Module net.finmath.lib

Package net.finmath.modelling.productfactory

Provides classes to build products from descriptors.

Author:

Christian Fries, Roland Bachl

Class Summary

Class	Description
InterestRateAnalyticProductFactory	Product factory of interest rate derivatives for use with an analytic model.
InterestRateMonteCarloProductFactory	Product factory of interest rate derivatives for use with a Monte-Carlo method based model.
InterestRateMonteCarloProductFactory.SwapLegMonteCarlo	Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
InterestRateMonteCarloProductFactory.SwapMonteCarlo	Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo	Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.
ProductFactoryCascade<T extends ProductDescriptor>	Implements a product factory based on a cascade of given factories.
SingleAssetFourierProductFactory	Product factory of single asset derivatives for use with a Fourier method based model.
SingleAssetFourierProductFactory.DigitalOptionFourierMethod	Fourier method based implementation of a digital option from a product descriptor.
SingleAssetFourierProductFactory.EuropeanOptionFourierMethod	Fourier method based implementation of a European option from a product descriptor.
SingleAssetMonteCarloProductFactory	Product factory of single asset derivatives for use with a Monte-Carlo method based model.
SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo	Monte-Carlo method based implementation of a digital option from a product descriptor.
SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo	Monte-Carlo method based implementation of a European option from a product descriptor.