finMath.net

Contents

Library

For details see finmath-lib site.

Version 1.2.46 of finmath-lib may be download as finmath-lib-1.2.46.zip.

The library is part of the maven central repository.

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

Laboratory (Spreadsheets, Applets and Demos using finmath lib)

For details see spreadsheets page. 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).

Documentation

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