod: The Hessian approximated and regularized as $ H_{\lambda} = J^T J + \lambda \text{diag}(J^T J) $.
LEVENBERG_MARQUARDT - net.finmath.optimizer.StochasticLevenbergMarquardt.RegularizationMethod: The Hessian approximated and regularized as $ H_{\lambda} = J^T J + \lambda \text{diag}(J^T J) $.
LevenbergMarquardt - Class in net.finmath.optimizer: This class implements a parallel Levenberg-Marquardt non-linear least-squares fit algorithm.
LevenbergMarquardt() - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(double[], double[], int, int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(double[], double[], int, ExecutorService) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(List<Number>, List<Number>, int, int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(List<Number>, List<Number>, int, ExecutorService) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(LevenbergMarquardt.RegularizationMethod, double[], double[], int, int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt(LevenbergMarquardt.RegularizationMethod, double[], double[], int, ExecutorService) - Constructor for class net.finmath.optimizer.LevenbergMarquardt: Create a Levenberg-Marquardt solver.
LevenbergMarquardt.RegularizationMethod - Enum in net.finmath.optimizer: The regularization method used to invert the approximation of the Hessian matrix.
LIBORBond - Class in net.finmath.montecarlo.interestrate.products: This class implements the valuation of a zero (forward) bond on the models forward rate curve.
LIBORBond(double) - Constructor for class net.finmath.montecarlo.interestrate.products.LIBORBond
LIBORCorrelationModel - Class in net.finmath.montecarlo.interestrate.models.covariance: Abstract base class and interface description of a correlation model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation).
LIBORCorrelationModel(TimeDiscretization, TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
LIBORCorrelationModelExponentialDecay - Class in net.finmath.montecarlo.interestrate.models.covariance: 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 \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.
LIBORCorrelationModelExponentialDecay(TimeDiscretization, TimeDiscretization, int, double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
LIBORCorrelationModelExponentialDecay(TimeDiscretization, TimeDiscretization, int, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay: Create a correlation model with an exponentially decaying correlation structure and the given number of factors.
LIBORCorrelationModelThreeParameterExponentialDecay - Class in net.finmath.montecarlo.interestrate.models.covariance: 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}))
LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretization, TimeDiscretization, int, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
LIBORCovarianceModel - Interface in net.finmath.montecarlo.interestrate.models.covariance: Interface for covariance models providing a vector of (possibly stochastic) factor loadings.
LIBORCovarianceModelBH - Class in net.finmath.montecarlo.interestrate.models.covariance: A five parameter covariance model corresponding.
LIBORCovarianceModelBH(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH: Create model with default parameter.
LIBORCovarianceModelBH(TimeDiscretization, TimeDiscretization, int, double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH: Create model.
LIBORCovarianceModelCalibrateable - Interface in net.finmath.montecarlo.interestrate.models.covariance: Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated-method.
LIBORCovarianceModelExponentialForm5Param - Class in net.finmath.montecarlo.interestrate.models.covariance: The five parameter covariance model consisting of an LIBORVolatilityModelMaturityDependentFourParameterExponentialForm and an LIBORCorrelationModelExponentialDecay.
LIBORCovarianceModelExponentialForm5Param(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
LIBORCovarianceModelExponentialForm5Param(TimeDiscretization, TimeDiscretization, int, double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
LIBORCovarianceModelExponentialForm5Param(TimeDiscretization, TimeDiscretization, int, RandomVariable[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
LIBORCovarianceModelExponentialForm7Param - Class in net.finmath.montecarlo.interestrate.models.covariance
LIBORCovarianceModelExponentialForm7Param(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
LIBORCovarianceModelFromVolatilityAndCorrelation - Class in net.finmath.montecarlo.interestrate.models.covariance: A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretization, TimeDiscretization, LIBORVolatilityModel, LIBORCorrelationModel) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
LIBORCovarianceModelStochasticHestonVolatility - Class in net.finmath.montecarlo.interestrate.models.covariance: 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.
LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric, BrownianMotion, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility: Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric, BrownianMotion, RandomVariable, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility: Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticVolatility - Class in net.finmath.montecarlo.interestrate.models.covariance: 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.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric, BrownianMotion, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility: Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric, BrownianMotion, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility: Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex: Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(String, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex: Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(String, String, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
LIBORMarketModel - Interface in net.finmath.montecarlo.interestrate: Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
LIBORMarketModelFromCovarianceModel - Class in net.finmath.montecarlo.interestrate.models: Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, LIBORCovarianceModel, CalibrationProduct[], Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Deprecated.
Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, RandomVariableFactory, LIBORCovarianceModel, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, RandomVariableFactory, LIBORCovarianceModel, CalibrationProduct[], Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel, SwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel, SwaptionMarketData, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel, CalibrationProduct[], Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Deprecated.
Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, ForwardCurve, LIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization, ForwardCurve, LIBORCovarianceModel, SwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelFromCovarianceModel.Driftapproximation - Enum in net.finmath.montecarlo.interestrate.models
LIBORMarketModelFromCovarianceModel.InterpolationMethod - Enum in net.finmath.montecarlo.interestrate.models
LIBORMarketModelFromCovarianceModel.Measure - Enum in net.finmath.montecarlo.interestrate.models
LIBORMarketModelFromCovarianceModel.StateSpace - Enum in net.finmath.montecarlo.interestrate.models
LIBORMarketModelStandard - Class in net.finmath.montecarlo.interestrate.models: Implements a basic LIBOR market model with some drift approximation methods.
LIBORMarketModelStandard(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel, SwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization, ForwardCurve, DiscountCurve, LIBORCovarianceModel, CalibrationProduct[]) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization, ForwardCurve, LIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization, ForwardCurve, LIBORCovarianceModel, SwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard: Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard.Driftapproximation - Enum in net.finmath.montecarlo.interestrate.models
LIBORMarketModelStandard.Measure - Enum in net.finmath.montecarlo.interestrate.models
LIBORMarketModelWithTenorRefinement - Class in net.finmath.montecarlo.interestrate.models: Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.
LIBORMarketModelWithTenorRefinement(TimeDiscretization[], Integer[], AnalyticModel, ForwardCurve, DiscountCurve, TermStructureCovarianceModelInterface, CalibrationProduct[], Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement: Creates a model for given covariance.
LIBORMarketModelWithTenorRefinement.Driftapproximation - Enum in net.finmath.montecarlo.interestrate.models
LIBORModel - Interface in net.finmath.montecarlo.interestrate
LIBORModelMonteCarloSimulationModel - Interface in net.finmath.montecarlo.interestrate: Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
LIBORMonteCarloSimulationFromLIBORModel - Class in net.finmath.montecarlo.interestrate: Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g.
LIBORMonteCarloSimulationFromLIBORModel(LIBORModel, MonteCarloProcess) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel: Deprecated.
LIBORMonteCarloSimulationFromLIBORModel(MonteCarloProcess) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
LIBORMonteCarloSimulationFromTermStructureModel - Class in net.finmath.montecarlo.interestrate: Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel, MonteCarloProcess) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel: Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.
LIBORMonteCarloSimulationFromTermStructureModel(MonteCarloProcess) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel: Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.
LIBORVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance: Abstract base class and interface description of a volatility model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation).
LIBORVolatilityModel(TimeDiscretization, TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
LIBORVolatilityModelFourParameterExponentialForm - Class in net.finmath.montecarlo.interestrate.models.covariance: 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} \} $.
LIBORVolatilityModelFourParameterExponentialForm(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm: Creates the volatility model σ_i(t_j) = ( a + b * (T_i-t_j) ) * exp(-c (T_i-t_j)) + d
LIBORVolatilityModelFourParameterExponentialForm(RandomVariableFactory, TimeDiscretization, TimeDiscretization, RandomVariable, RandomVariable, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm: Creates the volatility model σ_i(t_j) = ( a + b * (T_i-t_j) ) * exp(-c (T_i-t_j)) + d
LIBORVolatilityModelFourParameterExponentialForm(TimeDiscretization, TimeDiscretization, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm: Creates the volatility model σ_i(t_j) = ( a + b * (T_i-t_j) ) * exp(-c (T_i-t_j)) + d
LIBORVolatilityModelFourParameterExponentialForm(TimeDiscretization, TimeDiscretization, RandomVariable, RandomVariable, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm: Creates the volatility model σ_i(t_j) = ( a + b * (T_i-t_j) ) * exp(-c (T_i-t_j)) + d
LIBORVolatilityModelFourParameterExponentialFormIntegrated - Class in net.finmath.montecarlo.interestrate.models.covariance: 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 \[ \left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k} \int_{0}^{t_{k}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t \text{.} \]
LIBORVolatilityModelFourParameterExponentialFormIntegrated(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated: Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \]
LIBORVolatilityModelFourParameterExponentialFormIntegrated(TimeDiscretization, TimeDiscretization, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated: Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \]
LIBORVolatilityModelFourParameterExponentialFormIntegrated(TimeDiscretization, TimeDiscretization, RandomVariable, RandomVariable, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated: Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \]
LIBORVolatilityModelFromGivenMatrix - Class in net.finmath.montecarlo.interestrate.models.covariance: Implements a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double[][]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix: Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double[][], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix: Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(RandomVariableFactory, TimeDiscretization, TimeDiscretization, RandomVariable[][], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix: Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization, TimeDiscretization, double[][]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix: Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization, TimeDiscretization, RandomVariable[][]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix: Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretization, TimeDiscretization, RandomVariable[][], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix: Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm - Class in net.finmath.montecarlo.interestrate.models.covariance
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretization, TimeDiscretization, double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretization, TimeDiscretization, double, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretization, TimeDiscretization, RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
LIBORVolatilityModelPiecewiseConstant - Class in net.finmath.montecarlo.interestrate.models.covariance
LIBORVolatilityModelPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, double[][], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, TimeDiscretization, RandomVariable[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
LIBORVolatilityModelTimeHomogenousPiecewiseConstant - Class in net.finmath.montecarlo.interestrate.models.covariance: 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.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, TimeDiscretization, double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant: Create 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.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, TimeDiscretization, RandomVariable[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant: Create 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.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant: Create 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.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretization, TimeDiscretization, TimeDiscretization, RandomVariable[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant: Create 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 - Class in net.finmath.montecarlo.interestrate.models.covariance: Implements the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))
LIBORVolatilityModelTwoParameterExponentialForm(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm: Creates the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))
LIBORVolatilityModelTwoParameterExponentialForm(RandomVariableFactory, TimeDiscretization, TimeDiscretization, RandomVariable, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm: Creates the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretization, TimeDiscretization, double, double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm: Creates the volatility model σ_i(t_j) = a * exp(-b (T_i-t_j))
Library - Class in net.finmath.information: Provides information on the finmath-lib library, e.g., the version.
LINE_INTEGRAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Driftapproximation
LINE_INTEGRAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Driftapproximation
LINE_INTEGRAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement.Driftapproximation
LINEAR - net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Linear extrapolation.
LINEAR - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Linear interpolation.
LINEAR - net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod: Linear extrapolation.
LINEAR - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Linear interpolation.
LINEAR - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Linear extrapolation.
LINEAR - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Linear interpolation.
LINEAR - net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod: Linear extrapolation.
LINEAR - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Linear interpolation.
LINEAR - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.InterpolationMethod
LinearAlgebra - Class in net.finmath.functions: This class implements some methods from linear algebra (e.g.
LinearAlgebra() - Constructor for class net.finmath.functions.LinearAlgebra
LinearCombinationIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
LinearCombinationIndex(double, AbstractProductComponent, double, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex: Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
LinearInterpolatedTimeDiscreteProcess - Class in net.finmath.montecarlo.process: 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} $.
LinearInterpolatedTimeDiscreteProcess(Map<Double, RandomVariable>) - Constructor for class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess: Create a time discrete process by linear interpolation of random variables.
LinearRegression - Class in net.finmath.montecarlo.conditionalexpectation: Performs a linear regression on random variables implementing RandomVariable.
LinearRegression(RandomVariable[]) - Constructor for class net.finmath.montecarlo.conditionalexpectation.LinearRegression: Create the linear regression with a set of basis functions.
LinearSmileInterpolater - Class in net.finmath.marketdata.model.volatility.caplet.smile: This class implements the smile linearly and extrapolates piecewise constant.
LinearSmileInterpolater(double[][], double[]) - Constructor for class net.finmath.marketdata.model.volatility.caplet.smile.LinearSmileInterpolater
loadObject(File) - Static method in class net.finmath.util.FileUtilities
LocalRiskMinimizingHedgePortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products: This class implements a mean variance hedged portfolio of a given product (a hedge simulator).
LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationModel, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.LocalRiskMinimizingHedgePortfolio: Construction of a variance minimizing hedge portfolio.
log() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
log() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
log() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
log() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
log() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
log() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → log(x) to this random variable.
log() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
log() - Method in class net.finmath.stochastic.Scalar
LOG_LINEAR_CORRECTED - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.InterpolationMethod
LOG_LINEAR_UNCORRECTED - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.InterpolationMethod
LOG_OF_VALUE - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationEntity: Interpolation is performed on the log of the point values, i.e.
LOG_OF_VALUE - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationEntity: Interpolation is performed on the log of the point values, i.e.
LOG_OF_VALUE_PER_TIME - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationEntity: Interpolation is performed on the log of the point values divided by their respective time, i.e.
LOG_OF_VALUE_PER_TIME - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationEntity: Interpolation is performed on the log of the point values divided by their respective time, i.e.
LOGNORMAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.StateSpace
LOGNORMAL - net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.StateSpace
LogNormalProcess - Class in net.finmath.montecarlo.templatemethoddesign: This class is an abstract base class to implement an Euler scheme of a multi-dimensional multi-factor log-normal Ito process.
LogNormalProcess(int, BrownianMotion) - Constructor for class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: Create a log normal process.
LogNormalProcess(TimeDiscretization, int, int) - Constructor for class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: Create a simulation of log normal process.
LogNormalProcess(TimeDiscretization, int, int, int, int) - Constructor for class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: Create a simulation of log normal process.
LogNormalProcess.Scheme - Enum in net.finmath.montecarlo.templatemethoddesign
LOGNORMALVOLATILITY - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit

M

main(String[]) - Static method in class net.finmath.interpolation.RationalFunctionInterpolation
main(String[]) - Static method in class net.finmath.optimizer.GoldenSectionSearch
main(String[]) - Static method in class net.finmath.optimizer.LevenbergMarquardt
main(String[]) - Static method in class net.finmath.optimizer.StochasticLevenbergMarquardt
main(String[]) - Static method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
main(String[]) - Static method in class net.finmath.randomnumbers.VanDerCorputSequence
map(RandomOperator) - Method in interface net.finmath.stochastic.RandomVariableArray: Component wise operation
map(RandomOperator) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
margrabeExchangeOptionValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculates the value of an Exchange option under a generalized Black-Scholes model, i.e., the payoff $ max(S_{1}(T)-S_{2}(T),0) $, where $ S_{1} $ and $ S_{2} $ follow a log-normal process with constant log-volatility and constant instantaneous correlation.
MarketData - Class in net.finmath.timeseries: A set of raw data associated with a given date.
MarketData(Calendar, Map<String, Double>) - Constructor for class net.finmath.timeseries.MarketData
MarketForwardRateAgreement - Class in net.finmath.marketdata.products: Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
MarketForwardRateAgreement - Class in net.finmath.marketdata2.products: Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
MarketForwardRateAgreement(double, double, String, double, String) - Constructor for class net.finmath.marketdata.products.MarketForwardRateAgreement: Creates a market forward rate agreement.
MarketForwardRateAgreement(double, double, String, double, String) - Constructor for class net.finmath.marketdata2.products.MarketForwardRateAgreement: Creates a market forward rate agreement.
MaxIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A maximum index.
MaxIndex(AbstractProductComponent...) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.MaxIndex: Creates the function max(index1(t), index2(t), ...)
MersenneTwister - Class in net.finmath.randomnumbers: Mersenne Twister random number generator.
MersenneTwister() - Constructor for class net.finmath.randomnumbers.MersenneTwister
MersenneTwister(long) - Constructor for class net.finmath.randomnumbers.MersenneTwister
MertonJumpProcess - Class in net.finmath.montecarlo: Implementation of the compound Poisson process for the Merton jump diffusion model.
MertonJumpProcess(double, double, double, TimeDiscretization, int, int) - Constructor for class net.finmath.montecarlo.MertonJumpProcess: Constructs a Merton Jump Process for Monte Carlo simulation.
MertonModel - Class in net.finmath.fouriermethod.models: Implements the characteristic function of a Merton jump diffusion model.
MertonModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
MertonModel(double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.MertonModel: Construct a single curve Merton jump diffusion model.
MertonModel(double, double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModel(double, double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.MertonModel: Construct a Merton jump diffusion model with constant rates for the forward price (i.e.
MertonModel(double, double, double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModel(double, double, double, double, double, double, double, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModel(double, DiscountCurve, double, DiscountCurve, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModel(double, DiscountCurve, double, DiscountCurve, double, double, double, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModel(LocalDate, double, DiscountCurve, DiscountCurve, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.MertonModel: Construct a Merton jump diffusion model with discount curves for the forward price (i.e.
MertonModel(MertonModelDescriptor) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create the model from a descriptor.
MertonModel(RandomVariable, DiscountCurve, RandomVariable, DiscountCurve, RandomVariable, RandomVariable, RandomVariable, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModel(RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel: Create a Merton model.
MertonModelDescriptor - Class in net.finmath.modelling.descriptor: Descriptor for the Merton Jump Diffusion Model.
MertonModelDescriptor(LocalDate, Double, DiscountCurve, DiscountCurve, Double, Double, Double, Double) - Constructor for class net.finmath.modelling.descriptor.MertonModelDescriptor
MinIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A minumum index.
MinIndex(AbstractProductComponent...) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.MinIndex: Creates the function min(index1(t), index2(t), ...)
Model - Interface in net.finmath.modelling: Interface to be implemented by all model.
ModelDescriptor - Interface in net.finmath.modelling: Interface for a model descriptor.
ModelFactory - Class in net.finmath.montecarlo.hybridassetinterestrate: Helper factory to create a simple equity hybrid LIBOR market model.
ModelFactory<T extends ModelDescriptor> - Interface in net.finmath.modelling: A factory to instantiate a model from a given descriptor.
MODIFIED_FOLLOWING - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
MODIFIED_PRECEDING - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
MoneyMarketAccount - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a money market account.
MoneyMarketAccount() - Constructor for class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount: Create a default money market account.
MoneyMarketAccount(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount: Create a money market account.
MoneyMarketAccount(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount: Create a money market account.
MonteCarloAssetModel - Class in net.finmath.montecarlo.assetderivativevaluation: This class glues together an AbstractProcessModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and implements AssetModelMonteCarloSimulationModel.
MonteCarloAssetModel(ProcessModel, IndependentIncrements) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel: Convenient constructor being the same as this(new EulerSchemeFromProcessModel(model, stochasticDriver))
MonteCarloAssetModel(ProcessModel, MonteCarloProcess) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel: Deprecated.
May be made private in future releases.
MonteCarloAssetModel(MonteCarloProcess) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel: Create a Monte-Carlo simulation using given process discretization scheme.
MonteCarloBlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation: 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.
MonteCarloBlackScholesModel(double, double, double, BrownianMotion) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel: Create a Monte-Carlo simulation using given process discretization scheme.
MonteCarloBlackScholesModel(TimeDiscretization, int, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel: Create a Monte-Carlo simulation using given time discretization.
MonteCarloBlackScholesModel2 - Class in net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation: Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process
MonteCarloBlackScholesModel2(TimeDiscretization, int, double, double, double) - Constructor for class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2: Create a Monte-Carlo simulation using given time discretization.
MonteCarloBlackScholesModel2(TimeDiscretization, int, double, double, double, int) - Constructor for class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2: Create a Monte-Carlo simulation using given time discretization.
MonteCarloConditionalExpectationLinearRegressionFactory - Class in net.finmath.montecarlo.conditionalexpectation: Provides a linear regression for a vector of regression basis functions.
MonteCarloConditionalExpectationLinearRegressionFactory() - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory
MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory - Class in net.finmath.montecarlo.conditionalexpectation: Provides a localized linear regression with an indicator function as localization weight for a vector of regression basis functions.
MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory(double) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
MonteCarloConditionalExpectationRegression - Class in net.finmath.montecarlo.conditionalexpectation: A service that allows to estimate conditional expectation via regression.
MonteCarloConditionalExpectationRegression() - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
MonteCarloConditionalExpectationRegression(RandomVariable[]) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression: Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegression(RandomVariable[], RandomVariable[]) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression: Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegression.RegressionBasisFunctions - Interface in net.finmath.montecarlo.conditionalexpectation: Interface for objects specifying regression basis functions (a vector of random variables).
MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven - Class in net.finmath.montecarlo.conditionalexpectation: Wrapper to an array of RandomVariable[] implementing RegressionBasisFunctions
MonteCarloConditionalExpectationRegressionFactory - Interface in net.finmath.montecarlo.conditionalexpectation: Interface implemented by classes providing a ConditionalExpectationEstimator for conditional expectation estimation.
MonteCarloConditionalExpectationRegressionLocalizedOnDependents - Class in net.finmath.montecarlo.conditionalexpectation: A service that allows to estimate conditional expectation via regression.
MonteCarloConditionalExpectationRegressionLocalizedOnDependents() - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents
MonteCarloConditionalExpectationRegressionLocalizedOnDependents(RandomVariable[]) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents: Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegressionLocalizedOnDependents(RandomVariable[], double) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents: Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegressionLocalizedOnDependents(RandomVariable[], RandomVariable[]) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents: Creates a class for conditional expectation estimation.
MonteCarloConditionalExpectationRegressionLocalizedOnDependents(RandomVariable[], RandomVariable[], double) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionLocalizedOnDependents: Creates a class for conditional expectation estimation.
MonteCarloIntegrator - Class in net.finmath.integration: A simple integrator using Monte-Carlo integration.
MonteCarloIntegrator(double, double, int) - Constructor for class net.finmath.integration.MonteCarloIntegrator: Create an integrator using Monte-Carlo.
MonteCarloIntegrator(double, double, int, boolean) - Constructor for class net.finmath.integration.MonteCarloIntegrator: Create an integrator using Monte-Carlo.
MonteCarloIntegrator(double, double, int, int, boolean) - Constructor for class net.finmath.integration.MonteCarloIntegrator: Create an integrator using Monte-Carlo integration.
MonteCarloMertonModel - Class in net.finmath.montecarlo.assetderivativevaluation: 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.
MonteCarloMertonModel(TimeDiscretization, int, int, double, double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel: Create a Monte-Carlo simulation using given time discretization and given parameters.
MonteCarloMertonModel(TimeDiscretization, int, int, double, double, double, double, double, double, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel: Create a Monte-Carlo simulation using given time discretization and given parameters.
MonteCarloMultiAssetBlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation: This class implements a multi-asset Black Schole Model as Monte-Carlo simulation implementing AssetModelMonteCarloSimulationModel.
MonteCarloMultiAssetBlackScholesModel(BrownianMotion, double[], double, double[], double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Create a Monte-Carlo simulation using given time discretization.
MonteCarloMultiAssetBlackScholesModel(RandomVariableFactory, BrownianMotion, double[], double, double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Create a Monte-Carlo simulation using given time discretization.
MonteCarloMultiAssetBlackScholesModel(TimeDiscretization, int, double[], double, double[], double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Create a Monte-Carlo simulation using given time discretization.
MonteCarloMultiAssetBlackScholesModel(TimeDiscretization, int, int, double[], double, double[], double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel: Create a Monte-Carlo simulation using given time discretization.
MonteCarloProcess - Interface in net.finmath.montecarlo.process: The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing ProcessModel: The value of Y(0) is provided by the method ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).
MonteCarloProcessFromProcessModel - Class in net.finmath.montecarlo.process: This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
MonteCarloProcessFromProcessModel(TimeDiscretization, ProcessModel) - Constructor for class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel: Create a discretization scheme / a time discrete process.
MonteCarloProduct - Interface in net.finmath.montecarlo: Interface for products requiring an MonteCarloSimulationModel for valuation.
MonteCarloSimulationModel - Interface in net.finmath.montecarlo: The interface implemented by a simulation of an SDE.
MonteCarloVarianceGammaModel - Class in net.finmath.montecarlo.assetderivativevaluation: 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.
MonteCarloVarianceGammaModel(TimeDiscretization, int, int, double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel: Create a Monte Carlo simulation using a given time discretization.
MONTH - net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType
MONTHLY - net.finmath.time.ScheduleGenerator.Frequency: One months periods.
MONTHS - net.finmath.singleswaprate.data.DataTable.TableConvention
MONTHS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit
mult(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
mult(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
mult(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
mult(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
mult(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
mult(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x * value to this random variable.
mult(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
mult(double) - Method in class net.finmath.stochastic.Scalar
mult(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
mult(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
mult(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
mult(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
mult(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
mult(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x*randomVariable to this random variable.
mult(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
mult(RandomVariable) - Method in class net.finmath.stochastic.Scalar
MultiAssetBlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: This class implements a multi-asset Black Scholes model providing an AbstractProcessModel.
MultiAssetBlackScholesModel(double[], double, double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Create a multi-asset Black-Scholes model.
MultiAssetBlackScholesModel(double[], double, double[], double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Create a multi-asset Black-Scholes model.
MultiAssetBlackScholesModel(RandomVariableFactory, double[], double, double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Create a multi-asset Black-Scholes model.
MultiAssetBlackScholesModel(RandomVariableFactory, double[], double, double[], double[][]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel: Create a multi-asset Black-Scholes model.
MULTIPITERBARG - net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType
MultiPiterbargAnnuityMapping - Class in net.finmath.singleswaprate.annuitymapping: Implements an annuity mapping following Vladimir Piterbarg's approach.
MultiPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String, String, double, double, int) - Constructor for class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping: Create the annuity mapping.
MultiPiterbargAnnuityMapping(Schedule, Schedule, VolatilityCubeModel, String, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.MultiPiterbargAnnuityMapping: Create the annuity mapping.
multMatrices(double[][], double[][]) - Static method in class net.finmath.functions.LinearAlgebra: Multiplication of two matrices.

N

name() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
name() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
name() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
name() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
name() - Method in class net.finmath.modelling.descriptor.InterestRateSwapProductDescriptor
name() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
name() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
name() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
name() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
name() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
name() - Method in interface net.finmath.modelling.ModelDescriptor: Return the name of the model represented by this descriptor.
name() - Method in interface net.finmath.modelling.ProductDescriptor: Return the name of the model represented by this descriptor.
NegativityConstraint - Class in net.finmath.fouriermethod.calibration: Negativity constraint for calibration parameters.
NegativityConstraint() - Constructor for class net.finmath.fouriermethod.calibration.NegativityConstraint
net.finmath.concurrency - package net.finmath.concurrency: Provides helper classes related to concurrent programming.
net.finmath.exception - package net.finmath.exception: Provides classes related to exception handling.
net.finmath.finitedifference.experimental - package net.finmath.finitedifference.experimental: Algorithms using finite differences methods.
net.finmath.finitedifference.models - package net.finmath.finitedifference.models: Models provided for finite difference solvers.
net.finmath.finitedifference.products - package net.finmath.finitedifference.products: Product valuation code for models using backward propagation.
net.finmath.finitedifference.solvers - package net.finmath.finitedifference.solvers: Finite difference solvers
net.finmath.fouriermethod - package net.finmath.fouriermethod: Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
net.finmath.fouriermethod.calibration - package net.finmath.fouriermethod.calibration: Classes related to the calibration of Fourier models.
net.finmath.fouriermethod.calibration.models - package net.finmath.fouriermethod.calibration.models: Classes related to the calibration of fourier models.
net.finmath.fouriermethod.models - package net.finmath.fouriermethod.models: Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products - package 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 - package 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.functions - package net.finmath.functions: Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
net.finmath.information - package net.finmath.information: Provides information about the library (e.g.
net.finmath.integration - package net.finmath.integration: Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration.
net.finmath.interpolation - package net.finmath.interpolation: Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.lib - module net.finmath.lib
net.finmath.marketdata.calibration - package net.finmath.marketdata.calibration: Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata.model - package net.finmath.marketdata.model: Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.bond - package net.finmath.marketdata.model.bond: Provides classes related to the modeling of Bond curves.
net.finmath.marketdata.model.curves - package net.finmath.marketdata.model.curves: Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.curves.locallinearregression - package net.finmath.marketdata.model.curves.locallinearregression: Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
net.finmath.marketdata.model.volatilities - package 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 - package net.finmath.marketdata.model.volatility.caplet: Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.model.volatility.caplet.smile - package net.finmath.marketdata.model.volatility.caplet.smile: Algorithms related to caplet smile interpolation.
net.finmath.marketdata.model.volatility.caplet.tenorconversion - package net.finmath.marketdata.model.volatility.caplet.tenorconversion: Algorithms related to caplet tenor conversion.
net.finmath.marketdata.products - package net.finmath.marketdata.products: Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.calibration - package net.finmath.marketdata2.calibration: Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata2.interpolation - package net.finmath.marketdata2.interpolation: Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.marketdata2.model - package net.finmath.marketdata2.model: Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata2.model.curves - package 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.marketdata2.model.volatilities - package 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.
net.finmath.marketdata2.products - package net.finmath.marketdata2.products: Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling - package net.finmath.modelling: Provides interface separating models and products.
net.finmath.modelling.descriptor - package net.finmath.modelling.descriptor: Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.descriptor.xmlparser - package net.finmath.modelling.descriptor.xmlparser: Provides xml parsers to construct descriptors from XML
net.finmath.modelling.modelfactory - package net.finmath.modelling.modelfactory: Provides classes to build models from descriptors.
net.finmath.modelling.productfactory - package net.finmath.modelling.productfactory: Provides classes to build products from descriptors.
net.finmath.modelling.products - package net.finmath.modelling.products: Interface and base classes related to products.
net.finmath.montecarlo - package 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 - package net.finmath.montecarlo.assetderivativevaluation: Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models - package net.finmath.montecarlo.assetderivativevaluation.models: Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.assetderivativevaluation.products - package net.finmath.montecarlo.assetderivativevaluation.products: Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.automaticdifferentiation - package net.finmath.montecarlo.automaticdifferentiation: Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
net.finmath.montecarlo.automaticdifferentiation.backward - package net.finmath.montecarlo.automaticdifferentiation.backward: Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward - package net.finmath.montecarlo.automaticdifferentiation.forward: Provides the implementation of forward automatic differentiation.
net.finmath.montecarlo.conditionalexpectation - package 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 - package 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 - package net.finmath.montecarlo.hybridassetinterestrate: Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products - package 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 - package 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 - package net.finmath.montecarlo.interestrate.models: Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance - package 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 - package 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 - package 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 - package net.finmath.montecarlo.interestrate.products.indices: Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.model - package 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 - package 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 - package net.finmath.montecarlo.process.component.barrier: Components providing the barrier in the Monte-Carlo simulation with barrier.
net.finmath.montecarlo.process.component.factortransform - package net.finmath.montecarlo.process.component.factortransform: Components providing the factor drift in the simulation of a proxy simulation scheme.
net.finmath.montecarlo.products - package net.finmath.montecarlo.products: Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign - package net.finmath.montecarlo.templatemethoddesign: Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation - package net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation: Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.optimizer - package 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.
net.finmath.parser - package net.finmath.parser: Contains classes for parsing files.
net.finmath.randomnumbers - package net.finmath.randomnumbers: Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.
net.finmath.singleswaprate - package 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.
net.finmath.singleswaprate.annuitymapping - package net.finmath.singleswaprate.annuitymapping: Classes providing options for the annuity mapping function.
net.finmath.singleswaprate.calibration - package net.finmath.singleswaprate.calibration: Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.data - package net.finmath.singleswaprate.data: Provides classes to store and interact with market data.
net.finmath.singleswaprate.model - package net.finmath.singleswaprate.model: Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.model.curves - package net.finmath.singleswaprate.model.curves: Additional curves for use in an analytic model, AnalyticModel.
net.finmath.singleswaprate.model.volatilities - package 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.
net.finmath.singleswaprate.products - package net.finmath.singleswaprate.products: Provides interface specification and implementation of product based on a single interest rate curve.
net.finmath.stochastic - package net.finmath.stochastic: Interfaces specifying operations on random variables.
net.finmath.swing - package net.finmath.swing: Provides utilities for Java swing (used in finmath applets).
net.finmath.time - package net.finmath.time: Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
net.finmath.time.businessdaycalendar - package net.finmath.time.businessdaycalendar: Provides business day calendars, e.g., as used in date roll conventions.
net.finmath.time.daycount - package net.finmath.time.daycount: Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
net.finmath.timeseries - package net.finmath.timeseries: Provides classes related to time series modeling and estimation, e.g.
net.finmath.timeseries.models.parametric - package net.finmath.timeseries.models.parametric: Classes related to estimation of time series.
net.finmath.util - package net.finmath.util: Provides utility classes.
nextDouble() - Method in class net.finmath.randomnumbers.MersenneTwister: Returns the next random number in the sequence.
nextDouble() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator1D: Thread safe implementation returning the next double value of this random number generator.
nextDouble() - Method in class net.finmath.randomnumbers.SobolSequence1D
nextDouble() - Method in class net.finmath.randomnumbers.VanDerCorputSequence
nextDoubleFast() - Method in class net.finmath.randomnumbers.MersenneTwister
nextDoubleFast() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator1D: Possibly faster, non-thread safe implementation returning the next double value of this random number generator.
NonCentralChiSquaredDistribution - Class in net.finmath.functions: Implementation of the cumulative distribution function of the non-central Χ² distribution.
NonCentralChiSquaredDistribution(double, double) - Constructor for class net.finmath.functions.NonCentralChiSquaredDistribution: Create non-central Χ² distribution (non-central chi-squared distribution).
NORMAL - net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation.Distribution
NORMAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.StateSpace
NORMAL - net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.StateSpace
NormalDistribution - Class in net.finmath.functions
NormalizingDummyProduct - Class in net.finmath.singleswaprate.products: A dummy product that only evaluates the value of a NormalizingFunction.
NormalizingDummyProduct(Schedule, Schedule, String, String, String, NormalizingFunction) - Constructor for class net.finmath.singleswaprate.products.NormalizingDummyProduct: Create the dummy product for a normalizer.
NormalizingFunction - Interface in net.finmath.singleswaprate.annuitymapping: Interface for a normalizing function which is to ensure the no-arbitrage requirements of a Piterbarg annuity mapping.
NORMALVOLATILITY - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit
Notional - Interface in net.finmath.montecarlo.interestrate.products.components: Base class for notional classes.
NotionalFromComponent - Class in net.finmath.montecarlo.interestrate.products.components: A stochastic notional derived from the valuation of a component.
NotionalFromComponent(AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent: Creates a notional which is derived by calling the getValue method on the period start of a given component.
NotionalFromConstant - Class in net.finmath.montecarlo.interestrate.products.components: A constant (non-stochastic) notional.
NotionalFromConstant(double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant: Creates a constant (non-stochastic) notional.
NotionalFromConstant(double, String) - Constructor for class net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant: Creates a constant (non-stochastic) notional.
NUMBER_OF_DAYS_IN_MONTH - net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType
Numeraire - Class in net.finmath.montecarlo.interestrate.products.components: A single deterministic cashflow at a fixed time
Numeraire() - Constructor for class net.finmath.montecarlo.interestrate.products.components.Numeraire: Create a product being the numeraire of the given model (will depend on the model).
NumerairePerformanceIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.
NumerairePerformanceIndex(String, String, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceIndex
NumerairePerformanceOnScheduleIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A (floating) rate index representing the performance of the numeraire asset.
NumerairePerformanceOnScheduleIndex(String, String, Schedule) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceOnScheduleIndex

O

of(double) - Static method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
of(double) - Static method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
of(RandomVariableFactory, TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, ShortRateVolatilityModel, CalibrationProduct[], Map<String, Object>) - Static method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel: Creates a Hull-White model which implements LIBORMarketModel.
of(RandomVariable) - Static method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
of(RandomVariable) - Static method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
of(RandomVariable[]) - Static method in class net.finmath.stochastic.RandomVariableArrayImplementation
of(TimeDiscretization, AnalyticModel, ForwardCurve, DiscountCurve, RandomVariableFactory, LIBORCovarianceModel, CalibrationProduct[], Map<String, ?>) - Static method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel: Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).
ONE - net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod
OptimizationResult(CalibratableProcess, double[], int, double, ArrayList<String>) - Constructor for class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
optimize() - Method in class net.finmath.optimizer.GoldenSectionSearch
Optimizer - Interface in net.finmath.optimizer: Interface for numerical optimizers.
Optimizer.ObjectiveFunction - Interface in net.finmath.optimizer: Interface for the objective function.
OptimizerFactory - Interface in net.finmath.optimizer
OptimizerFactoryCMAES - Class in net.finmath.optimizer
OptimizerFactoryCMAES(double, int) - Constructor for class net.finmath.optimizer.OptimizerFactoryCMAES
OptimizerFactoryCMAES(double, int, double[]) - Constructor for class net.finmath.optimizer.OptimizerFactoryCMAES
OptimizerFactoryCMAES(double, int, double[], double[], double[]) - Constructor for class net.finmath.optimizer.OptimizerFactoryCMAES
OptimizerFactoryLevenbergMarquardt - Class in net.finmath.optimizer
OptimizerFactoryLevenbergMarquardt(int, double, int) - Constructor for class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
OptimizerFactoryLevenbergMarquardt(int, int) - Constructor for class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
OptimizerFactoryLevenbergMarquardt(LevenbergMarquardt.RegularizationMethod, double, int, double, int) - Constructor for class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
OptimizerFactoryLevenbergMarquardt(LevenbergMarquardt.RegularizationMethod, int, double, int) - Constructor for class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
Option - Class in net.finmath.montecarlo.interestrate.products.components: An option.
Option(double, boolean, TermStructureMonteCarloProduct, AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Option: Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProduct
Option(double, boolean, TermStructureMonteCarloProduct, AbstractLIBORMonteCarloProduct, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Option: Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProduct
Option(double, double, boolean, AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Option: Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice
Option(double, double, boolean, AbstractLIBORMonteCarloProduct, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Option: Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice
Option(double, double, AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Option: Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice
Option(double, AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Option: Creates the function underlying(exerciseDate) ≥ 0 ? underlying : 0
OptionData - Class in net.finmath.marketdata.model.volatilities: An Equity option quote is a function of strike and maturity.
OptionData(String, LocalDate, double, double, double, VolatilitySurface.QuotingConvention) - Constructor for class net.finmath.marketdata.model.volatilities.OptionData
OptionSmileData - Class in net.finmath.marketdata.model.volatilities: A collection of option prices or implied volatilities for a given maturity.
OptionSmileData(String, LocalDate, double[], double, double[], VolatilitySurface.QuotingConvention) - Constructor for class net.finmath.marketdata.model.volatilities.OptionSmileData
OptionSurfaceData - Class in net.finmath.marketdata.model.volatilities: An option quote surface with the ability to query option quotes for different strikes and maturities.
OptionSurfaceData(String, LocalDate, double[], double[], double[][], VolatilitySurface.QuotingConvention, DiscountCurve, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatilities.OptionSurfaceData: This is a very restrictive constructor that assumes that for each maturity we have the same number of option quotes.
OptionSurfaceData(OptionSmileData[], DiscountCurve, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatilities.OptionSurfaceData: Creates an equity option surface from an array of smiles.

P

ParameterAggregation<E extends ParameterObject> - Class in net.finmath.marketdata.calibration: Combine a set of parameter vectors to a single parameter vector.
ParameterAggregation<E extends ParameterObject> - Class in net.finmath.marketdata2.calibration: Combine a set of parameter vectors to a single parameter vector.
ParameterAggregation() - Constructor for class net.finmath.marketdata.calibration.ParameterAggregation: Create a collection of parametrized objects.
ParameterAggregation() - Constructor for class net.finmath.marketdata2.calibration.ParameterAggregation: Create a collection of parametrized objects.
ParameterAggregation(E[]) - Constructor for class net.finmath.marketdata.calibration.ParameterAggregation: Create a collection of parametrized objects.
ParameterAggregation(E[]) - Constructor for class net.finmath.marketdata2.calibration.ParameterAggregation: Create a collection of parametrized objects.
ParameterAggregation(Set<E>) - Constructor for class net.finmath.marketdata.calibration.ParameterAggregation: Create a collection of parametrized objects.
ParameterAggregation(Set<E>) - Constructor for class net.finmath.marketdata2.calibration.ParameterAggregation: Create a collection of parametrized objects.
ParameterInformation - Interface in net.finmath.fouriermethod.calibration: A generic interface for scalar or multivariate parameters.
ParameterObject - Interface in net.finmath.marketdata.calibration: An objects having a dependence on a parameter (double[]).
ParameterObject - Interface in net.finmath.marketdata2.calibration: An objects having a dependence on a parameter (double[]).
ParameterTransformation - Interface in net.finmath.marketdata.calibration: Interface for parameter transformation.
ParameterTransformation - Interface in net.finmath.marketdata2.calibration: Interface for parameter transformation.
parseCSV(File, File, LocalDate, String, String, String) - Method in class net.finmath.parser.CSVSwaptionParser: Extract a single lattice from the pair of csv files.
parseCSV(File, String, String) - Method in class net.finmath.parser.CSVCurveParser: Extract a single discount curve from a csv file.
parseCSVMultiShift(File, File, LocalDate, String, String, String) - Method in class net.finmath.parser.CSVSwaptionParser: Extract a set of lattices from the pair of csv files.
parseTenorsPerShift(File, String) - Method in class net.finmath.parser.CSVSwaptionParser: Create a map overview of which tenors in the given csv file share the same displacement.
parseZIP(File, File, String, String, String) - Method in class net.finmath.parser.CSVSwaptionParser: Extract an array of SwaptionDataLattice from the zip files.
parseZIP(File, String, String) - Method in class net.finmath.parser.CSVCurveParser: Extract an arry of discount curves from a zip archive.
parseZIPToConvention(File, File, String, String, String, SwaptionDataLattice.QuotingConvention, double, AnalyticModel...) - Method in class net.finmath.parser.CSVSwaptionParser: Extract an array of SwaptionDataLattice from the zip files.
Partition - Class in net.finmath.marketdata.model.curves.locallinearregression: This class represents a set of discrete points in time with weighted interval reference points.
Partition(double[]) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.Partition: Creates a partition with fixed weight=0.5.
Partition(double[], double) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.Partition: Creates a partition.
PAYER - net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules.SwaptionType
PAYER - net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules.SwaptionType
PAYERPRICE - net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention
PAYERVOLATILITYLOGNORMAL - net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention
PAYERVOLATILITYNORMAL - net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention
payoffFunction(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Payoff function of the product.
payoffFunction(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AnnuityDummyProduct
payoffFunction(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledPayerSwaption
payoffFunction(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
payoffFunction(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
payoffFunction(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.NormalizingDummyProduct
Performance - Class in net.finmath.marketdata.products: Implements an analytic product given by the ratio of two analytic products.
Performance - Class in net.finmath.marketdata2.products: Implements an analytic product given by the ratio of two analytic products.
Performance(AbstractAnalyticProduct, AbstractAnalyticProduct) - Constructor for class net.finmath.marketdata.products.Performance: Creates a Performance product.
Performance(AbstractAnalyticProduct, AbstractAnalyticProduct) - Constructor for class net.finmath.marketdata2.products.Performance: Creates a Performance product.
PerformanceIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A performance index being numeratorIndex(t) / denominatorIndex(t)
PerformanceIndex(AbstractProductComponent, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex: Create a performance index being numeratorIndex(t) / denominatorIndex(t)
Period - Class in net.finmath.montecarlo.interestrate.products.components: A period.
Period - Class in net.finmath.time: A period, i.e.
Period(double, double, double, double, Notional, AbstractProductComponent, boolean, boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Period: Create a simple period with notional and index (coupon) flow.
Period(double, double, double, double, Notional, AbstractProductComponent, double, boolean, boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Period: Create a simple period with notional and index (coupon) flow.
Period(double, double, double, double, Notional, AbstractProductComponent, double, boolean, boolean, boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Period: Create a simple period with notional and index (coupon) flow.
Period(LocalDate, LocalDate, LocalDate, LocalDate) - Constructor for class net.finmath.time.Period
Period(LocalDateTime, double, double, double, double, Notional, AbstractProductComponent, double, boolean, boolean, boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Period: Create a simple period with notional and index (coupon) flow.
PIECEWISE_CONSTANT - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT_LEFTPOINT - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT_LEFTPOINT - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT_LEFTPOINT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT_LEFTPOINT - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Constant interpolation.
PIECEWISE_CONSTANT_RIGHTPOINT - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Constant interpolation using the value of the right end point of the interval.
PIECEWISE_CONSTANT_RIGHTPOINT - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Constant interpolation using the value of the right end point of the interval.
PIECEWISE_CONSTANT_RIGHTPOINT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Constant interpolation using the value of the right end point of the interval.
PIECEWISE_CONSTANT_RIGHTPOINT - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Constant interpolation using the value of the right end point of the interval.
PiecewiseContantDoubleUnaryOperator - Class in net.finmath.integration: 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 $.
PiecewiseContantDoubleUnaryOperator(double[], double[]) - Constructor for class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Construct a piecewise constant DoubleUnaryOperator $ f : \mathbb{R} \rightarrow \mathbb{R} $.
PiecewiseContantDoubleUnaryOperator(List<Double>, List<Double>) - Constructor for class net.finmath.integration.PiecewiseContantDoubleUnaryOperator: Construct a piecewise constant DoubleUnaryOperator $ f : \mathbb{R} \rightarrow \mathbb{R} $.
PiecewiseCurve - Class in net.finmath.marketdata.model.curves: A piecewise curve.
PiecewiseCurve(Curve, Curve, double, double) - Constructor for class net.finmath.marketdata.model.curves.PiecewiseCurve
PiecewiseCurve.Builder - Class in net.finmath.marketdata.model.curves: A builder (following the builder pattern) for PiecewiseCurve objects.
PoissonDistribution - Class in net.finmath.functions
PoissonDistribution(double) - Constructor for class net.finmath.functions.PoissonDistribution
Portfolio - Class in net.finmath.marketdata.products: Implements the valuation of a portfolio of products implementing AnalyticProductInterface.
Portfolio - Class in net.finmath.marketdata2.products: Implements the valuation of a portfolio of products implementing AnalyticProductInterface.
Portfolio - Class in net.finmath.montecarlo.interestrate.products: Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.
Portfolio(String, AbstractLIBORMonteCarloProduct[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.Portfolio: Creates a portfolio consisting of a set of products and a weights.
Portfolio(List<AnalyticProduct>) - Constructor for class net.finmath.marketdata.products.Portfolio: Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(List<AnalyticProduct>, List<Double>) - Constructor for class net.finmath.marketdata.products.Portfolio: Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(List<AnalyticProduct>) - Constructor for class net.finmath.marketdata2.products.Portfolio: Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(List<AnalyticProduct>, List<Double>) - Constructor for class net.finmath.marketdata2.products.Portfolio: Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(AnalyticProduct, double) - Constructor for class net.finmath.marketdata.products.Portfolio: Create a portfolio consisting of a single product with a given weight.
Portfolio(Portfolio, List<AnalyticProduct>, List<Double>) - Constructor for class net.finmath.marketdata.products.Portfolio: Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(AnalyticProduct, double) - Constructor for class net.finmath.marketdata2.products.Portfolio: Create a portfolio consisting of a single product with a given weight.
Portfolio(Portfolio, List<AnalyticProduct>, List<Double>) - Constructor for class net.finmath.marketdata2.products.Portfolio: Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(AbstractLIBORMonteCarloProduct[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.Portfolio: Creates a portfolio consisting of a set of products and a weights.
Portfolio(AbstractLIBORMonteCarloProduct, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Portfolio: Creates a portfolio consisting of a single product and a weight.
PortfolioMonteCarloProduct - Class in net.finmath.montecarlo.products: A portfolio of products, each product being of AbstractMonteCarloProduct type.
PortfolioMonteCarloProduct(MonteCarloProduct[]) - Constructor for class net.finmath.montecarlo.products.PortfolioMonteCarloProduct: Create a portfolio of products, each product being of AbstractMonteCarloProduct type.
PortfolioMonteCarloProduct(MonteCarloProduct[], double[]) - Constructor for class net.finmath.montecarlo.products.PortfolioMonteCarloProduct: Create a portfolio of products, each product being of AbstractMonteCarloProduct type and weighted with a given weight.
PortfolioMonteCarloProduct(MonteCarloProduct[], double[], Optional<Integer>) - Constructor for class net.finmath.montecarlo.products.PortfolioMonteCarloProduct: Create a portfolio of products, each product being of AbstractMonteCarloProduct type and weighted with a given weight.
PositivityConstraint - Class in net.finmath.fouriermethod.calibration: Positivity constraint for calibration parameters
PositivityConstraint() - Constructor for class net.finmath.fouriermethod.calibration.PositivityConstraint
pow(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
pow(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
pow(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
pow(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
pow(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
pow(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → pow(x,exponent) to this random variable.
pow(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
pow(double) - Method in class net.finmath.stochastic.Scalar
PowIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A power index.
PowIndex(AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.PowIndex: Creates the function pow(index(t), exponent)
PRECEDING - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
PREDICTOR_CORRECTOR - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Driftapproximation
PREDICTOR_CORRECTOR - net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Driftapproximation
PREDICTOR_CORRECTOR - net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement.Driftapproximation
PREDICTOR_CORRECTOR - net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme
PREDICTOR_CORRECTOR_FUNCTIONAL - net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme
PREDICTOR_USING_EULERSTEP - net.finmath.montecarlo.templatemethoddesign.LogNormalProcess.Scheme
PREDICTOR_USING_LASTREALIZATION - net.finmath.montecarlo.templatemethoddesign.LogNormalProcess.Scheme
prepareAndSetDerivatives(RandomVariable[], RandomVariable[], RandomVariable[][]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
prepareAndSetDerivatives(RandomVariable[], RandomVariable[], RandomVariable[][]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardtAD
prepareAndSetDerivatives(RandomVariable[], RandomVariable[], RandomVariable[][]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
prepareAndSetDerivatives(RandomVariable[], RandomVariable[], RandomVariable[][]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD
prepareAndSetValues(RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
prepareAndSetValues(RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardtAD
prepareAndSetValues(RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
prepareAndSetValues(RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD
price(double, double, double, double, int) - Static method in class net.finmath.functions.AnalyticFormulas: Re-implementation of the Excel PRICE function (a rather primitive bond price formula).
price(Date, Date, double, double, double, int) - Static method in class net.finmath.functions.AnalyticFormulas: Re-implementation of the Excel PRICE function (a rather primitive bond price formula).
PRICE - net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention
PRICE - net.finmath.marketdata2.model.volatilities.VolatilitySurface.QuotingConvention
Process - Interface in net.finmath.montecarlo.process: The interface for a stochastic process X.
ProcessModel - Interface in net.finmath.montecarlo.model: The interface for a model of a stochastic process X where X(t) = f(t,Y(t)) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the method ProcessModel.getInitialState(net.finmath.montecarlo.process.MonteCarloProcess).
ProcessTimeDiscretizationProvider - Interface in net.finmath.montecarlo.process: An object implementing this interfaces provides a suggestion for an optimal time-discretization associated with this object.
ProcessWithBarrier - Interface in net.finmath.montecarlo.process.component.barrier
Product - Interface in net.finmath.modelling: Interface implemented by all financial product which may be valued by a model.
ProductCollection - Class in net.finmath.montecarlo.interestrate.products.components: A collection of product components (like periods, options, etc.) paying the sum of their payouts.
ProductCollection(Collection<AbstractProductComponent>) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ProductCollection: Creates a collection of product components paying the sum of their payouts.
ProductCollection(AbstractProductComponent...) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ProductCollection: Creates a collection of product components paying the sum of their payouts.
ProductDescriptor - Interface in net.finmath.modelling: Interface for a product descriptor.
ProductFactory<P extends ProductDescriptor> - Interface in net.finmath.modelling
ProductFactoryCascade<T extends ProductDescriptor> - Class in net.finmath.modelling.productfactory: Implements a product factory based on a cascade of given factories.
ProductFactoryCascade() - Constructor for class net.finmath.modelling.productfactory.ProductFactoryCascade: Construct an empty factory cascade.
ProductFactoryCascade(List<ProductFactory<? extends T>>) - Constructor for class net.finmath.modelling.productfactory.ProductFactoryCascade: Construct a factory cascade from an ordered list of product factories.
ProductIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A product index being index1(t) * index2(t)
ProductIndex(AbstractIndex, AbstractIndex) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ProductIndex: Create a performance index being numeratorIndex(t) / denominatorIndex(t)
pseudoInverse(double[][]) - Static method in class net.finmath.functions.LinearAlgebra: Pseudo-Inverse of a matrix calculated in the least square sense.

Q

QUARTERLY - net.finmath.time.ScheduleGenerator.Frequency: Three months periods.
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.models.FundingCapacity
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent: Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.Cashflow
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.Choice
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.ExpectedTailLoss
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.Numeraire
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.Option
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.components.Selector
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.DateIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.MinIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceOnScheduleIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.PowIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.ProductIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex
queryUnderlyings() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio

R

RandomNumberGenerator - Interface in net.finmath.randomnumbers: Interface for an n-dimensional random number generator generating a sequence of vectors sampling the space [0,1]^{n}
RandomNumberGenerator1D - Interface in net.finmath.randomnumbers: Interface for a 1-dimensional random number generator generating a sequence of vectors sampling the space [0,1]
RandomOperator - Interface in net.finmath.stochastic
RandomVariable - Interface in net.finmath.stochastic: This interface describes the methods implemented by an immutable random variable.
RandomVariableAccumulator - Interface in net.finmath.stochastic: The interface implemented by a mutable random variable accumulator.
RandomVariableArray - Interface in net.finmath.stochastic: An array of RandomVariable objects, implementing the RandomVariable interface.
RandomVariableArrayImplementation - Class in net.finmath.stochastic: An implementation of RandomVariableArray implementing an array of RandomVariable objects, implementing the RandomVariable interface.
RandomVariableDifferentiable - Interface in net.finmath.montecarlo.automaticdifferentiation: Interface providing additional methods for random variable implementing RandomVariable allowing automatic differentiation.
RandomVariableDifferentiableAAD - Class in net.finmath.montecarlo.automaticdifferentiation.backward: Implementation of RandomVariableDifferentiable using the backward algorithmic differentiation (adjoint algorithmic differentiation, AAD).
RandomVariableDifferentiableAAD(double) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
RandomVariableDifferentiableAAD(RandomVariable) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
RandomVariableDifferentiableAAD(RandomVariable, List<RandomVariableDifferentiableAAD.OperatorTreeNode>, List<RandomVariable>, ConditionalExpectationEstimator, RandomVariableDifferentiableAAD.OperatorType, RandomVariableDifferentiableAADFactory, int) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
RandomVariableDifferentiableAAD(RandomVariable, List<RandomVariable>, ConditionalExpectationEstimator, RandomVariableDifferentiableAAD.OperatorType, RandomVariableDifferentiableAADFactory) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
RandomVariableDifferentiableAAD(RandomVariable, List<RandomVariable>, ConditionalExpectationEstimator, RandomVariableDifferentiableAAD.OperatorType, RandomVariableDifferentiableAADFactory, int) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
RandomVariableDifferentiableAAD(RandomVariable, RandomVariableDifferentiableAADFactory) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
RandomVariableDifferentiableAADFactory - Class in net.finmath.montecarlo.automaticdifferentiation.backward
RandomVariableDifferentiableAADFactory() - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
RandomVariableDifferentiableAADFactory(Map<String, Object>) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
RandomVariableDifferentiableAADFactory(RandomVariableFactory) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
RandomVariableDifferentiableAADFactory(RandomVariableFactory, Map<String, Object>) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory: Create a factory for objects of type RandomVariableDifferentiableAAD.
RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod - Enum in net.finmath.montecarlo.automaticdifferentiation.backward
RandomVariableDifferentiableAD - Class in net.finmath.montecarlo.automaticdifferentiation.forward: Implementation of RandomVariableDifferentiable using the forward algorithmic differentiation (AD).
RandomVariableDifferentiableAD(double) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
RandomVariableDifferentiableAD(double, double[]) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
RandomVariableDifferentiableAD(RandomVariable) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
RandomVariableDifferentiableAD(RandomVariable, List<RandomVariable>, ConditionalExpectationEstimator, RandomVariableDifferentiableAD.OperatorType) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
RandomVariableDifferentiableAD(RandomVariable, List<RandomVariable>, ConditionalExpectationEstimator, RandomVariableDifferentiableAD.OperatorType, int) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
RandomVariableDifferentiableADFactory - Class in net.finmath.montecarlo.automaticdifferentiation.forward
RandomVariableDifferentiableADFactory() - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
RandomVariableDifferentiableADFactory(RandomVariableFactory) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
RandomVariableDifferentiableFactory - Interface in net.finmath.montecarlo.automaticdifferentiation: A factory for creating objects implementing net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable.
RandomVariableFactory - Interface in net.finmath.montecarlo: A factory for creating objects implementing net.finmath.stochastic.RandomVariable.
RandomVariableFloatFactory - Class in net.finmath.montecarlo
RandomVariableFloatFactory() - Constructor for class net.finmath.montecarlo.RandomVariableFloatFactory
RandomVariableFromArrayFactory - Class in net.finmath.montecarlo: A factory (helper class) to create random variables.
RandomVariableFromArrayFactory() - Constructor for class net.finmath.montecarlo.RandomVariableFromArrayFactory
RandomVariableFromArrayFactory(boolean) - Constructor for class net.finmath.montecarlo.RandomVariableFromArrayFactory
RandomVariableFromDoubleArray - Class in net.finmath.montecarlo: The class RandomVariableFromDoubleArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
RandomVariableFromDoubleArray(double) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a non stochastic random variable, i.e.
RandomVariableFromDoubleArray(double, double) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a non stochastic random variable, i.e.
RandomVariableFromDoubleArray(double, double[]) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a stochastic random variable.
RandomVariableFromDoubleArray(double, double[], int) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a stochastic random variable.
RandomVariableFromDoubleArray(double, double, int) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a non stochastic random variable, i.e.
RandomVariableFromDoubleArray(double, int, double) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Deprecated.
RandomVariableFromDoubleArray(double, IntToDoubleFunction, int) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a stochastic random variable.
RandomVariableFromDoubleArray(double, IntToDoubleFunction, int, int) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a stochastic random variable.
RandomVariableFromDoubleArray(RandomVariable) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a random variable from a given other implementation of RandomVariable.
RandomVariableFromDoubleArray(RandomVariable, DoubleUnaryOperator) - Constructor for class net.finmath.montecarlo.RandomVariableFromDoubleArray: Create a random variable by applying a function to a given other implementation of RandomVariable.
RandomVariableFromFloatArray - Class in net.finmath.montecarlo: The class RandomVariableFromFloatArray represents a random variable being the evaluation of a stochastic process at a certain time within a Monte-Carlo simulation.
RandomVariableFromFloatArray(double) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a non stochastic random variable, i.e.
RandomVariableFromFloatArray(double, double) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a non stochastic random variable, i.e.
RandomVariableFromFloatArray(double, double[]) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a stochastic random variable.
RandomVariableFromFloatArray(double, double, int) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a non stochastic random variable, i.e.
RandomVariableFromFloatArray(double, float[]) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a non stochastic random variable, i.e.
RandomVariableFromFloatArray(double, float[], int) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a stochastic random variable.
RandomVariableFromFloatArray(double, int, double) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Deprecated.
RandomVariableFromFloatArray(double, IntToDoubleFunction, int) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a stochastic random variable.
RandomVariableFromFloatArray(double, IntToDoubleFunction, int, int) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a stochastic random variable.
RandomVariableFromFloatArray(RandomVariable) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a random variable from a given other implementation of RandomVariable.
RandomVariableFromFloatArray(RandomVariable, DoubleUnaryOperator) - Constructor for class net.finmath.montecarlo.RandomVariableFromFloatArray: Create a random variable by applying a function to a given other implementation of RandomVariable.
RandomVariableLazyEvaluation - Class in net.finmath.montecarlo: 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).
RandomVariableLazyEvaluation(double) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a non stochastic random variable, i.e.
RandomVariableLazyEvaluation(double, double) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a non stochastic random variable, i.e.
RandomVariableLazyEvaluation(double, double[]) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a stochastic random variable.
RandomVariableLazyEvaluation(double, int, double) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a non stochastic random variable, i.e.
RandomVariableLazyEvaluation(double, IntToDoubleFunction, int) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a stochastic random variable.
RandomVariableLazyEvaluation(RandomVariable) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a random variable from a given other implementation of RandomVariable.
RandomVariableLazyEvaluation(RandomVariable, DoubleUnaryOperator) - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluation: Create a random variable by applying a function to a given other implementation of RandomVariable.
RandomVariableLazyEvaluationFactory - Class in net.finmath.montecarlo
RandomVariableLazyEvaluationFactory() - Constructor for class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
RationalFunctionInterpolation - Class in net.finmath.interpolation: This class provides methodologies to interpolate given sample points by rational functions, that is, given interpolation points (x_i,y_i) the class provides a continuous function y = f(x) where f(x_i) = y_i and for x_i < x < x_i+1 the function is a fraction of two polynomes f(x) = (sum a_j x^j) / (sum b_k x^k).
RationalFunctionInterpolation - Class in net.finmath.marketdata2.interpolation: This class provides methodologies to interpolate given sample points by rational functions, that is, given interpolation points (x_i,y_i) the class provides a continuous function y = f(x) where f(x_i) = y_i and for x_i < x < x_i+1 the function is a fraction of two polynomes f(x) = (sum a_j x^j) / (sum b_k x^k).
RationalFunctionInterpolation(double[], double[]) - Constructor for class net.finmath.interpolation.RationalFunctionInterpolation: Generate a rational function interpolation from a given set of points.
RationalFunctionInterpolation(double[], double[], RationalFunctionInterpolation.InterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod) - Constructor for class net.finmath.interpolation.RationalFunctionInterpolation: Generate a rational function interpolation from a given set of points using the specified interpolation and extrapolation method.
RationalFunctionInterpolation(double[], RandomVariable[]) - Constructor for class net.finmath.marketdata2.interpolation.RationalFunctionInterpolation: Generate a rational function interpolation from a given set of points.
RationalFunctionInterpolation(double[], RandomVariable[], RationalFunctionInterpolation.InterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod) - Constructor for class net.finmath.marketdata2.interpolation.RationalFunctionInterpolation: Generate a rational function interpolation from a given set of points using the specified interpolation and extrapolation method.
RationalFunctionInterpolation.ExtrapolationMethod - Enum in net.finmath.interpolation
RationalFunctionInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata2.interpolation
RationalFunctionInterpolation.InterpolationMethod - Enum in net.finmath.interpolation
RationalFunctionInterpolation.InterpolationMethod - Enum in net.finmath.marketdata2.interpolation
RealIntegral - Interface in net.finmath.integration: Interface for real integral.
RECEIVER - net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules.SwaptionType
RECEIVER - net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules.SwaptionType
RECEIVERPRICE - net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention
REFLECTION - net.finmath.montecarlo.assetderivativevaluation.models.HestonModel.Scheme: Reflection scheme, that is V is replaced by Math.abs(V), where V denotes the current realization of V(t).
REGRESSION_ON_DENSITY - net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod
REGRESSION_ON_DISTRIBUITON - net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod
RegressionBasisFunctionsFromProducts - Class in net.finmath.montecarlo.conditionalexpectation: An implementation of an RegressionBasisFunctionsProvider using a list of AbstractMonteCarloProduct-s.
RegressionBasisFunctionsFromProducts(List<AbstractMonteCarloProduct>) - Constructor for class net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsFromProducts
RegressionBasisFunctionsGiven(RandomVariable[]) - Constructor for class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven
RegressionBasisFunctionsProvider - Interface in net.finmath.montecarlo.conditionalexpectation: Interfaces for object providing regression basis functions.
RegularSchedule - Class in net.finmath.time: Simple schedule generated from TimeDiscretization
RegularSchedule(TimeDiscretization) - Constructor for class net.finmath.time.RegularSchedule: Create a schedule from a time discretization.
remove(E) - Method in class net.finmath.marketdata.calibration.ParameterAggregation: Remove an object from this parameterization.
remove(E) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation: Remove an object from this parameterization.
RiskFactorForwardRate - Class in net.finmath.montecarlo.hybridassetinterestrate
RiskFactorForwardRate(String, double, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.RiskFactorForwardRate
RiskFactorFX - Class in net.finmath.montecarlo.hybridassetinterestrate
RiskFactorFX(String) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.RiskFactorFX
RiskFactorID - Interface in net.finmath.montecarlo.hybridassetinterestrate
RombergRealIntegration - Class in net.finmath.integration: Implements a Romberg integrator.
RombergRealIntegration(double, double, int) - Constructor for class net.finmath.integration.RombergRealIntegration: Create a Romberg integrator.
run() - Method in class net.finmath.optimizer.LevenbergMarquardt
run() - Method in interface net.finmath.optimizer.Optimizer: Runs the optimization.
run() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
run() - Method in interface net.finmath.optimizer.StochasticOptimizer: Runs the optimization.
run() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt

S

sabrAlphaApproximation(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Return the parameter alpha (initial value of the stochastic vol process) of a SABR model using the to match the given at-the-money volatility.
sabrBerestyckiNormalVolatilityApproximation(double, double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Return the implied normal volatility (Bachelier volatility) under a SABR model using the approximation of Berestycki.
sabrCalibrateParameterForImpliedNormalVols(double, double, double[], double[]) - Static method in class net.finmath.functions.SABRModel
sabrCalibrateParameterForImpliedNormalVols(double, double, double[], double[], double[], double[]) - Static method in class net.finmath.functions.SABRModel
sabrCalibrateParameterForImpliedNormalVols(double, double, double[], double[], double[], double[], double[], double[]) - Static method in class net.finmath.functions.SABRModel
SABRCubeCalibration - Class in net.finmath.singleswaprate.calibration: Calibration of SABRVolatilityCube using custom optimization.
SABRCubeCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Create the calibrator.
SABRCubeCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType, double, double, double, double) - Constructor for class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Create the calibrator.
SABRCubeCalibration.SwaptionInfo - Class in net.finmath.singleswaprate.calibration: Compact identifier for the swaptions to be created during the optimization.
SABRCubeParallelCalibration - Class in net.finmath.singleswaprate.calibration: Calibrates a SABRVolatilityCubeParallel.
SABRCubeParallelCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration: Create the calibrator.
sabrHaganLognormalBlackVolatilityApproximation(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculated the approximation to the lognormal Black volatility using the standard SABR model and the standard Hagan approximation.
sabrHaganLognormalBlackVolatilityApproximation(double, double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Calculated the approximation to the lognormal Black volatility using the standard SABR model and the standard Hagan approximation.
SABRModel - Class in net.finmath.functions
sabrNormalVolatilityApproximation(double, double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Return the implied normal volatility (Bachelier volatility) under a SABR model using the approximation of Hagan.
sabrNormalVolatilityCurvatureApproximation(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Return the curvature of the implied normal volatility (Bachelier volatility) under a SABR model using the approximation of Berestycki.
sabrNormalVolatilitySkewApproximation(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Return the skew of the implied normal volatility (Bachelier volatility) under a SABR model using the approximation of Berestycki.
SABRShiftedSmileCalibration - Class in net.finmath.singleswaprate.calibration: 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.
SABRShiftedSmileCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel, double, double, double, double) - Constructor for class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration: Create the calibrator to be able to modify calibration parameters before building the cube.
SABRVolatilityCube - Class in net.finmath.singleswaprate.model.volatilities: A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
SABRVolatilityCube(String, LocalDate, DataTable, double, double, DataTable, DataTable, DataTable, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube: Create the cube.
SABRVolatilityCube(String, LocalDate, DataTable, double, double, DataTable, DataTable, DataTable, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube: Create the cube.
SABRVolatilityCubeParallel - Class in net.finmath.singleswaprate.model.volatilities: A volatility cube that uses a grid of SABR models for the calculation of the volatility with different strikes.
SABRVolatilityCubeParallel(String, LocalDate, DataTable, double, double, double, double, DataTable, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel: Create the cube.
SABRVolatilityCubeParallel(String, LocalDate, DataTable, double, double, double, double, DataTable, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel: Create the cube.
SABRVolatilityCubeParallelFactory - Class in net.finmath.singleswaprate.model.volatilities: Build a SABRVolatilityCubeParallel from given shared parameters and marketdata.
SABRVolatilityCubeSingleSmile - Class in net.finmath.singleswaprate.model.volatilities: 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.
SABRVolatilityCubeSingleSmile(String, LocalDate, double, double, double, double, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile: Create the cube.
SABRVolatilityCubeSingleSmile(String, LocalDate, double, double, double, double, double, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile: Create the cube.
SABRVolatilityCubeSingleSmile(String, LocalDate, double, double, double, double, double, double, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile: Create the cube.
Scalar - Class in net.finmath.stochastic: A scalar value implementing the RandomVariable.
Scalar(double) - Constructor for class net.finmath.stochastic.Scalar
ScalarConstraint - Interface in net.finmath.fouriermethod.calibration: Base interface for scalar parameter constraints.
ScalarParameterInformation - Interface in net.finmath.fouriermethod.calibration: An interface representing a scalar parameter.
ScalarParameterInformationImplementation - Class in net.finmath.fouriermethod.calibration: This class tells us if a parameter has to be calibrated and if it is constrained.
ScalarParameterInformationImplementation(boolean) - Constructor for class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation: Constructs an unconstrained parameter.
ScalarParameterInformationImplementation(boolean, ScalarConstraint) - Constructor for class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation: Constructs a parameter.
ScalarParameterInformationImplementation(ScalarConstraint) - Constructor for class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation: Constructs a parameter that needs to be calibrated.
ScaledVolatilityCube - Class in net.finmath.singleswaprate.model.volatilities: A volatility cube that always returns a multiple of the value an underlying cube would return.
ScaledVolatilityCube(String, LocalDate, String, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
ScaledVolatilityCube(String, LocalDate, String, double, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube: Create the cube.
Schedule - Interface in net.finmath.time: Interface of a schedule of interest rate periods with a fixing and payment.
ScheduleDescriptor - Class in net.finmath.modelling.descriptor: Descriptor for a schedule.
ScheduleDescriptor(LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, AbstractBusinessdayCalendar, int, int) - Constructor for class net.finmath.modelling.descriptor.ScheduleDescriptor: Construct a schedule descriptor via a set of parameters for a factory.
ScheduleDescriptor(LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int, boolean) - Constructor for class net.finmath.modelling.descriptor.ScheduleDescriptor: Construct a schedule descriptor via a set of parameters for a factory.
ScheduleDescriptor(List<Period>, DayCountConvention) - Constructor for class net.finmath.modelling.descriptor.ScheduleDescriptor: Construct a schedule descriptor via a list of periods and daycount convention.
ScheduleDescriptor(Schedule) - Constructor for class net.finmath.modelling.descriptor.ScheduleDescriptor: Extract a schedule descriptor from a schedule.
ScheduleFromPeriods - Class in net.finmath.time: A schedule of interest rate periods with a fixing and payment.
ScheduleFromPeriods(LocalDate, List<Period>, DayCountConvention) - Constructor for class net.finmath.time.ScheduleFromPeriods
ScheduleFromPeriods(LocalDate, DayCountConvention, Period...) - Constructor for class net.finmath.time.ScheduleFromPeriods
ScheduleGenerator - Class in net.finmath.time: Generates a schedule based on some meta data (frequency, maturity, date roll convention, etc.).
ScheduleGenerator.DaycountConvention - Enum in net.finmath.time: Possible day count conventions supported by ScheduleGenerator.DaycountConvention.
ScheduleGenerator.Frequency - Enum in net.finmath.time: Possible frequencies supported by ScheduleGenerator.
ScheduleGenerator.ShortPeriodConvention - Enum in net.finmath.time: Possible stub period conventions supported.
ScheduleMetaData - Class in net.finmath.time: Deprecated.
ScheduleMetaData(ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int, boolean) - Constructor for class net.finmath.time.ScheduleMetaData: Deprecated.

Construct the ScheduleMetaData.
SchedulePrototype - Class in net.finmath.time: Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.
SchedulePrototype(ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int, boolean) - Constructor for class net.finmath.time.SchedulePrototype: Construct the ScheduleMetaData.
SeasonalCurve - Class in net.finmath.marketdata.model.curves: 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.
SeasonalCurve(String, LocalDate, Map<LocalDate, Double>, int) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve: Create a monthly seasonality adjustment curve by estimating historic log-returns from monthly index fixings.
SeasonalCurve(String, LocalDate, Curve) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve
SeasonalCurve.Builder - Class in net.finmath.marketdata.model.curves: A builder (following the builder pattern) for SeasonalCurve objects.
Selector - Class in net.finmath.montecarlo.interestrate.products.components: A selection of a value on another component.
Selector(String, TermStructureMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Selector: Creates the function underlying.getValues()[key]
SEMIANNUAL - net.finmath.time.ScheduleGenerator.Frequency: Six months periods.
setAdmissibleValues(double[]) - Method in class net.finmath.swing.JNumberField
setAdmissibleValues(TimeDiscretization) - Method in class net.finmath.swing.JNumberField
setBarrier(Barrier) - Method in interface net.finmath.montecarlo.process.component.barrier.ProcessWithBarrier
setBrownianMotion(BrownianMotion) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess: A derived class may change the Brownian motion.
setCalibrationParameters(int, int) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Set the parameters for calibration.
setCalibrationParameters(int, int) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Set the parameters for calibration.
setCalibrationParameters(int, int) - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration: Set the parameters for calibration.
setCalibrationParameters(int, int) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Set the parameters for calibration.
setCapVolMatrixEntry(int, int, double) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
setCorrelationDecay(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
setCurve(Curve) - Method in interface net.finmath.marketdata2.model.AnalyticModel: Deprecated.
setCurve(Curve) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Deprecated.
This class will become immutable. Use addCurve instead.
setCurves(Curve[]) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols: Deprecated.
This class will become immutable. Use addCurve instead.
setDerivatives(double[], double[][]) - Method in class net.finmath.optimizer.LevenbergMarquardt: The derivative of the objective function.
setDerivatives(RandomVariable[], RandomVariable[][]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: The derivative of the objective function.
setDerivatives(RandomVariable[], RandomVariable[][]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: The derivative of the objective function.
setDriftApproximationMethod(LIBORMarketModelStandard.Driftapproximation) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
setErrorMeanSquaredCurrent(double) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
setErrorMeanSquaredCurrent(RandomVariable) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
setErrorTolerance(double) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the error tolerance.
setExtrapolationMethod(CurveInterpolation.ExtrapolationMethod) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder: Set the extrapolation method of the curve.
setExtrapolationMethod(CurveInterpolation.ExtrapolationMethod) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder: Set the extrapolation method of the curveFromInterpolationPoints.
setFileQuotingConvention(SwaptionDataLattice.QuotingConvention, double, double) - Method in class net.finmath.parser.CSVSwaptionParser: Set the quoting convention used in the files, together with their unit and the unit of the displacement.
setFromat(String) - Method in class net.finmath.swing.JNumberField
setIborOisDecorrelation(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
setInitialBeta(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
setInitialCorrelationDecay(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
setInitialDisplacement(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
setInitialIborOisDecorrelation(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
setInitialParameters(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the initial parameters for the solver.
setInitialParameters(double[]) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
setInitialParameters(DataTable, DataTable, DataTable) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Prepare the parameters for the start of the calibration.
setInitialRho(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
setInitialVolvol(double) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
setIntegrationParameters(double, double, int) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Set the parameters for replication.
setInterpolation(CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Method in class net.finmath.parser.CSVCurveParser: Set interpolation method for parsed curves.
setInterpolationEntity(CurveInterpolation.InterpolationEntity) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder: Set the interpolationEntity of the curve.
setInterpolationEntity(CurveInterpolation.InterpolationEntity) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder: Set the interpolationEntity of the curveFromInterpolationPoints.
setInterpolationMethod(CurveInterpolation.InterpolationMethod) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder: Set the interpolation method of the curve.
setInterpolationMethod(CurveInterpolation.InterpolationMethod) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder: Set the interpolation method of the curveFromInterpolationPoints.
setLambda(double) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the $ \lambda $ in $ H + \lambda \diag H $.
setLambda(double) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Set the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the $ \lambda $ in $ H + \lambda \diag H $.
setLambda(double[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Set the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the $ \lambda $ in $ H + \lambda \diag H $.
setLambdaDivisor(double) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if $ H + \lambda \diag H $ is invertable.
setLambdaDivisor(double) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Set the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if $ H + \lambda \diag H $ is invertable.
setLambdaDivisor(double) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Set the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if $ H + \lambda \diag H $ is invertable.
setLambdaMultiplicator(double) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if $ H + \lambda \diag H $ is not invertable.
setLambdaMultiplicator(double) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: Set the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if $ H + \lambda \diag H $ is not invertable.
setLambdaMultiplicator(double) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Set the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if $ H + \lambda \diag H $ is not invertable.
setMaturity(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
setMaturity(double) - Method in class net.finmath.montecarlo.interestrate.products.Bond
setMaxIteration(int) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the maximum number of iterations to be performed until the solver gives up.
setMeasure(LIBORMarketModelStandard.Measure) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
setParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
setParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterObject: Deprecated.
setParameter(double[]) - Method in class net.finmath.marketdata.model.bond.BondCurve
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson: Deprecated.
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
setParameter(double[]) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
setParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
setParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
setParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
setParameter(double[]) - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
setParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
setParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterObject: Deprecated.
setParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
setParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
setParameterSteps(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the parameter step for the solver.
setPreferedValueIncrement(double) - Method in class net.finmath.swing.JNumberField
setRange(double, double) - Method in class net.finmath.swing.JNumberField
setReplicationParameters(boolean, double, double, int) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration: Set the parameters for the swaption replication.
setReplicationParameters(boolean, double, double, int) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration: Set the parameters for the swaption replication.
setReplicationParameters(double, double, int) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Set the parameters for replication.
setScheme(LogNormalProcess.Scheme) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
setTargetValues(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the target values for the solver.
setUseLinearInterpolation(boolean) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
setUseLinearInterpolation(boolean) - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
setValue(double) - Method in class net.finmath.optimizer.GoldenSectionSearch: Set the value corresponding to the point returned by a previous call of getNextPoint().
setValue(double) - Method in class net.finmath.swing.JNumberField
setValues(double[], double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt: The objective function.
setValues(double[], double[]) - Method in interface net.finmath.optimizer.Optimizer.ObjectiveFunction
setValues(RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt: The objective function.
setValues(RandomVariable[], RandomVariable[]) - Method in interface net.finmath.optimizer.StochasticOptimizer.ObjectiveFunction
setValues(RandomVariable[], RandomVariable[]) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: The objective function.
setWeights(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt: Set the weight for the objective function.
shiftCashToPhysicalSmile(VolatilityCubeModel, SwaptionDataLattice, SwaptionDataLattice...) - Static method in class net.finmath.singleswaprate.Utils: Create smiles for physically settled swaptions by shifting the smiles from cash settled swaptions onto atm levels of physically settled swaptions.
SHORT_PERIOD_AT_END - net.finmath.time.TimeDiscretizationFromArray.ShortPeriodLocation
SHORT_PERIOD_AT_START - net.finmath.time.TimeDiscretizationFromArray.ShortPeriodLocation
ShortRateModel - Interface in net.finmath.montecarlo.interestrate: Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
ShortRateVolatilityModel - Interface in net.finmath.montecarlo.interestrate.models.covariance: 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) $.
ShortRateVolatilityModelAsGiven - Class in net.finmath.montecarlo.interestrate.models.covariance: A short rate volatility model from given volatility and mean reversion.
ShortRateVolatilityModelAsGiven(TimeDiscretization, double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven
ShortRateVolatilityModelCalibrateable - Interface in net.finmath.montecarlo.interestrate.models.covariance: Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated-method.
ShortRateVolatilityModelHoLee - Class in net.finmath.montecarlo.interestrate.models.covariance
ShortRateVolatilityModelHoLee(double) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee
ShortRateVolatilityModelParametric - Interface in net.finmath.montecarlo.interestrate.models.covariance: Interface for short rate volatility models which are determined by a vector of parameter.
ShortRateVolatilityModelPiecewiseConstant - Class in net.finmath.montecarlo.interestrate.models.covariance: Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double[], double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, double[], double[], boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, RandomVariable[], RandomVariable[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory, TimeDiscretization, TimeDiscretization, RandomVariable[], RandomVariable[], boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
SimpleCappedFlooredFloatingRateBond - Class in net.finmath.montecarlo.interestrate.products
SimpleCappedFlooredFloatingRateBond(String, double[], double[], double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleCappedFlooredFloatingRateBond
SimpleHistroricalSimulation - Class in net.finmath.timeseries.models.parametric: Implementation of standard historical simulation.
SimpleHistroricalSimulation(double[]) - Constructor for class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
SimpleHistroricalSimulation(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
SimpleSwap - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel
SimpleSwap(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleSwap: Deprecated.
SimpleSwap(double[], double[], double[], boolean, double) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleSwap: Create a swap.
SimpleSwap(double[], double[], double[], boolean, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleSwap: Create a swap.
SimpleSwap(double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleSwap: Create a swap.
SimpleSwap(double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleSwap: Create a swap.
SimpleZeroSwap - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.
SimpleZeroSwap(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleZeroSwap: Create a swap.
SimpleZeroSwap(double[], double[], double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleZeroSwap: Create a swap.
SimpleZeroSwap(double[], double[], double[], AbstractIndex, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.SimpleZeroSwap: Create a swap.
SIMPLIFIEDLINEAR - net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType
SimplifiedLinearAnnuityMapping - Class in net.finmath.singleswaprate.annuitymapping: Provides a light-weight linear annuity mapping.
SimplifiedLinearAnnuityMapping(Schedule, double, double, double) - Constructor for class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping
SimplifiedLinearAnnuityMapping(Schedule, Schedule, AnalyticModel, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.SimplifiedLinearAnnuityMapping: Construct the annuity mapping.
SimpsonRealIntegrator - Class in net.finmath.integration: A simple integrator using Simpson's rule.
SimpsonRealIntegrator(double, double, int) - Constructor for class net.finmath.integration.SimpsonRealIntegrator: Create an integrator using Simpson's rule.
SimpsonRealIntegrator(double, double, int, boolean) - Constructor for class net.finmath.integration.SimpsonRealIntegrator: Create an integrator using Simpson's rule.
sin() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
sin() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
sin() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
sin() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
sin() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
sin() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → sin(x) to this random variable.
sin() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
sin() - Method in class net.finmath.stochastic.Scalar
SingleAssetDigitalOptionProductDescriptor - Class in net.finmath.modelling.descriptor: Describes a European digital option.
SingleAssetDigitalOptionProductDescriptor(String, LocalDate, double) - Constructor for class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
SingleAssetEuropeanOptionProductDescriptor - Class in net.finmath.modelling.descriptor: Describes a European option.
SingleAssetEuropeanOptionProductDescriptor(String, LocalDate, double) - Constructor for class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
SingleAssetFourierProductFactory - Class in net.finmath.modelling.productfactory: Product factory of single asset derivatives for use with a Fourier method based model.
SingleAssetFourierProductFactory(LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory: Create the product factory.
SingleAssetFourierProductFactory.DigitalOptionFourierMethod - Class in net.finmath.modelling.productfactory: Fourier method based implementation of a digital option from a product descriptor.
SingleAssetFourierProductFactory.EuropeanOptionFourierMethod - Class in net.finmath.modelling.productfactory: Fourier method based implementation of a European option from a product descriptor.
SingleAssetMonteCarloProductFactory - Class in net.finmath.modelling.productfactory: Product factory of single asset derivatives for use with a Monte-Carlo method based model.
SingleAssetMonteCarloProductFactory(LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory: Create the product factory.
SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo - Class in net.finmath.modelling.productfactory: Monte-Carlo method based implementation of a digital option from a product descriptor.
SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo - Class in net.finmath.modelling.productfactory: Monte-Carlo method based implementation of a European option from a product descriptor.
SingleAssetProductDescriptor - Interface in net.finmath.modelling: Interface for a product descriptor.
singularAddon(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: As some products have a portion of their weight in a singular point, this is portion is split off from the hedgeweight and added after the integration.
singularAddon(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AnnuityDummyProduct
singularAddon(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledPayerSwaption
singularAddon(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
singularAddon(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
singularAddon(double, AnnuityMapping, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.NormalizingDummyProduct
size() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
size() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
size() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
size() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
size() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
size() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
size() - Method in interface net.finmath.singleswaprate.data.DataTable
size() - Method in class net.finmath.singleswaprate.data.DataTableBasic
size() - Method in class net.finmath.singleswaprate.data.DataTableLight
size() - Method in interface net.finmath.stochastic.RandomVariable: Returns the number of paths or states.
size() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
size() - Method in class net.finmath.stochastic.Scalar
SmileByIntegralTransform - Interface in net.finmath.fouriermethod.products.smile: Base interface for Fourier-based valuations.
SmileInterpolationExtrapolationMethod - Interface in net.finmath.marketdata.model.volatility.caplet.smile: Interface for a Smile inter and extrapolation.
SobolSequence - Class in net.finmath.randomnumbers: Implements a multi-dimensional Sobol sequence.
SobolSequence(int) - Constructor for class net.finmath.randomnumbers.SobolSequence: Constructs a Sobol sequence with given dimension.
SobolSequence1D - Class in net.finmath.randomnumbers: Implements a multi-dimensional Sobol sequence.
SobolSequence1D() - Constructor for class net.finmath.randomnumbers.SobolSequence1D: Create a Sobol sequence.
solve() - Method in class net.finmath.finitedifference.experimental.BlackScholesTheta
solveLinearEquation(double[][], double[]) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A x = b where A is an n x m - matrix given as double[n][m] b is an m - vector given as double[m], x is an n - vector given as double[n],
solveLinearEquationLeastSquare(double[][], double[]) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A x = b in the least square sense where A is an n x m - matrix given as double[n][m] b is an m - vector given as double[m], x is an n - vector given as double[n],
solveLinearEquationLeastSquare(double[][], double[][]) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A X = B in the least square sense where A is an n x m - matrix given as double[n][m] B is an m x k - matrix given as double[m][k], X is an n x k - matrix given as double[n][k],
solveLinearEquationSVD(double[][], double[]) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A x = b where A is an n x m - matrix given as double[n][m] b is an m - vector given as double[m], x is an n - vector given as double[n],
solveLinearEquationSymmetric(double[][], double[]) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A x = b where A is an symmetric n x n - matrix given as double[n][n] b is an n - vector given as double[n], x is an n - vector given as double[n],
solveLinearEquationTikonov(double[][], double[], double) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A x = b where A is an n x m - matrix given as double[n][m] b is an m - vector given as double[m], x is an n - vector given as double[n], using a standard Tikhonov regularization, i.e., we solve in the least square sense A* x = b* where A* = (A^T, lambda I)^T and b* = (b^T , 0)^T.
solveLinearEquationTikonov(double[][], double[], double, double, double) - Static method in class net.finmath.functions.LinearAlgebra: Find a solution of the linear equation A x = b where A is an n x m - matrix given as double[n][m] b is an m - vector given as double[m], x is an n - vector given as double[n], using a Tikhonov regularization, i.e., we solve in the least square sense A* x = b* where A* = (A^T, lambda0 I, lambda1 S, lambda2 C)^T and b* = (b^T , 0 , 0 , 0)^T.
Solver - Class in net.finmath.marketdata.calibration: Generates a calibrated model for a given set of calibrationProducts with respect to given CurveFromInterpolationPointss.
Solver - Class in net.finmath.marketdata2.calibration: Generates a calibrated model for a given set of calibrationProducts with respect to given CurveFromInterpolationPointss.
Solver(AnalyticModel, Vector<AnalyticProduct>) - Constructor for class net.finmath.marketdata.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, double, double) - Constructor for class net.finmath.marketdata.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, List<Double>, double, double) - Constructor for class net.finmath.marketdata.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, List<Double>, ParameterTransformation, double, double) - Constructor for class net.finmath.marketdata.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, List<Double>, ParameterTransformation, double, OptimizerFactory) - Constructor for class net.finmath.marketdata.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>) - Constructor for class net.finmath.marketdata2.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, double, double) - Constructor for class net.finmath.marketdata2.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, List<Double>, double, double) - Constructor for class net.finmath.marketdata2.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, List<Double>, ParameterTransformation, double, double) - Constructor for class net.finmath.marketdata2.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel, Vector<AnalyticProduct>, List<Double>, ParameterTransformation, double, StochasticOptimizerFactory) - Constructor for class net.finmath.marketdata2.calibration.Solver: Generate a solver for the given parameter objects (independents) and objective functions (dependents).
SolverException - Exception in net.finmath.optimizer: Exception thrown by solvers net.finmath.rootfinder or net.finmath.optimizer.
SolverException(String) - Constructor for exception net.finmath.optimizer.SolverException: Create an exception with error message.
SolverException(String, Throwable) - Constructor for exception net.finmath.optimizer.SolverException: Create an exception from another exception with error message.
SolverException(Throwable) - Constructor for exception net.finmath.optimizer.SolverException: Create an exception from another exception.
SPOT - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Measure
SPOT - net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Measure
sqrt() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
sqrt() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
sqrt() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
sqrt() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
sqrt() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
sqrt() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → sqrt(x) to this random variable.
sqrt() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
sqrt() - Method in class net.finmath.stochastic.Scalar
squared() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
squared() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
squared() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
squared() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
squared() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
squared() - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x * x to this random variable.
squared() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
squared() - Method in class net.finmath.stochastic.Scalar
StaticCubeCalibration - Class in net.finmath.singleswaprate.calibration: Calibration for a simple cube that only provides a single value at all coordinates.
StaticCubeCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.calibration.StaticCubeCalibration: Create the calibrator.
StaticCubeCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType, double, double) - Constructor for class net.finmath.singleswaprate.calibration.StaticCubeCalibration: Create the calibrator.
StaticVolatilityCube - Class in net.finmath.singleswaprate.model.volatilities: A volatility cube that always returns the given value.
StaticVolatilityCube(String, LocalDate, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube: Create the cube.
StaticVolatilityCube(String, LocalDate, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube: Create the cube.
StaticVolatilityCube(String, LocalDate, double, double, double) - Constructor for class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube: Create the cube.
StochasticLevenbergMarquardt - Class in net.finmath.optimizer: This class implements a stochastic Levenberg Marquardt non-linear least-squares fit algorithm.
StochasticLevenbergMarquardt(StochasticLevenbergMarquardt.RegularizationMethod, RandomVariable[], RandomVariable[], RandomVariable[], int, double, int) - Constructor for class net.finmath.optimizer.StochasticLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(StochasticLevenbergMarquardt.RegularizationMethod, RandomVariable[], RandomVariable[], RandomVariable[], int, double, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt(RandomVariable[], RandomVariable[], RandomVariable[], int, double, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticLevenbergMarquardt.RegularizationMethod - Enum in net.finmath.optimizer: The regularization method used to invert the approximation of the Hessian matrix.
StochasticLevenbergMarquardtAD - Class in net.finmath.optimizer: This class implements a stochastic Levenberg Marquardt non-linear least-squares fit algorithm.
StochasticLevenbergMarquardtAD(StochasticLevenbergMarquardt.RegularizationMethod, RandomVariable[], RandomVariable[], RandomVariable[], int, double, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticLevenbergMarquardtAD
StochasticLevenbergMarquardtAD(StochasticLevenbergMarquardt.RegularizationMethod, RandomVariable[], RandomVariable[], RandomVariable[], int, double, ExecutorService, boolean) - Constructor for class net.finmath.optimizer.StochasticLevenbergMarquardtAD
StochasticOptimizer - Interface in net.finmath.optimizer
StochasticOptimizer.ObjectiveFunction - Interface in net.finmath.optimizer: The interface describing the objective function of a StochasticOptimizer.
StochasticOptimizerFactory - Interface in net.finmath.optimizer
StochasticOptimizerFactoryLevenbergMarquardt - Class in net.finmath.optimizer
StochasticOptimizerFactoryLevenbergMarquardt(int, double, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardt
StochasticOptimizerFactoryLevenbergMarquardt(int, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardt
StochasticOptimizerFactoryLevenbergMarquardt(StochasticLevenbergMarquardt.RegularizationMethod, int, double, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardt
StochasticOptimizerFactoryLevenbergMarquardtAD - Class in net.finmath.optimizer
StochasticOptimizerFactoryLevenbergMarquardtAD(int, double, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardtAD
StochasticOptimizerFactoryLevenbergMarquardtAD(int, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardtAD
StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD - Class in net.finmath.optimizer
StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD(int, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD(int, RandomVariable, int) - Constructor for class net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
StochasticPathwiseLevenbergMarquardt - Class in net.finmath.optimizer: This class implements a stochastic Levenberg Marquardt non-linear least-squares fit algorithm.
StochasticPathwiseLevenbergMarquardt(List<RandomVariable>, List<RandomVariable>, int, int) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticPathwiseLevenbergMarquardt(List<RandomVariable>, List<RandomVariable>, int, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticPathwiseLevenbergMarquardt(RandomVariable[], RandomVariable[], int, int) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticPathwiseLevenbergMarquardt(RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], int, RandomVariable, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt: Create a Levenberg-Marquardt solver.
StochasticPathwiseLevenbergMarquardtAD - Class in net.finmath.optimizer: This class implements a stochastic Levenberg Marquardt non-linear least-squares fit algorithm.
StochasticPathwiseLevenbergMarquardtAD(List<RandomVariable>, List<RandomVariable>, int, int) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD
StochasticPathwiseLevenbergMarquardtAD(List<RandomVariable>, List<RandomVariable>, int, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD
StochasticPathwiseLevenbergMarquardtAD(RandomVariable[], RandomVariable[], int, int) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD
StochasticPathwiseLevenbergMarquardtAD(RandomVariable[], RandomVariable[], RandomVariable[], RandomVariable[], int, RandomVariable, ExecutorService) - Constructor for class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD
StochasticPathwiseOptimizerFactoryLevenbergMarquardt - Class in net.finmath.optimizer
StochasticPathwiseOptimizerFactoryLevenbergMarquardt(int, double, int) - Constructor for class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
StochasticPathwiseOptimizerFactoryLevenbergMarquardt(int, int) - Constructor for class net.finmath.optimizer.StochasticPathwiseOptimizerFactoryLevenbergMarquardt
sub(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
sub(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
sub(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
sub(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
sub(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
sub(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x - value to this random variable.
sub(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
sub(double) - Method in class net.finmath.stochastic.Scalar
sub(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
sub(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
sub(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
sub(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
sub(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
sub(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x-randomVariable to this random variable.
sub(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
sub(RandomVariable) - Method in class net.finmath.stochastic.Scalar
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
subRatio(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → x - numerator / denominator
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
subRatio(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
sumProduct(RandomVariableArray) - Method in interface net.finmath.stochastic.RandomVariableArray: Components wise product followed by sum of all elements.
sumProduct(RandomVariableArray) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
Swap - Class in net.finmath.marketdata.products: Implements the valuation of a swap using curves (discount curve, forward curve).
Swap - Class in net.finmath.marketdata2.products: Implements the valuation of a swap using curves (discount curve, forward curve).
Swap - Class in net.finmath.montecarlo.interestrate.products: Create a swap from schedules, notional, indices and spreads (fixed coupons).
Swap(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.Swap: Deprecated.
This constructor is deprecated. If you like to create a payer swap from fixingDates, paymentDates and swaprates use SimpleSwap.
Swap(AnalyticProduct, AnalyticProduct) - Constructor for class net.finmath.marketdata.products.Swap: Create a swap which values as legReceiver - legPayer.
Swap(AnalyticProduct, AnalyticProduct) - Constructor for class net.finmath.marketdata2.products.Swap: Create a swap which values as legReceiver - legPayer.
Swap(Notional, Schedule, AbstractIndex, double, Schedule, AbstractIndex, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Swap: Create a swap from schedules, notional, indices and spreads (fixed coupons).
Swap(TermStructureMonteCarloProduct, TermStructureMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.Swap: Create a swap which values as legReceiver - legPayer.
Swap(Schedule, double, String, Schedule, String, String) - Constructor for class net.finmath.marketdata.products.Swap: Creates a swap with notional exchange.
Swap(Schedule, String, double, String, Schedule, String, double, String) - Constructor for class net.finmath.marketdata.products.Swap: Creates a swap with notional exchange.
Swap(Schedule, String, double, String, Schedule, String, double, String) - Constructor for class net.finmath.marketdata2.products.Swap: Creates a swap with notional exchange.
Swap(Schedule, String, double, String, Schedule, String, double, String, boolean) - Constructor for class net.finmath.marketdata.products.Swap: Creates a swap with notional exchange.
Swap(Schedule, String, double, String, Schedule, String, double, String, boolean) - Constructor for class net.finmath.marketdata2.products.Swap: Creates a swap with notional exchange.
SwapAnnuity - Class in net.finmath.marketdata.products: Implements the valuation of a swap annuity using curves (discount curve).
SwapAnnuity - Class in net.finmath.marketdata2.products: Implements the valuation of a swap annuity using curves (discount curve).
SwapAnnuity(Schedule, String) - Constructor for class net.finmath.marketdata.products.SwapAnnuity: Creates a swap annuity for a given schedule and discount curve.
SwapAnnuity(Schedule, String) - Constructor for class net.finmath.marketdata2.products.SwapAnnuity: Creates a swap annuity for a given schedule and discount curve.
SwapLeg - Class in net.finmath.marketdata.products: Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).
SwapLeg - Class in net.finmath.marketdata2.products: Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).
SwapLeg - Class in net.finmath.montecarlo.interestrate.products
SwapLeg(LocalDateTime, Schedule, String, double[], double[], String, boolean) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg.
SwapLeg(Optional<LocalDateTime>, Schedule, String, double[], double[], String, boolean) - Constructor for class net.finmath.marketdata.products.SwapLeg: Deprecated.
SwapLeg(Optional<LocalDateTime>, Schedule, String, double, String) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Optional<LocalDateTime>, Schedule, String, double, String, String, boolean) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg.
SwapLeg(Schedule, String, double[], double[], String, boolean) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg.
SwapLeg(Schedule, String, double, String) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Schedule, String, double, String) - Constructor for class net.finmath.marketdata2.products.SwapLeg: Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Schedule, String, double, String, boolean) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg without notional reset.
SwapLeg(Schedule, String, double, String, boolean) - Constructor for class net.finmath.marketdata2.products.SwapLeg: Creates a swap leg without notional reset.
SwapLeg(Schedule, String, double, String, String, boolean) - Constructor for class net.finmath.marketdata.products.SwapLeg: Creates a swap leg.
SwapLeg(Schedule, String, double, String, String, boolean) - Constructor for class net.finmath.marketdata2.products.SwapLeg: Creates a swap leg.
SwapLeg(Schedule, Notional[], AbstractIndex, double[], boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.SwapLeg: Creates a swap leg.
SwapLeg(Schedule, Notional, AbstractIndex, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.SwapLeg: Creates a swap leg.
SwapLeg(Schedule, Notional, AbstractIndex, double, boolean, boolean, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.SwapLeg: Creates a swap leg.
SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapLegMonteCarlo: Create product from descriptor.
SwapLegWithFundingProvider - Class in net.finmath.montecarlo.interestrate.products
SwapLegWithFundingProvider(Schedule, double[], AbstractIndex, double[], FundingCapacity) - Constructor for class net.finmath.montecarlo.interestrate.products.SwapLegWithFundingProvider: Creates a swap leg.
SwapMonteCarlo(InterestRateSwapProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapMonteCarlo: Create product from descriptor.
SwaprateCovarianceAnalyticApproximation - Class in net.finmath.montecarlo.interestrate.products: This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.
SwaprateCovarianceAnalyticApproximation(double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation: Create the product implementing the analytic approximation of a swap rate covariance in a forward rate model.
Swaption - Class in net.finmath.montecarlo.interestrate.products: Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.
Swaption - Interface in net.finmath.modelling.products: A market interface for all swaption implementations and a holder for some product specific definitions.
Swaption(double, double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.Swaption: Create a swaption.
Swaption(double, double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.Swaption: Create a swaption.
Swaption(double, double[], double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.Swaption: Create a swaption.
Swaption(double, TimeDiscretization, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Swaption: Creates a swaption using a TimeDiscretizationFromArray
Swaption.ValueUnit - Enum in net.finmath.modelling.products: Swaptions specific value units, like swaption implied volatilities.
SwaptionAnalyticApproximation - Class in net.finmath.montecarlo.interestrate.products: This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionAnalyticApproximation(double, double[], Swaption.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionAnalyticApproximation(double, TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionAnalyticApproximationRebonato - Class in net.finmath.montecarlo.interestrate.products: This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionAnalyticApproximationRebonato(double, double[], Swaption.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionAnalyticApproximationRebonato(double, TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionATM - Class in net.finmath.montecarlo.interestrate.products: A lightweight ATM swaption product used for calibration.
SwaptionATM(double[], Swaption.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionATM
SwaptionATMMarketDataFromArray - Class in net.finmath.marketdata.model.volatilities: Simple swaption market data class.
SwaptionATMMarketDataFromArray(double[], double[], double, double[][]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
SwaptionATMMarketDataFromArray(ForwardCurve, DiscountCurve, double[], double[], double, double[][]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
SwaptionATMMarketDataFromArray(ForwardCurve, DiscountCurve, TimeDiscretization, TimeDiscretization, double, double[][]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionATMMarketDataFromArray
SwaptionDataLattice - Class in net.finmath.marketdata.model.volatilities: Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.
SwaptionDataLattice(LocalDate, SwaptionDataLattice.QuotingConvention, double, String, String, SchedulePrototype, SchedulePrototype, double[], double[], double[], double[]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Create the lattice with SwaptionDataLattice.QuotingConvention.PAYERVOLATILITYLOGNORMAL.
SwaptionDataLattice(LocalDate, SwaptionDataLattice.QuotingConvention, double, String, String, SchedulePrototype, SchedulePrototype, int[], int[], int[], double[]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Create the lattice with SwaptionDataLattice.QuotingConvention.PAYERVOLATILITYLOGNORMAL.
SwaptionDataLattice(LocalDate, SwaptionDataLattice.QuotingConvention, double, String, String, SchedulePrototype, SchedulePrototype, String[], int[], double[]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Create the lattice with SwaptionDataLattice.QuotingConvention.PAYERVOLATILITYLOGNORMAL.
SwaptionDataLattice(LocalDate, SwaptionDataLattice.QuotingConvention, String, String, SchedulePrototype, SchedulePrototype, double[], double[], double[], double[]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Create the lattice.
SwaptionDataLattice(LocalDate, SwaptionDataLattice.QuotingConvention, String, String, SchedulePrototype, SchedulePrototype, int[], int[], int[], double[]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Create the lattice.
SwaptionDataLattice(LocalDate, SwaptionDataLattice.QuotingConvention, String, String, SchedulePrototype, SchedulePrototype, String[], int[], double[]) - Constructor for class net.finmath.marketdata.model.volatilities.SwaptionDataLattice: Create the lattice.
SwaptionDataLattice.QuotingConvention - Enum in net.finmath.marketdata.model.volatilities: Quoting convention for swaption data in a lattice.
SwaptionFactory - Class in net.finmath.montecarlo.interestrate.products: A factory (helper class) to create swaptions extending AbstractLIBORMonteCarloProduct according to some (simplified) specifications.
SwaptionFromSwapSchedules - Class in net.finmath.montecarlo.interestrate.products: Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.
SwaptionFromSwapSchedules(LocalDateTime, SwaptionFromSwapSchedules.SwaptionType, LocalDate, Schedule, Schedule, double, double, Swaption.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
SwaptionFromSwapSchedules.SwaptionType - Enum in net.finmath.montecarlo.interestrate.products
SwaptionGeneralizedAnalyticApproximation - Class in net.finmath.montecarlo.interestrate.products: This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionGeneralizedAnalyticApproximation(double, double[], SwaptionGeneralizedAnalyticApproximation.ValueUnit, SwaptionGeneralizedAnalyticApproximation.StateSpace) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionGeneralizedAnalyticApproximation(double, TimeDiscretization, SwaptionGeneralizedAnalyticApproximation.StateSpace) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionGeneralizedAnalyticApproximation.StateSpace - Enum in net.finmath.montecarlo.interestrate.products
SwaptionGeneralizedAnalyticApproximation.ValueUnit - Enum in net.finmath.montecarlo.interestrate.products
SwaptionMarketData - Interface in net.finmath.marketdata.model.volatilities: Basic interface to be implemented by classes providing swaption market data.
SwaptionPhysicalMonteCarlo(InterestRateSwaptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo: Create product from descriptor.
SwaptionSimple - Class in net.finmath.montecarlo.interestrate.products: Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel
SwaptionSimple(double, double[], Swaption.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSimple: Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
SwaptionSimple(double, TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSimple: Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
SwaptionSingleCurve - Class in net.finmath.montecarlo.interestrate.products: 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.
SwaptionSingleCurve(double, double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve: Create a swaption.
SwaptionSingleCurve(double, double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve: Create a swaption.
SwaptionSingleCurve(double, TimeDiscretization, double) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve: Creates a swaption using a TimeDiscretizationFromArray
SwaptionSingleCurveAnalyticApproximation - Class in net.finmath.montecarlo.interestrate.products: This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionSingleCurveAnalyticApproximation(double, double[], Swaption.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionSingleCurveAnalyticApproximation(double, TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation: Create an analytic swaption approximation product for log normal forward rate model.
SwaptionWithComponents - Class in net.finmath.montecarlo.interestrate.products: Implements the pricing of a swap under a AbstractLIBORMarketModel
SwaptionWithComponents(double, double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SwaptionWithComponents
SwapWithComponents - Class in net.finmath.montecarlo.interestrate.products: Implements the pricing of a swap under a AbstractLIBORMarketModel
SwapWithComponents(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.SwapWithComponents

T

Tenor - Interface in net.finmath.time
TENOR - net.finmath.time.ScheduleGenerator.Frequency: A single period, i.e., the period is as long as from start to maturity.
TenorConverter - Class in net.finmath.marketdata.model.volatility.caplet.tenorconversion: This class implements a caplet volatility tenor converter.
TenorConverter(CorrelationProvider, int, int, double[], double[], double[][], CapTenorStructure, AnalyticModel, String, String, String) - Constructor for class net.finmath.marketdata.model.volatility.caplet.tenorconversion.TenorConverter: The constructor of the tenor conversion class
TenorFromArray - Class in net.finmath.time: Implements a time discretization based on dates using a reference date and an daycount convention / year fraction.
TenorFromArray(double[]) - Constructor for class net.finmath.time.TenorFromArray: Construct a tenor from a time discretization.
TenorFromArray(double, double, double, TimeDiscretizationFromArray.ShortPeriodLocation) - Constructor for class net.finmath.time.TenorFromArray: Construct a tenor from meta data.
TenorFromArray(double, int, double) - Constructor for class net.finmath.time.TenorFromArray: Construct a tenor from meta data.
TenorFromArray(Double[]) - Constructor for class net.finmath.time.TenorFromArray: Construct a tenor from a time discretization.
TenorFromArray(LocalDate[], LocalDate) - Constructor for class net.finmath.time.TenorFromArray
TERMINAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Measure
TERMINAL - net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Measure
TermStructCovarianceModelFromLIBORCovarianceModel - Class in net.finmath.montecarlo.interestrate.models.covariance
TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModel: Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.
TermStructCovarianceModelFromLIBORCovarianceModelParametric - Class in net.finmath.montecarlo.interestrate.models.covariance
TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScalingInterface, AbstractLIBORCovarianceModelParametric) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
TermStructureCovarianceModelInterface - Interface in net.finmath.montecarlo.interestrate.models.covariance: A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
TermStructureCovarianceModelParametric - Class in net.finmath.montecarlo.interestrate.models.covariance: A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
TermStructureCovarianceModelParametric() - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
TermStructureFactorLoadingsModelInterface - Interface in net.finmath.montecarlo.interestrate.models.covariance: A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
TermStructureFactorLoadingsModelParametricInterface - Interface in net.finmath.montecarlo.interestrate.models.covariance: A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
TermStructureModel - Interface in net.finmath.montecarlo.interestrate
TermStructureMonteCarloProduct - Interface in net.finmath.montecarlo.interestrate.products: Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class
TermStructureMonteCarloSimulationModel - Interface in net.finmath.montecarlo.interestrate
TermStructureTenorTimeScalingInterface - Interface in net.finmath.montecarlo.interestrate.models.covariance
TermStructureTenorTimeScalingPicewiseConstant - Class in net.finmath.montecarlo.interestrate.models.covariance
TermStructureTenorTimeScalingPicewiseConstant(TimeDiscretization, double[]) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
test(RandomVariable) - Method in class net.finmath.functions.JarqueBeraTest: Return the test statistic of the Jarque-Bera test for a given random variable.
TimeDiscreteEndOfMonthIndex - Class in net.finmath.montecarlo.interestrate.products.indices: 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.
TimeDiscreteEndOfMonthIndex(String, AbstractIndex, int) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex: Creates a time discrete index.
TimeDiscretization - Interface in net.finmath.time
TimeDiscretizationFromArray - Class in net.finmath.time: This class represents a set of discrete points in time.
TimeDiscretizationFromArray(double...) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from a given set of doubles.
TimeDiscretizationFromArray(double, double, double, TimeDiscretizationFromArray.ShortPeriodLocation) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs an equi-distant time discretization with stub periods at start or end.
TimeDiscretizationFromArray(double, int, double) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs an equi-distant time discretization with points timeDiscretizationFromArray[i] being for(i=0; i ≤ timeSteps; i++) timeDiscretizationFromArray[i] = initial + i * deltaT;
TimeDiscretizationFromArray(Double[]) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from a given set of Doubles.
TimeDiscretizationFromArray(Double[], double) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray(Iterable<Double>) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from an iterable of doubles.
TimeDiscretizationFromArray(Iterable<Double>, boolean) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from an iterable of doubles.
TimeDiscretizationFromArray(Iterable<Double>, double) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray(Iterable<Double>, double, boolean) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray(DoubleStream) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from a (non closed and not necessarily sorted) stream of doubles.
TimeDiscretizationFromArray(DoubleStream, boolean) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from a (non closed and not necessarily sorted) stream of doubles.
TimeDiscretizationFromArray(DoubleStream, double) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray(DoubleStream, double, boolean) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray(Stream<Double>) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization from a (non closed and not necessarily sorted) stream of boxed doubles.
TimeDiscretizationFromArray(Stream<Double>, double) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray(Stream<Double>, double, boolean) - Constructor for class net.finmath.time.TimeDiscretizationFromArray: Constructs a time discretization using the given tick size.
TimeDiscretizationFromArray.ShortPeriodLocation - Enum in net.finmath.time
TimeSeries - Interface in net.finmath.timeseries: Interface to be implemented by finite time series.
TimeSeriesFromArray - Class in net.finmath.timeseries: A discrete time series.
TimeSeriesFromArray(double[], double[]) - Constructor for class net.finmath.timeseries.TimeSeriesFromArray
TimeSeriesModelParametric - Interface in net.finmath.timeseries: A parametric time series model
TimeSeriesView - Class in net.finmath.timeseries: A time series created from a sup-interval of another time series.
TimeSeriesView(TimeSeries, int, int) - Constructor for class net.finmath.timeseries.TimeSeriesView
toDoubleArray() - Method in interface net.finmath.stochastic.RandomVariableArray
toString() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
toString() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
toString() - Method in class net.finmath.fouriermethod.models.BatesModel
toString() - Method in class net.finmath.fouriermethod.models.BlackScholesModel
toString() - Method in class net.finmath.fouriermethod.models.HestonModel
toString() - Method in class net.finmath.fouriermethod.models.MertonModel
toString() - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
toString() - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
toString() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
toString() - Method in class net.finmath.marketdata.model.bond.Bond
toString() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
toString() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
toString() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
toString() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
toString() - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
toString() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
toString() - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
toString() - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
toString() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
toString() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
toString() - Method in class net.finmath.marketdata.model.volatilities.OptionData
toString() - Method in class net.finmath.marketdata.model.volatilities.OptionSmileData
toString() - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
toString() - Method in class net.finmath.marketdata.products.Cap
toString() - Method in class net.finmath.marketdata.products.Deposit
toString() - Method in class net.finmath.marketdata.products.Performance
toString() - Method in class net.finmath.marketdata.products.Swap
toString() - Method in class net.finmath.marketdata.products.SwapAnnuity
toString() - Method in class net.finmath.marketdata.products.SwapLeg
toString() - Method in class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
toString() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
toString() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
toString() - Method in class net.finmath.marketdata2.model.curves.AbstractForwardCurve
toString() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
toString() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
toString() - Method in class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
toString() - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
toString() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
toString() - Method in class net.finmath.marketdata2.products.Deposit
toString() - Method in class net.finmath.marketdata2.products.Performance
toString() - Method in class net.finmath.marketdata2.products.Swap
toString() - Method in class net.finmath.marketdata2.products.SwapAnnuity
toString() - Method in class net.finmath.marketdata2.products.SwapLeg
toString() - Method in class net.finmath.modelling.UnsupportedProduct
toString() - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
toString() - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
toString() - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
toString() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
toString() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
toString() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
toString() - Method in class net.finmath.montecarlo.BrownianBridge
toString() - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
toString() - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
toString() - Method in class net.finmath.montecarlo.GammaProcess
toString() - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
toString() - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
toString() - Method in class net.finmath.montecarlo.interestrate.CalibrationProduct
toString() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
toString() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
toString() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
toString() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
toString() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
toString() - Method in class net.finmath.montecarlo.interestrate.products.Bond
toString() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
toString() - Method in class net.finmath.montecarlo.interestrate.products.components.Cashflow
toString() - Method in class net.finmath.montecarlo.interestrate.products.components.NotionalFromConstant
toString() - Method in class net.finmath.montecarlo.interestrate.products.components.Option
toString() - Method in class net.finmath.montecarlo.interestrate.products.components.Period
toString() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.MinIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceOnScheduleIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.PowIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex
toString() - Method in class net.finmath.montecarlo.interestrate.products.LIBORBond
toString() - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
toString() - Method in class net.finmath.montecarlo.interestrate.products.Swap
toString() - Method in class net.finmath.montecarlo.interestrate.products.Swaption
toString() - Method in class net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules
toString() - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSimple
toString() - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
toString() - Method in class net.finmath.montecarlo.JumpProcessIncrements
toString() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
toString() - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
toString() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
toString() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
toString() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
toString() - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration.SwaptionInfo
toString() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration.SwaptionInfo
toString() - Method in class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey
toString() - Method in class net.finmath.singleswaprate.data.DataTableBasic
toString() - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
toString() - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
toString() - Method in class net.finmath.singleswaprate.data.DataTableLight
toString() - Method in class net.finmath.singleswaprate.data.DataTableLinear
toString() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
toString() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
toString() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
toString() - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
toString() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny
toString() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
toString() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
toString() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
toString() - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
toString() - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
toString() - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC
toString() - Method in class net.finmath.time.Period
toString() - Method in class net.finmath.time.ScheduleFromPeriods
toString() - Method in class net.finmath.time.TenorFromArray
toString() - Method in class net.finmath.time.TimeDiscretizationFromArray
toString(double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
toString(double) - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
toString(double) - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
toString(double) - Method in class net.finmath.singleswaprate.data.DataTableLight: Transforms the table into a human readable String.
toString(double) - Method in class net.finmath.singleswaprate.data.DataTableLinear
transpose(double[][]) - Static method in class net.finmath.functions.LinearAlgebra: Transpose a matrix
TrapezoidalRealIntegrator - Class in net.finmath.integration: A simple integrator using the trapezoidal rule.
TrapezoidalRealIntegrator(double, double, double[]) - Constructor for class net.finmath.integration.TrapezoidalRealIntegrator: Create an integrator using the trapezoidal rule.
TrapezoidalRealIntegrator(double, double, int) - Constructor for class net.finmath.integration.TrapezoidalRealIntegrator: Create an integrator using the trapezoidal rule and an equi-distant grid of evaluation points.
TriggerIndex - Class in net.finmath.montecarlo.interestrate.products.indices: A trigger index.
TriggerIndex(AbstractProductComponent, AbstractProductComponent, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex: Creates the function trigger(t) ≥ 0.0 ? indexIfTriggerIsPositive(t) : indexIfTriggerIsNegative(t)

U

U30_360 - net.finmath.time.ScheduleGenerator.DaycountConvention: See DayCountConvention_30U_360.
UNADJUSTED - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
Unconstrained - Class in net.finmath.fouriermethod.calibration: Absence of constraints.
Unconstrained() - Constructor for class net.finmath.fouriermethod.calibration.Unconstrained
union(TimeDiscretization) - Method in interface net.finmath.time.TimeDiscretization: Returns the union of this time discretization with another one.
union(TimeDiscretization) - Method in class net.finmath.time.TimeDiscretizationFromArray
UnsupportedIndex - Class in net.finmath.montecarlo.interestrate.products.indices: An index throwing an exception if his getValue method is called.
UnsupportedIndex(Exception) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex: Creates an unsupported index throwing an exception if his getValue method is called.
UnsupportedIndex(String, Exception) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex: Creates an unsupported index throwing an exception if his getValue method is called.
UnsupportedProduct - Class in net.finmath.modelling: A product throwing an exception if its getValue method is called.
UnsupportedProduct(Exception) - Constructor for class net.finmath.modelling.UnsupportedProduct: Creates an unsupported product throwing an exception if its getValue method is called.
UP_IN - net.finmath.functions.BarrierOptions.BarrierType
UP_OUT - net.finmath.functions.BarrierOptions.BarrierType
upgradeDataTableLight(DataTableLight, LocalDate, SchedulePrototype) - Static method in class net.finmath.singleswaprate.data.DataTableBasic: Create a DataTableBasic by upgrading a DataTableLight to allow access via double representation.
UPPER_BOUND_METHOD - net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption.ExerciseMethod
UPPER_BOUND_METHOD - net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption.ExerciseMethod
USD - net.finmath.marketdata.model.volatility.caplet.CapTenorStructure
Utils - Class in net.finmath.singleswaprate: A collection of utility methods for dealing with the net.finmath.singleswaprate package.
Utils() - Constructor for class net.finmath.singleswaprate.Utils

V

value(double) - Method in class net.finmath.optimizer.GoldenSectionSearch
VALUE - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationEntity: Interpolation is performed on the native point values, i.e.
VALUE - net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationEntity: Interpolation is performed on the native point values, i.e.
VALUE - net.finmath.modelling.products.Swaption.ValueUnit: Returns the value of the swaption.
VALUE - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit
VALUE - net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.ValueUnit: Returns the value of the swaption
valueCall(double, VolatilityCubeModel, double) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Value of a call option on the swap rate.
valueOf(String) - Static method in enum net.finmath.functions.BarrierOptions.BarrierType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.bond.BondCurve.Type: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationEntity: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation.Distribution: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata.model.volatility.caplet.CapTenorStructure: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationEntity: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.marketdata2.model.volatilities.VolatilitySurface.QuotingConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.modelling.products.Swaption.ValueUnit: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.assetderivativevaluation.models.HestonModel.Scheme: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption.ExerciseMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption.ExerciseMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio.HedgeStrategy: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Driftapproximation: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.InterpolationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Measure: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.StateSpace: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Driftapproximation: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Measure: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement.Driftapproximation: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules.SwaptionType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules.SwaptionType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.StateSpace: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.ValueUnit: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.montecarlo.templatemethoddesign.LogNormalProcess.Scheme: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.optimizer.LevenbergMarquardt.RegularizationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.optimizer.StochasticLevenbergMarquardt.RegularizationMethod: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.singleswaprate.data.DataTable.TableConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.time.ScheduleGenerator.DaycountConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.time.ScheduleGenerator.Frequency: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.time.ScheduleGenerator.ShortPeriodConvention: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.time.TimeDiscretizationFromArray.ShortPeriodLocation: Returns the enum constant of this type with the specified name.
valuePut(double, VolatilityCubeModel, double) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct: Value of a put option on the swap rate.
values() - Static method in enum net.finmath.functions.BarrierOptions.BarrierType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.bond.BondCurve.Type: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationEntity: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation.Distribution: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.volatilities.SwaptionDataLattice.QuotingConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata.model.volatility.caplet.CapTenorStructure: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationEntity: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.model.curves.CurveInterpolation.InterpolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.marketdata2.model.volatilities.VolatilitySurface.QuotingConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.modelling.products.Swaption.ValueUnit: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.assetderivativevaluation.models.HestonModel.Scheme: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption.ExerciseMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption.ExerciseMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio.HedgeStrategy: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Driftapproximation: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.InterpolationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Measure: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.StateSpace: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Driftapproximation: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Measure: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement.Driftapproximation: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules.SwaptionType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.products.SwaptionFromSwapSchedules.SwaptionType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.StateSpace: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.ValueUnit: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.montecarlo.templatemethoddesign.LogNormalProcess.Scheme: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.optimizer.LevenbergMarquardt.RegularizationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.optimizer.StochasticLevenbergMarquardt.RegularizationMethod: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.singleswaprate.data.DataTable.TableConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.time.ScheduleGenerator.DaycountConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.time.ScheduleGenerator.Frequency: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.time.ScheduleGenerator.ShortPeriodConvention: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.time.TimeDiscretizationFromArray.ShortPeriodLocation: Returns an array containing the constants of this enum type, in the order they are declared.
VanDerCorputSequence - Class in net.finmath.randomnumbers: A van-der-Corput sequence $ \{ x_{i} \vert i = 0, 1, \ldots \} $ implementing RandomNumberGenerator1D.
VanDerCorputSequence(int) - Constructor for class net.finmath.randomnumbers.VanDerCorputSequence
VanDerCorputSequence(int, int) - Constructor for class net.finmath.randomnumbers.VanDerCorputSequence: Create a van-der-Corput sequence for a given start index and base.
variance() - Method in interface net.finmath.stochastic.RandomVariable: Returns a random variable which is deterministic and corresponds the variance of this random variable.
VarianceGammaModel - Class in net.finmath.fouriermethod.models: Implements the characteristic function of a Variance Gamma model.
VarianceGammaModel - Class in net.finmath.montecarlo.assetderivativevaluation.models: 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.
VarianceGammaModel(double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Construct a Variance Gamma model with constant rates for the forward price (i.e.
VarianceGammaModel(double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.VarianceGammaModel: Construct a Variance Gamma model with constant rates for the forward price (i.e.
VarianceGammaModel(double, double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Construct a Variance Gamma model with constant rates for the forward price (i.e.
VarianceGammaModel(double, DiscountCurve, DiscountCurve, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Construct a Variance Gamma model with discount curves for the forward price (i.e.
VarianceGammaModel(double, DiscountCurve, DiscountCurve, double, double, double, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Construct a Variance Gamma model with discount curves for the forward price (i.e.
VarianceGammaModel(LocalDate, double, DiscountCurve, DiscountCurve, double, double, double) - Constructor for class net.finmath.fouriermethod.models.VarianceGammaModel: Construct a Variance Gamma model with discount curves for the forward price (i.e.
VarianceGammaModel(VarianceGammaModelDescriptor) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Create the model from a descriptor.
VarianceGammaModel(RandomVariable, DiscountCurve, DiscountCurve, RandomVariable, RandomVariable, RandomVariable, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Construct a Variance Gamma model with discount curves for the forward price (i.e.
VarianceGammaModel(RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariable, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel: Construct a Variance Gamma model with constant rates for the forward price (i.e.
VarianceGammaModelDescriptor - Class in net.finmath.modelling.descriptor
VarianceGammaModelDescriptor(LocalDate, Double, DiscountCurve, DiscountCurve, double, double, double) - Constructor for class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
VarianceGammaProcess - Class in net.finmath.montecarlo: Implementation of a time-discrete n-dimensional Variance Gamma process via Brownian subordination through a Gamma Process.
VarianceGammaProcess(double, double, double, TimeDiscretization, int, int, int) - Constructor for class net.finmath.montecarlo.VarianceGammaProcess
varianceOfStockPrice(double) - Method in class net.finmath.finitedifference.models.FDMBlackScholesModel
varianceOfStockPrice(double) - Method in class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
varianceOfStockPrice(double) - Method in interface net.finmath.finitedifference.models.FiniteDifference1DModel
version() - Method in class net.finmath.modelling.descriptor.AnalyticModelDescriptor
version() - Method in class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
version() - Method in class net.finmath.modelling.descriptor.HestonModelDescriptor
version() - Method in class net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
version() - Method in class net.finmath.modelling.descriptor.InterestRateSwapProductDescriptor
version() - Method in class net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
version() - Method in class net.finmath.modelling.descriptor.MertonModelDescriptor
version() - Method in class net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor
version() - Method in class net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor
version() - Method in class net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
version() - Method in interface net.finmath.modelling.ModelDescriptor: Return the version of the model description.
version() - Method in interface net.finmath.modelling.ProductDescriptor: Return the version of the model description.
vid(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
vid(double) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → value / x to this random variable.
vid(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
vid(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
vid(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
vid(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
vid(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
vid(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable: Applies x → randomVariable/x to this random variable.
vid(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
vid(RandomVariable) - Method in class net.finmath.stochastic.Scalar
VOLATILITY - net.finmath.modelling.products.Swaption.ValueUnit: Deprecated.
Use VOLATILITYLOGNORMAL instead
VOLATILITY - net.finmath.montecarlo.interestrate.products.Caplet.ValueUnit: Deprecated.
Use LOGNORMALVOLATILITY
VOLATILITY - net.finmath.montecarlo.interestrate.products.SwaptionGeneralizedAnalyticApproximation.ValueUnit: Returns the Black-Scholes implied volatility, i.e., σ
volatilityConversionLognormalATMtoNormalATM(double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Exact conversion of displaced lognormal ATM volatility to normal ATM volatility.
volatilityConversionLognormalToNormal(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas: Numerical conversion of displaced lognormal volatility to normal volatility.
VolatilityCube - Interface in net.finmath.singleswaprate.model.volatilities: Interface to be implemented by classes providing a volatility cube for a VolatilityCubeModel.
VolatilityCubeFactory - Class in net.finmath.singleswaprate.model.volatilities: A factory for all volatility cubes, based on common input.
VolatilityCubeFactory(LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, double, double, double, double, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory: Create the factory.
VolatilityCubeModel - Interface in net.finmath.singleswaprate.model: A collection of objects representing analytic valuations.
VOLATILITYLOGNORMAL - net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention
VOLATILITYLOGNORMAL - net.finmath.marketdata2.model.volatilities.VolatilitySurface.QuotingConvention
VOLATILITYLOGNORMAL - net.finmath.modelling.products.Swaption.ValueUnit: Returns the Black-Scholes implied volatility, i.e., σ.
VOLATILITYNORMAL - net.finmath.marketdata.model.volatilities.VolatilitySurface.QuotingConvention
VOLATILITYNORMAL - net.finmath.marketdata2.model.volatilities.VolatilitySurface.QuotingConvention
VOLATILITYNORMAL - net.finmath.modelling.products.Swaption.ValueUnit: Returns the Bachelier implied volatility, i.e., σ.
VOLATILITYNORMALATM - net.finmath.modelling.products.Swaption.ValueUnit: The Bachelier implied volatility, assuming an ATM option.
VolatilitySurface - Interface in net.finmath.marketdata.model.volatilities: Interface for classes representing a volatility surface, i.e.
VolatilitySurface - Interface in net.finmath.marketdata2.model.volatilities: Interface for classes representing a volatility surface, i.e.
VolatilitySurface.QuotingConvention - Enum in net.finmath.marketdata.model.volatilities: Quoting conventions.
VolatilitySurface.QuotingConvention - Enum in net.finmath.marketdata2.model.volatilities: Quoting conventions.
VolVolCube - Class in net.finmath.singleswaprate.model.volatilities: 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.
VolVolCube(String, LocalDate, String, Schedule, double[]) - Constructor for class net.finmath.singleswaprate.model.volatilities.VolVolCube: Create the volvol cube.

W

WEEKLY - net.finmath.time.ScheduleGenerator.Frequency: Weekly periods.
WEEKS - net.finmath.singleswaprate.data.DataTable.TableConvention
WEEKS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit
WorstOfExpressCertificate - Class in net.finmath.montecarlo.hybridassetinterestrate.products
WorstOfExpressCertificate(double, double[], double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
writeObject(File, Object) - Static method in class net.finmath.util.FileUtilities

X

XMLParser - Interface in net.finmath.modelling.descriptor.xmlparser: Interface for XML parsers creating a product descriptor from an XML file.

Y

YEAR - net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType
YEARS - net.finmath.singleswaprate.data.DataTable.TableConvention
YEARS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit

Z

ZERO - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the zero rate
ZERO - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward: Interpolation is performed on the zero rate
ZERO - net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod
ZERORATE_DISCOUNTFACTOR - net.finmath.marketdata.model.bond.BondCurve.Type
ZERORATE_ZERORATE - net.finmath.marketdata.model.bond.BondCurve.Type

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