finmath-lib kotlin

Convenient method aliases for finmath lib.

A main objective of this project is to build a bridge from a Kotlin project to finmath-lib to allow for cleaner, more concise Kotlin code when using finmath-lib.

For example, since Kotlin allows for method names being symbols like + or - instead of add and sub, by importing

import net.finmath.kotlin.stochastic.*

you may write Kotlin code like

	val underlying = initialValue * exp(drift + diffusion)
	val payoff = max(underlying - strike, 0.0)
	val value = expectation(payoff * Math.exp(-riskFreeRate * optionMaturity))

instead of

	val underlying = diffusion.add(drift).exp().mult(initialValue)
	val payoff = underlying.sub(strike).floor(0.0)
	val value = payoff.mult(Math.exp(-riskFreeRate * optionMaturity)).average()

where diffusion is an object of type net.finmath.stochastic.RandomVariable.

Distribution

finmath-lib-kotlin is distributed through the central Maven repository. It’s coordinates are:

<groupId>net.finmath</groupId>
<artifactId>finmath-lib-kotlin</artifactId>
<version>5.0.5</version>

References

finmath lib Project documentation provides the documentation of the library api.
finmath lib API documentation provides the documentation of the library api.
finmath.net special topics cover some selected topics with demo spreadsheets and uml diagrams. Some topics come with additional documentations (technical papers).

License

The code of “finmath lib”, “finmath experiments” and “finmath lib cuda extensions” and “finmath lib plot extensions” and “finmath lib kotlin” (packages net.finmath.*) are distributed under the Apache License version 2.0, unless otherwise explicitly stated.