Module net.finmath.lib

Package net.finmath.marketdata2.products

Provides interface specification and implementation of products, e.g., calibration products. Products can be valued using the model (which provides valuation curves).

Author:

Christian Fries

Interface Summary

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

Class Summary

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