Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.- Author:
- Christian Fries
-
Interface Summary Interface Description TermStructureMonteCarloProduct Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class -
Class Summary Class Description AbstractLIBORMonteCarloProduct Base class for products requiring an LIBORModelMonteCarloSimulationModel as base classBermudanSwaption Implements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModel
BermudanSwaptionFromSwapSchedules Implements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModel
Bond This class implements the valuation of a zero coupon bond.CancelableSwap Implements the pricing of a cancelable swap under aLIBORModelMonteCarloSimulationModel
Caplet Implements the pricing of a Caplet using a givenAbstractLIBORMarketModel
.CMSOption Implements the valuation of an option on a CMS rate.DigitalCaplet Implements the valuation of a digital caplet using a givenLIBORModelMonteCarloSimulationModel
.DigitalFloorlet Implements the pricing of a digtal floorlet using a givenLIBORModelMonteCarloSimulationModel
.FlexiCap This class implements the valuation of a Flexi Cap (aka Auto Cap).ForwardRateVolatilitySurfaceCurvature This class implements the calculation of the curvature of the volatility surface of the forward rates.LIBORBond This class implements the valuation of a zero (forward) bond on the models forward rate curve.MoneyMarketAccount Implements the valuation of a money market account.Portfolio Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.SimpleCappedFlooredFloatingRateBond SimpleSwap Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModelSimpleZeroSwap Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.Swap Create a swap from schedules, notional, indices and spreads (fixed coupons).SwapLeg SwapLegWithFundingProvider SwaprateCovarianceAnalyticApproximation This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.Swaption Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.SwaptionAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionAnalyticApproximationRebonato This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionATM A lightweight ATM swaption product used for calibration.SwaptionFactory A factory (helper class) to create swaptions extendingAbstractLIBORMonteCarloProduct
according to some (simplified) specifications.SwaptionFromSwapSchedules Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.SwaptionGeneralizedAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionSimple Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModelSwaptionSingleCurve 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.SwaptionSingleCurveAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionWithComponents Implements the pricing of a swap under a AbstractLIBORMarketModelSwapWithComponents Implements the pricing of a swap under a AbstractLIBORMarketModel