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.