Uses of Interface
net.finmath.fouriermethod.CharacteristicFunction

Packages that use CharacteristicFunction

Package	Description
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.fouriermethod.products.smile	Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.

Uses of CharacteristicFunction in net.finmath.fouriermethod.models

Methods in net.finmath.fouriermethod.models that return CharacteristicFunction

Modifier and Type	Method	Description
CharacteristicFunction	BatesModel.apply(double time)
CharacteristicFunction	BlackScholesModel.apply(double time)
CharacteristicFunction	CharacteristicFunctionModel.apply(double time)	Returns the characteristic function of X(t), where X is this stochastic process.
CharacteristicFunction	HestonModel.apply(double time)
CharacteristicFunction	MertonModel.apply(double time)
CharacteristicFunction	VarianceGammaModel.apply(double time)

Uses of CharacteristicFunction in net.finmath.fouriermethod.products

Classes in net.finmath.fouriermethod.products that implement CharacteristicFunction

Modifier and Type	Class	Description
class	AbstractFourierTransformProduct
class	DigitalOption	Implements valuation of a European option on a single asset.
class	EuropeanOption	Implements valuation of a European option on a single asset.

Uses of CharacteristicFunction in net.finmath.fouriermethod.products.smile

Subinterfaces of CharacteristicFunction in net.finmath.fouriermethod.products.smile

Modifier and Type	Interface	Description
interface	SmileByIntegralTransform	Base interface for Fourier-based valuations.

Classes in net.finmath.fouriermethod.products.smile that implement CharacteristicFunction

Modifier and Type	Class	Description
class	EuropeanOptionSmile	This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
class	EuropeanOptionSmileByCarrMadan	This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.

Uses of CharacteristicFunction in net.finmath.modelling.productfactory

Classes in net.finmath.modelling.productfactory that implement CharacteristicFunction

Modifier and Type	Class	Description
static class	SingleAssetFourierProductFactory.DigitalOptionFourierMethod	Fourier method based implementation of a digital option from a product descriptor.
static class	SingleAssetFourierProductFactory.EuropeanOptionFourierMethod	Fourier method based implementation of a European option from a product descriptor.