finmath lib (6.0.2) documentation
Package
Description
Provides helper classes related to concurrent programming.
Provides classes related to exception handling.
Algorithms using finite differences methods.
Algorithms using finite differences methods.
Models provided for finite difference solvers.
Product valuation code for models using backward propagation.
Finite difference solvers
Provides algorithms related to derivative valuation via
a models characteristic functions and Fourier transforms of a products payoffs.
Classes related to the calibration of Fourier models.
Classes related to the calibration of fourier models.
Provides characteristic functions of stochastic processes (models).
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to
the corresponding product value.
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
Provides information about the library (e.g.
Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration.
Basic methodologies to interpolate of curves and surfaces are provided here.
Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides classes related to the modeling of Bond curves.
Provides classes related to the valuations of CDS.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Algorithms related to caplet smile interpolation.
Algorithms related to caplet tenor conversion.
Provides interface specification and implementation of products, e.g., calibration products.
Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
Basic methodologies to interpolate of curves and surfaces are provided here.
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface separating models and products.
Provides interface separating implementation from specification (of models and products)
Provides xml parsers to construct descriptors from XML
Provides classes to build models from descriptors.
Provides classes to build products from descriptors.
Interface and base classes related to products.
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.
Monte-Carlo models for asset value processes, like the Black Scholes model.
Equity models implementing
ProcessModel
e.g.Products which may be valued using an
AssetModelMonteCarloSimulationModel.Provides classes adding automatic differentiation capabilities to objects relying on RandomVariable objects.
Provides the implementation of backward automatic differentiation.
Provides the implementation of forward automatic differentiation.
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
Provides classes for Cross-Currency models to be implemented via Monte-Carlo
algorithms from
net.finmath.montecarlo.process.Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process.Interest rate models implementing
ProcessModel
e.g.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.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.Provides a set product components which allow to build financial products by composition.
Provides a set of indices which can be used as part of a period.
Simplified version of Monte-Carlo interest rate model - LIBOR Market Model.
Provides an interface and a base class for process models, i.e., models providing the parameters for
stochastic processes.
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
Components providing the barrier in the Monte-Carlo simulation with barrier.
Components providing the factor drift in the simulation of a proxy simulation scheme.
Products which are model independent, but assume a Monte-Carlo simulation.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
This package provides classes with numerical algorithm for optimization of
an objective function and a factory to easy construction of the optimizers.
Contains classes for parsing files.
Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.
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.
Classes providing options for the annuity mapping function.
Classes providing calibration to market data of volatility cubes.
Provides classes to store and interact with market data.
Classes extending the regular analytic model, see
net.finmath.marketdata.model, with the capacity to hold volatility cubes,
see VolatilityCube.Additional curves for use in an analytic model,
AnalyticModel.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.
Provides interface specification and implementation of product based on a single interest rate curve.
Interfaces specifying operations on random variables.
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
Provides business day calendars, e.g., as used in date roll conventions.
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
Provides classes related to time series modeling and estimation, e.g.
Classes related to estimation of time series.
Provides utility classes.