About finmath lib
Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
The finmath lib libraries provides implementations of methodologies related to mathematical finance, but applicable to other fields. Examples are
- General numerical algorithms like
- Generation of random numbers
- Optimization (a Levenberg–Marquardt algorithm is provided)
- Monte-Carlo simulation of multi-dimensional, multi-factor stochastic differential equations (SDEs)
- LIBOR Market Model
- Black Scholes type multi-asset model (multi-factor, multi-dimensional geometric Brownian motion)
- Equity Hybrid LIBOR Market Model
- Hull-White Short Rate Model (with time dependent parameters)
- Merton Model (as Monte-Carlo Simulation)
- Heston Model (as Monte-Carlo Simulation)
- Estimation of conditional expectations in a Monte-Carlo framework
- Calibration of market data objects like curves (discount and forward curve) or volatility surfaces
- Various interpolation methods (linear, cubic spline, harmonic spline, Akima).
- Various interpolation entities (value, log-value, rate, etc.).
- Parametric curves like Nelson-Siegel and Nelson-Siegel-Svensson.
- Simulation of interest rate term structure models (LIBOR market model with local and stochastic volatility)
- Calibration of the LIBOR market model
- Valuation of complex derivatives (e.g. Bermudan/multi-callables)
- Hedge Simulation
The libraries have a focus on Monte-Carlo methods, interest rate products and models and hybrid models.
finmath lib is now on Java 8 (since February 2nd, 2014), but a Java 6 version is provided too.
Note: for convenience the provided Eclipse project is configured for Java 6. The maven pom defaults to Java 6. To build the Java 8 version use the profile “java-8”, i.e. the maven command line option “-P java-8”
finmath lib is distributed through the central maven repository. It’s coordinates are:
For the Java 6 version:
For the Java 8 version:
The code of “finmath lib” and “finmath experiments” (packages net.finmath.*) are distributed under the Apache License version 2.0, unless otherwise explicitly stated.
For documentation please check out