finMath.net

Contents

At finmath.net you find algorithms and methodologies related to mathematical finance:

Library (Download)

Version 1.2.14 of finmath-lib may be download as finmath-lib-1.2.14.zip.

Maven repository with current and previous releases: mvn.finmath.net.

The material is released under the license contained in LICENSE.txt. See also the file NOTICE.txt.

Compatibility and Requirements

finmath lib is now on Java 8 (since February 2nd, 2014), but a Java 6 version is provided too.

Note: For convenience the Eclipse project file provided is configured to use the Java 6 code base and the maven pom defaults to the Java 6 code base.
To build the Java 8 version use the profile "java-8", i.e. the maven command line option "-P java-8"

Laboratory (Spreadsheets, Applets and Demos using finmath lib)

Spreadsheets providing methodologies from mathematical finance (using finmath lib). Examples:
Interest Rate Curve Calibration
The sheet calibrates a set of different curves (including discounting curves (e.g., OIS) and forward curves) from swaps.
LIBOR Market Model
The sheet allows to create a LIBOR market model calibrated to a given forward curve and given swaptions. The parametrised volatility and correlation can be inspected. Generated interest rate scenarios can ben extracted.
More...
More sheets related to methodologies from mathematical finance.
Java Applets illustrating some topics from mathematical finance (using finmath lib).

Source Code (Subversion and Git Repositories)

Projects

Source code is provided in the form of two projects (including project files for the Eclipse IDE):

  1. finmath lib, representing the core mathematical finance library, and
  2. finmath experiments, providing examples for using the library and unit tests.

Repositories

Source code is provided via a subversion repository and Github.

Documentation

Java doc API description.
References to documentation of the methodology and theoretical background.