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A

abs() - Method in class net.finmath.montecarlo.RandomVariable
 
abs() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
abs() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
abs() - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → Math.abs(x), i.e. x → |x| to this random variable.
abs() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
AbstractAnalyticProduct - Class in net.finmath.marketdata.products
 
AbstractAnalyticProduct() - Constructor for class net.finmath.marketdata.products.AbstractAnalyticProduct
 
AbstractAssetMonteCarloProduct - Class in net.finmath.montecarlo.assetderivativevaluation.products
Base calls for product that need an AbstractLIBORMarketModel as base class
AbstractAssetMonteCarloProduct() - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
 
AbstractCurve - Class in net.finmath.marketdata.model.curves
Abstract base class for a curve.
AbstractCurve(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.AbstractCurve
 
AbstractForwardCurve - Class in net.finmath.marketdata.model.curves
Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, double, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve
/** Construct a base forward curve with a reference date and a payment offset.
AbstractIndex - Class in net.finmath.montecarlo.interestrate.products.indices
Base class for indices.
AbstractIndex(String, String) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Initialize name and currency of an index.
AbstractIndex(String) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Initialize the name of an index.
AbstractIndex() - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Initialize an abstract index which does not have a dedicated name or currency, e.g. a function of other indicies.
AbstractLIBORCovarianceModel - Class in net.finmath.montecarlo.interestrate.modelplugins
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
AbstractLIBORCovarianceModel(TimeDiscretizationInterface, TimeDiscretizationInterface, int) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORCovarianceModelParametric - Class in net.finmath.montecarlo.interestrate.modelplugins
Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
AbstractLIBORCovarianceModelParametric(TimeDiscretizationInterface, TimeDiscretizationInterface, int) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORMonteCarloProduct - Class in net.finmath.montecarlo.interestrate.products
Base calls for product that need an AbstractLIBORMarketModel as base class
AbstractLIBORMonteCarloProduct(String) - Constructor for class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
 
AbstractLIBORMonteCarloProduct() - Constructor for class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
 
AbstractModel - Class in net.finmath.montecarlo.model
This class is an abstract base class to implement a model provided to an AbstractProcess.
AbstractModel() - Constructor for class net.finmath.montecarlo.model.AbstractModel
 
AbstractModelInterface - Interface in net.finmath.montecarlo.model
The interface for a model of a stochastic process X where X = f(Y) and
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().
AbstractMonteCarloProduct - Class in net.finmath.montecarlo
Base class for products requiring an MonteCarloSimulationInterface for valuation.
AbstractMonteCarloProduct(String) - Constructor for class net.finmath.montecarlo.AbstractMonteCarloProduct
 
AbstractMonteCarloProduct() - Constructor for class net.finmath.montecarlo.AbstractMonteCarloProduct
 
AbstractNotional - Interface in net.finmath.montecarlo.interestrate.products.components
Base class for notional classes.
AbstractPeriod - Class in net.finmath.montecarlo.interestrate.products.components
Base class for a period.
AbstractPeriod(double, double, double, double, AbstractNotional, AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
Initialize basic properties of the period.
AbstractPeriod(double, double, double, double, AbstractNotional, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.
AbstractProcess - Class in net.finmath.montecarlo.process
This class is an abstract base class to implement a multi-dimensional multi-factor Ito process.
AbstractProcess(TimeDiscretizationInterface) - Constructor for class net.finmath.montecarlo.process.AbstractProcess
Create a discretization scheme / a time discrete process.
AbstractProcessInterface - Interface in net.finmath.montecarlo.process
The interface for a process (numerical scheme) of a stochastic process X where X = f(Y) and Y is an Itô process
\[ dY_{j} = \mu_{j} dt + \lambda_{1,j} dW_{1} + \ldots + \lambda_{m,j} dW_{m} \] The parameters are provided by a model implementing AbstractModelInterface: The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().
AbstractProductComponent - Class in net.finmath.montecarlo.interestrate.products.components
Base class for product components.
AbstractProductComponent(String) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
 
AbstractProductComponent() - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
 
AbstractProductFourierTransform - Class in net.finmath.fouriermethod.products
 
AbstractProductFourierTransform() - Constructor for class net.finmath.fouriermethod.products.AbstractProductFourierTransform
 
AbstractRandomVariableFactory - Class in net.finmath.montecarlo
 
AbstractRandomVariableFactory() - Constructor for class net.finmath.montecarlo.AbstractRandomVariableFactory
 
AbstractRealIntegral - Class in net.finmath.integration
A real integral with lower and upper integration bounds.
AbstractRealIntegral(double, double) - Constructor for class net.finmath.integration.AbstractRealIntegral
Create a real integral with lower and upper integration bounds.
AbstractRootFinder - Class in net.finmath.rootfinder
 
AbstractRootFinder() - Constructor for class net.finmath.rootfinder.AbstractRootFinder
 
AbstractSwaptionMarketData - Interface in net.finmath.marketdata.model.volatilities
Basic interface to be implemented by classes providing swaption market data.
AbstractVolatilitySurface - Class in net.finmath.marketdata.model.volatilities
Abstract base class for a volatility surface.
AbstractVolatilitySurface(String, LocalDate) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
AbstractVolatilitySurfaceParametric - Class in net.finmath.marketdata.model.volatilities
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
AbstractVolatilitySurfaceParametric(String, LocalDate) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
AccrualAccount - Class in net.finmath.montecarlo.interestrate.products.components
Implementation of a general accrual account.
AccrualAccount(String, AnalyticModelIndex, AbstractIndex, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
Create an accrual account.
accrue(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariable
 
accrue(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
accrue(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
accrue(RandomVariableInterface, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x * (1.0 + rate * periodLength) to this random variable.
accrue(RandomVariableInterface, double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
AccruedInterest - Class in net.finmath.montecarlo.interestrate.products.indices
An accrued interest index.
AccruedInterest(String, String, LocalDate, LocalDate, LocalDate, AbstractIndex, Double, DayCountConventionInterface, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
Create an accrued interest index.
AccruingNotional - Class in net.finmath.montecarlo.interestrate.products.components
 
AccruingNotional(AbstractNotional, AbstractPeriod) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.
accumulate(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableAccumulatorInterface
 
accumulate(double, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableAccumulatorInterface
 
actionPerformed(ActionEvent) - Method in class net.finmath.swing.JNumberField
 
add(E) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
Add an object this parameterization.
add(LinearInterpolatedTimeDiscreteProcess) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
Create a new linear interpolated time discrete process by using the time discretization of this process and the sum of this process and the given one as its values.
add(double) - Method in class net.finmath.montecarlo.RandomVariable
 
add(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
add(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
add(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
add(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
add(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
add(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x + value to this random variable.
add(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x+randomVariable to this random variable.
add(double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
add(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
add(double) - Method in class net.finmath.swing.JNumberField
 
addCurve(String, CurveInterface) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addCurve(CurveInterface) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addCurve(String, CurveInterface) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
Add a reference to a given curve under a given name to this model.
addCurves(CurveInterface...) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addCurves(Set<CurveInterface>) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addCurves(CurveInterface...) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Set<CurveInterface>) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
Create a new analytic model consisting of a clone of this one together with the given curves added.
addDiscountFactor(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
 
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.Curve
Add a point to this curve.
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.Curve.CurveBuilder
 
addPoint(double, double, boolean) - Method in interface net.finmath.marketdata.model.curves.CurveBuilderInterface
Add a point to the curve.
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.ForwardCurve
 
addProduct(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariable
 
addProduct(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
addProduct(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
addProduct(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
addProduct(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
addProduct(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
addProduct(RandomVariableInterface, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x + factor1 * factor2
addProduct(RandomVariableInterface, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x + factor1 * factor2
addProduct(RandomVariableInterface, double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
addProduct(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
addRatio(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
addRatio(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
addRatio(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
addRatio(RandomVariableInterface, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x + numerator / denominator
addRatio(RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
addToAdmissibleValueIndex(int) - Method in class net.finmath.swing.JNumberField
 
addVolatilitySurface(VolatilitySurfaceInterface) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addVolatilitySurfaces(VolatilitySurfaceInterface...) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addVolatilitySurfaces(Set<AbstractVolatilitySurface>) - Method in class net.finmath.marketdata.model.AnalyticModel
 
addVolatilitySurfaces(VolatilitySurfaceInterface...) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
 
addVolatilitySurfaces(Set<AbstractVolatilitySurface>) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticFormulas - Class in net.finmath.functions
This class implements some functions as static class methods.
AnalyticModel - Class in net.finmath.marketdata.model
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").
AnalyticModel() - Constructor for class net.finmath.marketdata.model.AnalyticModel
Create an empty analytic model.
AnalyticModel(CurveInterface[]) - Constructor for class net.finmath.marketdata.model.AnalyticModel
Create an analytic model with the given curves.
AnalyticModel(Collection<CurveInterface>) - Constructor for class net.finmath.marketdata.model.AnalyticModel
Create an analytic model with the given curves.
AnalyticModelForwardCurveIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An index which is given by a name referencing a curve of an analytic model.
AnalyticModelForwardCurveIndex(String, String, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
Creates a forward rate index for a given period start offset (offset from fixing) and period length.
AnalyticModelIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An index which is given by a name referencing a curve of an analytic model.
AnalyticModelIndex(String, String, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
Creates an analytic model index using a given fixing offset (in days / 365).
AnalyticModelInterface - Interface in net.finmath.marketdata.model
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
AnalyticProductInterface - Interface in net.finmath.marketdata.products
The interface which has to be implemented by a product which may be evaluated using an AnalyticModel.
apply(double) - Method in class net.finmath.fouriermethod.models.BlackScholesModel
 
apply(double) - Method in interface net.finmath.fouriermethod.models.ProcessCharacteristicFunctionInterface
Returns the characteristic function of X(t), where X is this stochastic process.
apply(Complex) - Method in class net.finmath.fouriermethod.products.EuropeanOption
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
Create a new process consisting of the interpolation of the random variables obtained by applying the given function to this process discrete set of random variables.
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariable
 
apply(DoubleBinaryOperator, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
apply(DoubleTernaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
apply(DoubleBinaryOperator, DoubleBinaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleBinaryOperator, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleBinaryOperator, DoubleBinaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleTernaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
apply(DoubleBinaryOperator, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
apply(DoubleTernaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
apply(DoubleUnaryOperator) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → operator(x) to this random variable.
apply(DoubleBinaryOperator, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable.
apply(DoubleTernaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable.
apply(DoubleUnaryOperator) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
apply(DoubleBinaryOperator, RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
apply(DoubleTernaryOperator, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
applyAsDouble(double, double, double) - Method in interface net.finmath.functions.DoubleTernaryOperator
Applies this operator to the given operands.
applyAsDouble(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
applyStateSpaceTransform(int, RandomVariableInterface) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Applied the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
applyStateSpaceTransform(int, RandomVariableInterface) - Method in class net.finmath.montecarlo.process.AbstractProcess
 
ARMAGARCH - Class in net.finmath.timeseries.models.parametric
Lognormal process with ARMAGARCH(1,1) volatility.
ARMAGARCH(TimeSeriesInterface) - Constructor for class net.finmath.timeseries.models.parametric.ARMAGARCH
 
AsianOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of an Asian option.
AsianOption(double, double, TimeDiscretizationInterface, Integer) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double, double, TimeDiscretizationInterface) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AssetModelMonteCarloSimulationInterface - Interface in net.finmath.montecarlo.assetderivativevaluation
Basic interface which has to be implemented by Monte Carlo models for asset processes.

B

BachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
BachelierModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
Create a Monte-Carlo simulation using given time discretization.
bachelierOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with constant volatility.
bachelierOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Bachelier model.
bachelierOptionValue(RandomVariableInterface, RandomVariableInterface, double, double, RandomVariableInterface) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Bachelier model.
barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariable
 
barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → (trigger ≥ 0 ?
barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → (trigger ≥ 0 ?
barrier(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
barrier(RandomVariableInterface, RandomVariableInterface, double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
BasketOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements valuation of a European option on a basket of asset.
BasketOption(double, double, double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
BermudanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements the valuation of a Bermudan option paying
N(i) * (S(T(i)) - K(i)) at T(i),
when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanOption(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanOption(double[], double[], double[], BermudanOption.ExerciseMethod) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanOption.ExerciseMethod - Enum in net.finmath.montecarlo.assetderivativevaluation.products
 
BermudanSwaption - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of a cancelable swap under a LIBORModelMonteCarloSimulationInterface
BermudanSwaption(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
 
BisectionSearch - Class in net.finmath.rootfinder
This class implements a Bisection search algorithm, implemented as a question-and-answer search algorithm.
BisectionSearch(double, double) - Constructor for class net.finmath.rootfinder.BisectionSearch
 
blackModelCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a caplet assuming the Black'76 model.
blackModelDgitialCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a digital caplet assuming the Black'76 model.
blackModelSwaptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a swaption assuming the Black'76 model.
blackScholesATMOptionValue(double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of an atm call option.
BlackScholesDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta hedged portfolio of an European option (a hedge simulator).
BlackScholesDeltaHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
Construction of a delta hedge portfolio assuming a Black-Scholes model.
blackScholesDigitalOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a digital option under a Black-Scholes model
blackScholesDigitalOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a digital call option.
blackScholesGeneralizedOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
blackScholesGeneralizedOptionValue(RandomVariableInterface, RandomVariableInterface, double, double, RandomVariableInterface) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
BlackScholesHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
BlackScholesHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
Construction of a hedge portfolio assuming a Black-Scholes model for the hedge ratios.
BlackScholesHedgedPortfolio(double, double, double, double, double, double, BlackScholesHedgedPortfolio.HedgeStrategy) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
Construction of a delta-gamma hedge portfolio assuming a Black-Scholes model.
BlackScholesHedgedPortfolio.HedgeStrategy - Enum in net.finmath.montecarlo.assetderivativevaluation.products
 
BlackScholesModel - Class in net.finmath.fouriermethod.models
Implements the characteristic function of a Black Scholes model.
BlackScholesModel(double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
 
BlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
BlackScholesModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
Create a Monte-Carlo simulation using given time discretization.
blackScholesOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, double, RandomVariableInterface) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionGamma(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionGamma(RandomVariableInterface, RandomVariableInterface, RandomVariableInterface, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the rho of a call option under a Black-Scholes model
blackScholesOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(double, double, double, double, double, boolean) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), or a put, i.e., the payoff max(K-S(T),0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the vega of a call option under a Black-Scholes model
BlendedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.modelplugins
Blended model (or displaced diffusion model) build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurveInterface, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
Bond - Class in net.finmath.montecarlo.interestrate.products
This class implements the valuation of a zero coupon bond.
Bond(double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
 
BrownianBridge - Class in net.finmath.montecarlo
This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
BrownianBridge(TimeDiscretizationInterface, int, int, RandomVariableInterface[], RandomVariableInterface[]) - Constructor for class net.finmath.montecarlo.BrownianBridge
Construct a Brownian bridge, bridging from a given start to a given end.
BrownianBridge(TimeDiscretizationInterface, int, int, RandomVariableInterface, RandomVariableInterface) - Constructor for class net.finmath.montecarlo.BrownianBridge
Construct a Brownian bridge, bridging from a given start to a given end.
BrownianMotion - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...
BrownianMotion(TimeDiscretizationInterface, int, int, int, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotion
Construct a Brownian motion.
BrownianMotion(TimeDiscretizationInterface, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotion
Construct a Brownian motion.
BrownianMotionInterface - Interface in net.finmath.montecarlo
Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...
BrownianMotionView - Class in net.finmath.montecarlo
A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.
BrownianMotionView(BrownianMotionInterface, Integer[]) - Constructor for class net.finmath.montecarlo.BrownianMotionView
Create a sub-view on a Brownian motion.
build() - Method in class net.finmath.marketdata.model.curves.Curve.CurveBuilder
 
build() - Method in interface net.finmath.marketdata.model.curves.CurveBuilderInterface
Build the curve.
build() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve.CurveBuilder
 
build() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve.CurveBuilder
 
BusinessdayCalendar - Class in net.finmath.time.businessdaycalendar
Base class for all business day calendars.
BusinessdayCalendar() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendar
 
BusinessdayCalendarAny - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day.
BusinessdayCalendarAny() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny
 
BusinessdayCalendarExcludingTARGETHolidays - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day, expect the TARGET holidays.
BusinessdayCalendarExcludingTARGETHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
Create business day calendar.
BusinessdayCalendarExcludingTARGETHolidays(BusinessdayCalendarInterface) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
Create business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingWeekends - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day, expect SATURDAY and SUNDAY.
BusinessdayCalendarExcludingWeekends() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
Create business day calendar.
BusinessdayCalendarExcludingWeekends(BusinessdayCalendarInterface) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
Create business day calendar using a given business day calendar as basis.
BusinessdayCalendarInterface - Interface in net.finmath.time.businessdaycalendar
 
BusinessdayCalendarInterface.DateRollConvention - Enum in net.finmath.time.businessdaycalendar
 

C

cache() - Method in class net.finmath.montecarlo.RandomVariable
 
cache() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cache() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
cache() - Method in interface net.finmath.stochastic.RandomVariableInterface
Return a cacheable version of this object (often a self-reference).
cache() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
CalculationException - Exception in net.finmath.exception
 
CalculationException() - Constructor for exception net.finmath.exception.CalculationException
A wrapper for exceptions associated with numerical algorithm of finmath lib
CalculationException(String) - Constructor for exception net.finmath.exception.CalculationException
Create an exception with error message.
CalculationException(Throwable) - Constructor for exception net.finmath.exception.CalculationException
Create an exception from another exception.
CalculationException(String, Throwable) - Constructor for exception net.finmath.exception.CalculationException
Create an exception from another exception with error message.
CalibratedCurves - Class in net.finmath.marketdata.calibration
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModelInterface, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModel) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata.calibration
Specification of calibration product.
CalibrationItem(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
 
CalibrationItem(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
 
CalibrationItem(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
 
calibrationProduct - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
 
calibrationProduct - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
 
calibrationProduct - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
 
CalibrationSpec(String, String, ScheduleInterface, String, double, String, ScheduleInterface, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, ScheduleInterface, String, double, String, ScheduleInterface, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
calibrationTargetValue - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
 
calibrationTargetValue - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
 
calibrationTargetValue - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
 
calibrationWeight - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModel.CalibrationItem
 
calibrationWeight - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard.CalibrationItem
 
calibrationWeight - Variable in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement.CalibrationItem
 
cancel(boolean) - Method in class net.finmath.concurrency.FutureWrapper
 
Cap - Class in net.finmath.marketdata.products
Implements the valuation of a cap via an analytic model, i.e. the specification of a forward curve, discount curve and volatility surface.
Cap(ScheduleInterface, String, double, boolean, String, String, VolatilitySurfaceInterface.QuotingConvention) - Constructor for class net.finmath.marketdata.products.Cap
Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Cap(ScheduleInterface, String, double, boolean, String, String) - Constructor for class net.finmath.marketdata.products.Cap
Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
cap(double) - Method in class net.finmath.montecarlo.RandomVariable
 
cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
cap(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cap(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
cap(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
cap(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → min(x,cap) to this random variable.
cap(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → min(x,cap) to this random variable.
cap(double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
cap(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
Caplet - Class in net.finmath.montecarlo.interestrate.products
Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
Caplet(double, double, double, double, boolean, Caplet.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
Create a caplet or a floorlet.
Caplet(double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
Create a caplet or a floorlet.
Caplet(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
Create a caplet.
Caplet.ValueUnit - Enum in net.finmath.montecarlo.interestrate.products
 
CapletVolatilities - Class in net.finmath.marketdata.model.volatilities
A very simple container for Caplet volatilities.
CapletVolatilities(String, LocalDate, ForwardCurveInterface, double[], double[], double[], VolatilitySurfaceInterface.QuotingConvention, DiscountCurveInterface) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilities
 
CapletVolatilitiesParametric - Class in net.finmath.marketdata.model.volatilities
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametric(String, LocalDate, ForwardCurveInterface, DiscountCurveInterface, double, double, double, double, double, VolatilitySurfaceInterface.QuotingConvention) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String, LocalDate, ForwardCurveInterface, DiscountCurveInterface, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String, LocalDate, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String, LocalDate, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d.
CapletVolatilitiesParametricDisplacedFourParameterAnalytic - Class in net.finmath.marketdata.model.volatilities
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String, LocalDate, ForwardCurveInterface, DiscountCurveInterface, double, boolean, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
CapletVolatilitiesParametricFourParameterPicewiseConstant - Class in net.finmath.marketdata.model.volatilities
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametricFourParameterPicewiseConstant(String, LocalDate, double, double, double, double, TimeDiscretizationInterface) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
Create a model with parameters a,b,c,d.
CappedFlooredIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing AbstractIndex.
CappedFlooredIndex(AbstractIndex, AbstractIndex, AbstractIndex) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).
Cashflow - Class in net.finmath.marketdata.products
Implements the valuation of a single cashflow by a discount curve.
Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata.products.Cashflow
Create a single deterministic cashflow at a fixed time.
Cashflow - Class in net.finmath.montecarlo.interestrate.products.components
A single deterministic cashflow at a fixed time
Cashflow(String, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow
Create a single deterministic cashflow at a fixed time.
Cashflow(double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow
Create a single deterministic cashflow at a fixed time.
CharacteristicFunctionInterface - Interface in net.finmath.fouriermethod
Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).
clone() - Method in class net.finmath.marketdata.model.AnalyticModel
 
clone() - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
 
clone() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
clone() - Method in class net.finmath.marketdata.model.curves.Curve
 
clone() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
Create a deep copied clone.
clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
clone() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
clone() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
clone() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
clone() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
clone() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
 
clone() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
 
clone() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
 
clone() - Method in class net.finmath.montecarlo.process.AbstractProcess
 
clone() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
Create and return a clone of this process.
clone() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
clone() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
clone() - Method in interface net.finmath.montecarlo.process.ProcessInterface
Create and return a clone of this process.
clone() - Method in class net.finmath.optimizer.LevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer.
CMSOption - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of an option on a CMS rate.
CMSOption(double, double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.CMSOption
Create the option on a CMS rate.
compareTo(Period) - Method in class net.finmath.time.Period
 
computeSeasonalAdjustments(LocalDate, Map<LocalDate, Double>, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
computeSeasonalAdjustments(double[], int, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
Computes annualized seasonal adjustments from given monthly realized CPI values.
ConstantMaturitySwaprate - Class in net.finmath.montecarlo.interestrate.products.indices
An idealized (single curve) CMS index with given maturity and given period length.
ConstantMaturitySwaprate(String, String, double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given period lengths.
ConstantMaturitySwaprate(String, String, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given maturity and given period length.
ConstantMaturitySwaprate(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given maturity and given period length.
ConstantMaturitySwaprate(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given maturity and given period length.
convertFromTo(AnalyticModelInterface, double, double, double, VolatilitySurfaceInterface.QuotingConvention, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(double, double, double, VolatilitySurfaceInterface.QuotingConvention, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
CorrelatedBrownianMotion - Class in net.finmath.montecarlo
Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.
CorrelatedBrownianMotion(BrownianMotionInterface, double[][]) - Constructor for class net.finmath.montecarlo.CorrelatedBrownianMotion
Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.
cos() - Method in class net.finmath.montecarlo.RandomVariable
 
cos() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cos() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
cos() - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → cos(x) to this random variable.
cos() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
createDateFromDateAndOffsetCode(LocalDate, String) - Static method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
Create a new date by "adding" a year fraction to a given base date.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, LocalDate, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, Date, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, double[], double[], boolean[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Deprecated.
Initializing a curve without reference date is deprecated.
createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
createDiscountFactorsFromForwardRates(String, TimeDiscretizationInterface, double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurve
Create a discount curve from given time discretization and forward rates.
createForwardCurveFromDiscountFactors(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
Create a forward curve from given times and discount factors.
createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, ForwardCurve.InterpolationEntityForward, String, AnalyticModelInterface, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, double[], double[], AnalyticModelInterface, String, double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurve
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createIndexCurveWithSeasonality(String, LocalDate, Map<LocalDate, Double>, Map<String, Double>, Integer, Map<LocalDate, Double>, String, String) - Static method in class net.finmath.marketdata.model.curves.CurveFactory
Creates a monthly index curve with seasonality and past fixings.
createRandomVariable(double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
 
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention, BusinessdayCalendarInterface, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
Schedule generation from meta data.
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendarInterface.DateRollConvention, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Schedule generation from meta data.
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Schedule generation from meta data.
createScheduleFromConventions(Date, Date, Date, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Schedule generation from meta data (method using Date instead of LocalDate for backward compatibility).
createScheduleFromConventions(LocalDate, LocalDate, int, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation.
createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation.
createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation.
createScheduleFromConventions(LocalDate, String, String, String, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation.
createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String, String, BusinessdayCalendarInterface, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Generates a schedule based on some meta data.
createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String) - Static method in class net.finmath.time.ScheduleGenerator
Generates a schedule based on some meta data.
createSwaption(String, double, TimeDiscretizationInterface, String) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFactory
 
CrossCurrencyTermStructureModelMonteCarloSimulationInterface - Interface in net.finmath.montecarlo.crosscurrency
Interface for cross currency term structure models.
cumulativeDistribution(double) - Static method in class net.finmath.functions.NormalDistribution
Cumulative distribution function of the standard normal distribution.
Curve - Class in net.finmath.marketdata.model.curves
This class represents a curve build from a set of points in 2D.
Curve(String, LocalDate, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, double[], double[]) - Constructor for class net.finmath.marketdata.model.curves.Curve
Create a curve with a given name, reference date and an interpolation method from given points
Curve(String, LocalDate, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity) - Constructor for class net.finmath.marketdata.model.curves.Curve
Create a curve with a given name, reference date and an interpolation method.
Curve.CurveBuilder - Class in net.finmath.marketdata.model.curves
A builder (following the builder pattern) for Curve objects.
Curve.ExtrapolationMethod - Enum in net.finmath.marketdata.model.curves
Possible extrapolation methods.
Curve.InterpolationEntity - Enum in net.finmath.marketdata.model.curves
Possible interpolation entities.
Curve.InterpolationMethod - Enum in net.finmath.marketdata.model.curves
Possible interpolation methods.
CurveBuilder() - Constructor for class net.finmath.marketdata.model.curves.Curve.CurveBuilder
Build a curve.
CurveBuilder(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.Curve.CurveBuilder
Build a curve with a given name and given reference date.
CurveBuilder(Curve) - Constructor for class net.finmath.marketdata.model.curves.Curve.CurveBuilder
Build a curve by cloning a given curve.
CurveBuilder(PiecewiseCurve) - Constructor for class net.finmath.marketdata.model.curves.PiecewiseCurve.CurveBuilder
Create a CurveBuilder from a given piecewiseCurve
CurveBuilder(SeasonalCurve) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve.CurveBuilder
Create a CurveBuilder from a given seasonalCurve.
CurveBuilderInterface - Interface in net.finmath.marketdata.model.curves
Interface of builders which allow to build curve objects by successively adding points.
CurveFactory - Class in net.finmath.marketdata.model.curves
A collection of convenient methods constructing some more specialized curves.
CurveFactory() - Constructor for class net.finmath.marketdata.model.curves.CurveFactory
 
CurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves
A curve derived from other curves by multiplying the values.
CurveFromProductOfCurves(String, LocalDate, CurveInterface...) - Constructor for class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
Create a curve using one or more curves.
CurveInterface - Interface in net.finmath.marketdata.model.curves
The interface which is implemented by a general curve.

D

DateIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
DateIndex(String, String, DateIndex.DateIndexType) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.DateIndex
Construct a date index.
DateIndex(String, DateIndex.DateIndexType) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.DateIndex
Construct a date index.
DateIndex.DateIndexType - Enum in net.finmath.montecarlo.interestrate.products.indices
 
daycountConvention - Variable in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
DayCountConvention_30E_360 - Class in net.finmath.time.daycount
Implementation of 30E/360 and 30E+/360.
DayCountConvention_30E_360(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360
Create a 30E/360 or 30E+/360 day count convention.
DayCountConvention_30E_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360
Create a 30E/360 daycount convention.
DayCountConvention_30E_360_ISDA - Class in net.finmath.time.daycount
Implementation of 30E/360 ISDA.
DayCountConvention_30E_360_ISDA(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
Create a 30E/360 ISDA daycount convention.
DayCountConvention_30E_360_ISDA() - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
Create a 30E/360 ISDA daycount convention using isTreatEndDateAsTerminationDate = false.
DayCountConvention_30U_360 - Class in net.finmath.time.daycount
Calculates the day count using the US 30/360 adjusted method.
DayCountConvention_30U_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_30U_360
Create a 30U/360 day count convention.
DayCountConvention_30U_360(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30U_360
Create a 30U/360 day count convention.
DayCountConvention_ACT - Class in net.finmath.time.daycount
Base class which calculates the day count by calculating the actual number of days between startDate and endDate.
DayCountConvention_ACT() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT
Create an ACT day count convention.
DayCountConvention_ACT_360 - Class in net.finmath.time.daycount
Implementation of ACT/360.
DayCountConvention_ACT_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_360
Create an ACT/360 day count convention.
DayCountConvention_ACT_365 - Class in net.finmath.time.daycount
Implementation of ACT/365.
DayCountConvention_ACT_365() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365
Create an ACT/365 day count convention.
DayCountConvention_ACT_365A - Class in net.finmath.time.daycount
Implementation of ACT/365A.
DayCountConvention_ACT_365A() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365A
Create an ACT/365 day count convention.
DayCountConvention_ACT_365L - Class in net.finmath.time.daycount
Implementation of ACT/365L.
DayCountConvention_ACT_365L() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365L
Create an ACT/365 day count convention.
DayCountConvention_ACT_ACT_AFB - Class in net.finmath.time.daycount
Implementation of ACT/ACT AFB.
DayCountConvention_ACT_ACT_AFB() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
Create an ACT/ACT FBA daycount convention.
DayCountConvention_ACT_ACT_ICMA - Class in net.finmath.time.daycount
Implementation of ACT/ACT ICMA.
DayCountConvention_ACT_ACT_ICMA(ArrayList<Period>, int) - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA
Create an ACT/ACT ICMA day count convention.
DayCountConvention_ACT_ACT_ISDA - Class in net.finmath.time.daycount
Implementation of ACT/ACT ISDA.
DayCountConvention_ACT_ACT_ISDA(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
Create an ACT/ACT ISDA day count convention.
DayCountConvention_ACT_ACT_ISDA() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
Create an ACT/ACT ISDA day count convention.
DayCountConvention_ACT_ACT_YEARFRAC - Class in net.finmath.time.daycount
Implementation of ACT/ACT as in Excel (2013).
DayCountConvention_ACT_ACT_YEARFRAC() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC
Create an ACT/ACT YEARFRAC daycount convention.
DayCountConvention_NL_365 - Class in net.finmath.time.daycount
Implementation of NL/365.
DayCountConvention_NL_365() - Constructor for class net.finmath.time.daycount.DayCountConvention_NL_365
Create an NL/365 day count convention.
DayCountConvention_NONE - Class in net.finmath.time.daycount
This is a special day count convention, where the day count between two dates is always 0.0 and the year fraction for an interval is always 1.0.
DayCountConvention_NONE() - Constructor for class net.finmath.time.daycount.DayCountConvention_NONE
Create a day count convention with a constant year fraction of 1.0 for all periods.
DayCountConvention_UNKNOWN - Class in net.finmath.time.daycount
Implements a placeholder object for an unknown day count convention, throwing an exception, whenever a day count or day count fraction is requested.
DayCountConvention_UNKNOWN() - Constructor for class net.finmath.time.daycount.DayCountConvention_UNKNOWN
Create the unknown day count convention.
DayCountConvention_UNKNOWN(String) - Constructor for class net.finmath.time.daycount.DayCountConvention_UNKNOWN
Create the unknown day count convention.
DayCountConventionFactory - Class in net.finmath.time.daycount
Factory methods for day count conventions.
DayCountConventionFactory() - Constructor for class net.finmath.time.daycount.DayCountConventionFactory
Factory methods for day count conventions.
DayCountConventionInterface - Interface in net.finmath.time.daycount
Interface for various day count conventions.
daysBetween(LocalDate, LocalDate) - Static method in class net.finmath.time.daycount.DayCountConvention_ACT
Returns the number of days, between two dates.
density(double) - Static method in class net.finmath.functions.NormalDistribution
Returns the value of the density at x.
Deposit - Class in net.finmath.marketdata.products
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
Deposit(ScheduleInterface, double, String) - Constructor for class net.finmath.marketdata.products.Deposit
 
DigitalCaplet - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationInterface.
DigitalCaplet(double, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.DigitalCaplet
Create a digital caplet with given maturity and strike.
discount(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariable
 
discount(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
discount(RandomVariableInterface, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
discount(RandomVariableInterface, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x / (1.0 + rate * periodLength) to this random variable.
discount(RandomVariableInterface, double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
DiscountCurve - Class in net.finmath.marketdata.model.curves
Implementation of a discount factor curve based on Curve.
discountCurve - Variable in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
DiscountCurveFromForwardCurve - Class in net.finmath.marketdata.model.curves
A discount curve derived from a given forward curve.
DiscountCurveFromForwardCurve(String, double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface, double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves
A discount curve derived from other discount curves by multiplying the discount factors.
DiscountCurveFromProductOfCurves(String, LocalDate, DiscountCurveInterface...) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
Create a discount curve using one or more curves.
DiscountCurveInterface - Interface in net.finmath.marketdata.model.curves
The interface which is implemented by discount curves.
discountCurveName - Variable in class net.finmath.marketdata.model.curves.AbstractForwardCurve
 
DiscountCurveNelsonSiegelSvensson - Class in net.finmath.marketdata.model.curves
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
DiscountCurveNelsonSiegelSvensson(String, LocalDate, double[], double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
Create a discount curve using a Nelson-Siegel-Svensson parametrization.
DisplacedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.modelplugins
Displaced model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
Displaced model build on top of a standard covariance model.
DisplacedLognormal - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with constanst volatility.
DisplacedLognormal(double[]) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormal(double[], double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormal(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormal(double[], double, int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormalARMAGARCH - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with ARMAGARCH(1,1) volatility.
DisplacedLognormalARMAGARCH(TimeSeriesInterface) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
DisplacedLognormalARMAGARCH(TimeSeriesInterface, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
DisplacedLognormalARMAGARCH(TimeSeriesInterface, double, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
DisplacedLognormalGARCH - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with GARCH(1,1) volatility.
DisplacedLognormalGARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGARCH(double[], double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGARCH(double[], double, int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGJRGARCH - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with GJR-GARCH(1,1) volatility.
DisplacedLognormalGJRGARCH(TimeSeriesInterface) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
DisplacedLognormalGJRGARCH(TimeSeriesInterface, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
DisplacedLognormalGJRGARCH(TimeSeriesInterface, double, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
div(double) - Method in class net.finmath.montecarlo.RandomVariable
 
div(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
div(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
div(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
div(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
div(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
div(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x / value to this random variable.
div(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → x/randomVariable to this random variable.
div(double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
div(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
DoubleTernaryOperator - Interface in net.finmath.functions
Functional interface for functions mapping (double,double,double) to double.

E

equals(Object) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
equals(Object) - Method in class net.finmath.montecarlo.BrownianMotion
 
equals(Object) - Method in class net.finmath.montecarlo.GammaProcess
 
equals(Object) - Method in class net.finmath.montecarlo.IndependentIncrements
 
equals(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
equals(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
equals(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
equals(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Compare this random variable with a given one
equals(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
equals(Object) - Method in class net.finmath.time.Period
 
equals(Object) - Method in class net.finmath.time.TimeDiscretization
 
EuropeanOption - Class in net.finmath.fouriermethod.products
Implements valuation of a European option on a single asset.
EuropeanOption(double, double) - Constructor for class net.finmath.fouriermethod.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of a European option on a single asset.
EuropeanOption(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
executor - Static variable in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
 
exp(double[][]) - Method in class net.finmath.functions.LinearAlgebra
Calculate the "matrix exponential" (expm).
exp(RealMatrix) - Method in class net.finmath.functions.LinearAlgebra
Calculate the "matrix exponential" (expm).
exp() - Method in class net.finmath.montecarlo.RandomVariable
 
exp() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
exp() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
exp() - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → exp(x) to this random variable.
exp() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
expand(int) - Method in class net.finmath.montecarlo.RandomVariable
 
expand(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
expand(int) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
ExposureEstimator - Class in net.finmath.montecarlo.interestrate.products.components
Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.
ExposureEstimator(AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
Creates (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.

F

FactorDriftInterface - Interface in net.finmath.montecarlo.process.component.factordrift
 
factorReduction(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra
Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
factorReductionUsingCommonsMath(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra
Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
FiniteDifferenceDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta hedged portfolio of a given product (a hedge simulator).
FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationInterface) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio
Construction of a delta hedge portfolio using finite differences on every path and in every time-step.
FixedCoupon - Class in net.finmath.montecarlo.interestrate.products.indices
A fixed coupon index paying constant coupon..
FixedCoupon(double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
Creates a fixed coupon index paying constant coupon.
FlexiCap - Class in net.finmath.montecarlo.interestrate.products
This class implements the valuation of a Flexi Cap (aka Auto Cap).
FlexiCap(double[], double[], double[], int) - Constructor for class net.finmath.montecarlo.interestrate.products.FlexiCap
Create a Flexi Cap (aka Auto Cap).
floor(double) - Method in class net.finmath.montecarlo.RandomVariable
 
floor(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
floor(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
floor(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
floor(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
floor(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
floor(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → max(x,floor) to this random variable.
floor(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → max(x,floor) to this random variable.
floor(double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
floor(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
Forward - Class in net.finmath.marketdata.products
Implements the valuation of a forward using curves (discount curve, forward curve).
Forward(double, double, String, double, String) - Constructor for class net.finmath.marketdata.products.Forward
Creates a forward.
ForwardCurve - Class in net.finmath.marketdata.model.curves
A container for a forward (rate) curve.
ForwardCurve(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, Curve.InterpolationMethod, Curve.ExtrapolationMethod, Curve.InterpolationEntity, ForwardCurve.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurve
Generate a forward curve using a given discount curve and payment offset.
ForwardCurve(String, LocalDate, String, ForwardCurve.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurve
Generate a forward curve using a given discount curve and payment offset.
ForwardCurve(String, LocalDate, String, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurve
Generate a forward curve using a given discount curve and payment offset.
ForwardCurve(String, double, ForwardCurve.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurve
Generate a forward curve using a given discount curve and payment offset.
forwardCurve - Variable in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
ForwardCurve.InterpolationEntityForward - Enum in net.finmath.marketdata.model.curves
Additional choice of interpolation entities for forward curves.
ForwardCurveFromDiscountCurve - Class in net.finmath.marketdata.model.curves
A forward curve derived from a given discount curve.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given discount curve.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given discount curve.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given discount curve.
ForwardCurveFromDiscountCurve(String, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given discount curve.
ForwardCurveInterface - Interface in net.finmath.marketdata.model.curves
The interface which is implemented by forward curves.
ForwardCurveNelsonSiegelSvensson - Class in net.finmath.marketdata.model.curves
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
ForwardCurveNelsonSiegelSvensson(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, DayCountConventionInterface, double[], double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
ForwardCurveNelsonSiegelSvensson(String, LocalDate, String, BusinessdayCalendarInterface, BusinessdayCalendarInterface.DateRollConvention, DayCountConventionInterface, double[], double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
ForwardCurveWithFixings - Class in net.finmath.marketdata.model.curves
 
ForwardCurveWithFixings(ForwardCurveInterface, ForwardCurveInterface, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
Create a piecewise forward curve.
ForwardRateAgreement - Class in net.finmath.marketdata.products
Implements the valuation of a FRA in multi-curve setting.
ForwardRateAgreement(ScheduleInterface, double, String, String, boolean) - Constructor for class net.finmath.marketdata.products.ForwardRateAgreement
Creates a FRA.
ForwardRateAgreement(ScheduleInterface, double, String, String) - Constructor for class net.finmath.marketdata.products.ForwardRateAgreement
Creates a payer FRA.
ForwardRateVolatilitySurfaceCurvature - Class in net.finmath.montecarlo.interestrate.products
This class implements the calculation of the curvature of the volatility surface of the forward rates.
ForwardRateVolatilitySurfaceCurvature() - Constructor for class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
Create the calculation of the curvature of the volatility surface of the forward rates
ForwardRateVolatilitySurfaceCurvature(double) - Constructor for class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
Create the calculation of the curvature of the volatility surface of the forward rates.
FowardCurveIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A fixed coupon index paying coupon calculated from a forward curve.
FowardCurveIndex(ForwardCurveInterface) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.FowardCurveIndex
Creates a forward curve index.
fromFile(File) - Static method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
 
FutureWrapper<V> - Class in net.finmath.concurrency
Implementation of the Future interface, without any concurrent execution.
FutureWrapper(V) - Constructor for class net.finmath.concurrency.FutureWrapper
Create a wrapper to an object that looks like a Future on that object.

G

GammaDistribution - Class in net.finmath.functions
 
GammaDistribution(double, double) - Constructor for class net.finmath.functions.GammaDistribution
 
GammaProcess - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j.
GammaProcess(TimeDiscretizationInterface, int, int, int, double, double) - Constructor for class net.finmath.montecarlo.GammaProcess
Construct a Gamma process with a given shape parameter.
GammaProcess(TimeDiscretizationInterface, int, int, int, double) - Constructor for class net.finmath.montecarlo.GammaProcess
Construct a Gamma process with a given shape parameter.
GARCH - Class in net.finmath.timeseries.models.parametric
Log-normal process with GARCH(1,1) volatility.
GARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.GARCH
Create GARCH model estimated form the given time series of values.
GARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.GARCH
Create GARCH model estimated form the given time series of values.
get() - Method in class net.finmath.concurrency.FutureWrapper
 
get(long, TimeUnit) - Method in class net.finmath.concurrency.FutureWrapper
 
get(int) - Method in class net.finmath.montecarlo.RandomVariable
 
get(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
get(int) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
get() - Method in interface net.finmath.stochastic.RandomVariableAccumulatorInterface
 
get(double, double) - Method in interface net.finmath.stochastic.RandomVariableAccumulatorInterface
 
get(int) - Method in interface net.finmath.stochastic.RandomVariableInterface
Evaluate at a given path or state.
get(int) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getAccuracy() - Method in class net.finmath.marketdata.calibration.Solver
Returns the accuracy achieved in the last solver run.
getAccuracy() - Method in class net.finmath.optimizer.GoldenSectionSearch
 
getAccuracy() - Method in class net.finmath.rootfinder.BisectionSearch
 
getAccuracy() - Method in class net.finmath.rootfinder.NewtonsMethod
 
getAccuracy() - Method in class net.finmath.rootfinder.RiddersMethod
 
getAccuracy() - Method in interface net.finmath.rootfinder.RootFinder
 
getAccuracy() - Method in interface net.finmath.rootfinder.RootFinderWithDerivative
 
getAdjustedDate(LocalDate, BusinessdayCalendarInterface.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
 
getAdjustedDate(LocalDate, String, BusinessdayCalendarInterface.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
Get an adjusted date for a given date and offset code.
getAdjustedDate(LocalDate, BusinessdayCalendarInterface.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
Get an adjusted date for a given date.
getAdjustedDate(LocalDate, String, BusinessdayCalendarInterface.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
Get an adjusted date for a given date and offset code.
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getAnalyticModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
getAsArrayList() - Method in class net.finmath.time.TimeDiscretization
 
getAsArrayList() - Method in interface net.finmath.time.TimeDiscretizationInterface
Return a clone of this time discretization as ArrayList<Double>.
getAsDoubleArray() - Method in class net.finmath.time.TimeDiscretization
 
getAsDoubleArray() - Method in interface net.finmath.time.TimeDiscretizationInterface
Return a clone of this time discretization as double[].
getAssetValue(int, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Returns the random variable representing the asset's value at a given time for a given asset.
getAssetValue(double, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Returns the random variable representing the asset's value at a given time for a given asset.
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getATMForward(AnalyticModelInterface, boolean) - Method in class net.finmath.marketdata.products.Cap
Return the ATM forward for this cap.
getAverage() - Method in class net.finmath.montecarlo.RandomVariable
 
getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
getAverage() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getAverage() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getAverage(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getAverage() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the expectation of this random variable.
getAverage(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the expectation of this random variable for a given probability measure (weight).
getAverage() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getAverage(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F.
getBaseCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getBestFitParameters() - Method in class net.finmath.optimizer.LevenbergMarquardt
 
getBestFitParameters() - Method in interface net.finmath.optimizer.OptimizerInterface
Get the best fit parameter vector.
getBestParameters() - Method in interface net.finmath.timeseries.HistoricalSimulationModel
Returns the parameters estimated for the given time series.
getBestParameters(Map<String, Object>) - Method in interface net.finmath.timeseries.HistoricalSimulationModel
Returns the parameters estimated for the given time series, using a parameter guess.
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getBestPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch
 
getBestPoint() - Method in class net.finmath.rootfinder.BisectionSearch
 
getBestPoint() - Method in class net.finmath.rootfinder.NewtonsMethod
 
getBestPoint() - Method in class net.finmath.rootfinder.RiddersMethod
 
getBestPoint() - Method in interface net.finmath.rootfinder.RootFinder
 
getBestPoint() - Method in interface net.finmath.rootfinder.RootFinderWithDerivative
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotion
 
getBrownianIncrement(int, int) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Return the Brownian increment for a given timeIndex.
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getBrownianMotion() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getBrownianMotion() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Returns the Brownian motion used to simulate the curve.
getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getBrownianMotion() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
Deprecated.
Please use getStochasticDriver() instead.
getBrownianMotion() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getBrownianMotion() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getCalibratedModel(Set<ParameterObjectInterface>) - Method in class net.finmath.marketdata.calibration.Solver
Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
 
getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.Curve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
 
getCloneBuilder() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
Returns a curve builder bases on a clone of this curve.
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
getCloneCalibrated(AnalyticModelInterface, Vector<AnalyticProductInterface>, List<Double>, Map<String, Object>) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
getCloneCalibrated(AnalyticModelInterface, Vector<AnalyticProductInterface>, List<Double>, Map<String, Object>, ParameterTransformation) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
getCloneCalibrated(AnalyticModelInterface, Vector<AnalyticProductInterface>, List<Double>, Map<String, Object>, ParameterTransformation, OptimizerFactoryInterface) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
Create a clone of this volatility surface using a generic calibration of its parameters to given market data.
getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], double[], double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
 
getCloneCalibrated(LIBORMarketModelInterface, AbstractLIBORMonteCarloProduct[], double[], double[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(TermStructureModelInterface, AbstractLIBORMonteCarloProduct[], double[], double[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
Return a calibrated clone of the covariance model.
getCloneCalibrated(TimeSeriesInterface) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getCloneCalibrated(TimeSeriesInterface) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getCloneCalibrated(TimeSeriesInterface) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getCloneCalibrated(TimeSeriesInterface) - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
 
getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterObjectInterface
Create a clone with a modified parameter.
getCloneForParameter(Map<ParameterObjectInterface, double[]>) - Method in class net.finmath.marketdata.model.AnalyticModel
 
getCloneForParameter(Map<ParameterObjectInterface, double[]>) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.Curve
 
getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.model.curves.CurveInterface
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
Returns a clone of this volatility surface with modified parameters.
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
 
getCloneShifted(double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
 
getCloneShifted(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Map<String, Double>) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Pattern, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel) - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModelInterface
Create a new object implementing LIBORMarketModelInterface, using the new covariance model.
getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Create a clone of this simulation modifying some of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
Create a new object implementing LIBORModelInterface, using the new data.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
Create a clone of this simulation modifying one of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
Create a new object implementing TermStructureModelInterface, using the new data.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
Create a clone of this simulation modifying one of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
Create a clone of this simulation modifying some of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelParametricInterface
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Create a clone of the object implementing AssetModelMonteCarloSimulationInterface using a different Monte-Carlo seed.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianBridge
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotion
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different seed for the random number generator.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.GammaProcess
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
Deprecated. 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.IndependentIncrements
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different seed for the random number generator.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Deprecated. 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getCloneWithModifiedTargetValues(double[], double[], boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<Number>, List<Number>, boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.BrownianBridge
 
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.BrownianMotion
 
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.GammaProcess
 
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.IndependentIncrements
 
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Return a new object implementing BrownianMotionInterface having the same specifications as this object but a different time discretization.
getCloneWithModifiedTimeDiscretization(TimeDiscretizationInterface) - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getCloneWithWindow(int, int) - Method in interface net.finmath.timeseries.HistoricalSimulationModel
Create a new model, using only a window of the times series.
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getConditionalExpectation(RandomVariableInterface) - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectation
Return the conditional expectation of a given random variable.
getConditionalExpectation(RandomVariableInterface) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
 
getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
Return the conditional expectation estimator suitable for this product.
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
 
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
 
getCorrelationModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCoupon(LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getCoupon(LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Period
 
getCoupon() - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
Returns the coupon.
getCovariance(double, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Returns the instantaneous covariance calculated from factor loadings.
getCovariance(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Returns the instantaneous covariance calculated from factor loadings.
getCovariance(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getCovarianceModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModelInterface
Return the libor covariance model.
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
Returns the term structure covariance model.
getCurrency() - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
Returns the currency string of this notional.
getCurrency() - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
Returns the currency string of this notional.
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.Option
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
 
getCurve(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Get a curve for a given name.
getCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModel
 
getCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
Get a curve by a given curve name.
getDate(int) - Method in class net.finmath.time.Tenor
 
getDate(int) - Method in interface net.finmath.time.TenorInterface
Returns the date for the given time index.
getDate() - Method in class net.finmath.timeseries.MarketData
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30U_360
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NL_365
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NONE
 
getDaycount(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_UNKNOWN
 
getDaycount(LocalDate, LocalDate, String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory
Return the number of days between startDate and endDate given the specific daycount convention.
getDaycount(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConventionInterface
Return the number of days between startDate and endDate given the specific daycount convention.
getDayCountConvention(String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory
Create a day count convention base on a convention string.
getDaycountconvention() - Method in class net.finmath.time.RegularSchedule
 
getDaycountconvention() - Method in class net.finmath.time.Schedule
 
getDaycountconvention() - Method in interface net.finmath.time.ScheduleInterface
Returns the daycount convention used to calculate period lengths.
getDaycountFraction() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_30U_360
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_360
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365A
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_365L
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NL_365
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_NONE
 
getDaycountFraction(LocalDate, LocalDate) - Method in class net.finmath.time.daycount.DayCountConvention_UNKNOWN
 
getDaycountFraction(LocalDate, LocalDate, String) - Static method in class net.finmath.time.daycount.DayCountConventionFactory
Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.
getDaycountFraction(LocalDate, LocalDate) - Method in interface net.finmath.time.daycount.DayCountConventionInterface
Return the daycount fraction corresponding to the period from startDate to endDate given the specific daycount convention.
getDaycountFraction(int) - Method in class net.finmath.time.Tenor
 
getDaycountFraction(int) - Method in interface net.finmath.time.TenorInterface
Returns the day count fraction for the period form timeIndex to to timeIndex+1.
getDenominatorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
Returns the denominator index.
getDiscountCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModel
 
getDiscountCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getDiscountCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getDiscountCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
Return the discount curve associated the forwards.
getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
 
getDiscountCurveName() - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
Returns the name of the discount curve associated with this forward curve.
getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getDiscountCurveName() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
getDiscountCurveName() - Method in class net.finmath.marketdata.products.Cap
Returns the name of the discount curve referenced by this cap.
getDiscountCurveName() - Method in class net.finmath.marketdata.products.Deposit
 
getDiscountCurveName() - Method in class net.finmath.marketdata.products.SwapLeg
 
getDiscountCurveName() - Method in class net.finmath.marketdata.products.SwapLegWithResetting
 
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
 
getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
 
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
 
getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
 
getDiscountFactor(double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurveInterface
Returns the discount factor for the corresponding maturity.
getDiscountFactor(AnalyticModelInterface, double) - Method in interface net.finmath.marketdata.model.curves.DiscountCurveInterface
Returns the discount factor for the corresponding maturity.
getDiscountFactor(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getDiscountFactor(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
Return the discount factor within a given model context for a given maturity.
getDoubleValue() - Method in class net.finmath.swing.JNumberField
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
Return the complete vector of the drift for the time index timeIndex, given that current state is realizationAtTimeIndex.
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
This method has to be implemented to return the drift, i.e.
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getDrift(int, int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getDrift(int, int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getDrift(int, RandomVariableInterface[], RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
Get the the drift.
getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getDriftApproximationMethod() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getDriftEuler(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getEnum(String) - Static method in enum net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface.DateRollConvention
Get the date roll convention enum for a string (using common synonyms like "modfollow".
getEnum(String) - Static method in enum net.finmath.time.ScheduleGenerator.DaycountConvention
 
getExchangeRate(String, String, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
Return the (cross curve or currency) exchange rate for a given simulation time.
getExtrapolationMethod() - Method in class net.finmath.marketdata.model.curves.Curve
Returns the extrapolation method used by this curve.
getFactorDrift(LIBORModelMonteCarloSimulationInterface, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
getFactorDrift(int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.process.component.factordrift.FactorDriftInterface
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
getFactorDriftDeterminant(int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.process.component.factordrift.FactorDriftInterface
The interface describes how an additional factor drift may be specified for the generation of a process (see e.g.
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getFactorLoading(double, double, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Return the factor loading for a given time and a given component.
getFactorLoading(double, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Return the factor loading for a given time and component index.
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Return the factor loading for a given time index and component index.
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
 
getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
 
getFactorLoading(int, int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
 
getFactorLoading(double, double, double, TimeDiscretizationInterface, RandomVariableInterface[], TermStructureModelInterface) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModel
 
getFactorLoading(double, double, double, TimeDiscretizationInterface, RandomVariableInterface[], TermStructureModelInterface) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelInterface
Return the factor loading for a given time and a term structure period.
getFactorLoading(int, int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
This method has to be implemented to return the factor loadings, i.e.
getFactorLoading(int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getFactorLoading(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getFactorLoading(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
This method should be overwritten and return the factor loading, i.e.
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
Returns the pseudo inverse of the factor matrix.
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
 
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
 
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
 
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
 
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getFactorLoadingPseudoInverse(int, int, int, RandomVariableInterface[]) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
 
getFactorMatrix(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra
Returns the matrix of the n Eigenvectors corresponding to the first n largest Eigenvalues of a correlation matrix.
getFactorScaling(int, RandomVariableInterface[]) - Method in interface net.finmath.montecarlo.process.component.factordrift.FactorDriftInterface
The interface describes how an additional factor scaling may be specified for the generation of a process (see e.g.
getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariable
 
getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getFiltrationTime() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getFiltrationTime() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the filtration time.
getFiltrationTime() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getFixedPartCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getFixedPartEndTime() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getFixedPartStartTime() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getFixing() - Method in class net.finmath.time.Period
 
getFixing(int) - Method in class net.finmath.time.RegularSchedule
 
getFixing(int) - Method in class net.finmath.time.Schedule
 
getFixing(int) - Method in interface net.finmath.time.ScheduleInterface
Return the fixing converted to the internal daycounting relative to the schedules reference date.
getFixingDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getFixingTime() - Method in class net.finmath.marketdata.products.Deposit
 
getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurve
Returns the forward for the corresponding fixing time.
getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurve
 
getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
 
getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
 
getForward(AnalyticModelInterface, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
Returns the forward for the corresponding fixing time.
getForward(AnalyticModelInterface, double, double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
Returns the forward for the corresponding fixing time.
getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getForward(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
getForward(AnalyticModelInterface, double, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
getForwardCurve(String) - Method in class net.finmath.marketdata.model.AnalyticModel
 
getForwardCurve(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
 
getForwardCurveName() - Method in class net.finmath.marketdata.products.Cap
Returns the name of the forward curve references by this cap.
getForwardCurveName() - Method in class net.finmath.marketdata.products.SwapLeg
 
getForwardCurveName() - Method in class net.finmath.marketdata.products.SwapLegWithResetting
 
getForwardRate(String, double, double, double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
Return the forward rate for a given simulation time and a given period start and period end.
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getForwardRateCurve() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getForwardRateCurve() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
Return the initial forward rate curve.
getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
Returns the forwards for a given vector fixing times.
getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
Returns the forwards for a given vector fixing times.
getForwards(AnalyticModelInterface, double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
Returns the forwards for a given vector fixing times.
getForwardSwapRate(TimeDiscretizationInterface, TimeDiscretizationInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.Swap
 
getForwardSwapRate(TimeDiscretizationInterface, TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata.products.Swap
 
getForwardSwapRate(ScheduleInterface, ScheduleInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.Swap
 
getForwardSwapRate(ScheduleInterface, ScheduleInterface, ForwardCurveInterface, AnalyticModelInterface) - Static method in class net.finmath.marketdata.products.Swap
 
getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariable
 
getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariable
 
getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getHistogram(double[]) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getHistogram(int, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getHistogram(double[]) - Method in interface net.finmath.stochastic.RandomVariableInterface
Generates a Histogram based on the realizations stored in this random variable.
getHistogram(int, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Generates a histogram based on the realizations stored in this random variable using interval points calculated from the arguments, see also RandomVariableInterface.getHistogram(double[]).
getHistogram(double[]) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getHistogram(int, double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface, BrownianMotionInterface, double[], double, double[][], double[], double[], double[], DiscountCurveInterface) - Method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory
Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.
getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getImpliedBachelierVolatility(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getImpliedVolatility(double, AnalyticModelInterface, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.products.Cap
Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
 
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotion
 
getIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getIncrement(int, int) - Method in class net.finmath.montecarlo.GammaProcess
 
getIncrement(int, int) - Method in class net.finmath.montecarlo.IndependentIncrements
 
getIncrement(int, int) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Return the increment for a given timeIndex.
getIncrement(int, int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getIndex() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getIndex1() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
Returns the index 1.
getIndex2() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
Returns the index 2.
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getInitialState() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getInitialState() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getInitialState() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Returns the initial value of the state variable of the process Y, not to be confused with the initial value of the model X (which is the state space transform applied to this state value.
getInitialState() - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getInitialValue() - Method in class net.finmath.montecarlo.model.AbstractModel
Returns the initial value of the model.
getInitialValue() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getInitialValue() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getInstance() - Static method in class net.finmath.montecarlo.hybridassetinterestrate.ModelFactory
 
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getIntegratedBondSquaredVolatility(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getIntegratedLIBORCovariance() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getIntegratedLIBORCovariance() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModelInterface
Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).
getIntegratedLIBORCovariance() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
 
getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
 
getIntegratedLIBORCovariance(LIBORMarketModel) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
 
getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
getIntegrationDomainImagLowerBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
 
getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
getIntegrationDomainImagUpperBound() - Method in class net.finmath.fouriermethod.products.EuropeanOption
 
getInterpolationEntity() - Method in class net.finmath.marketdata.model.curves.Curve
Returns the interpolation entity used by this curve.
getInterpolationEntityForward() - Method in class net.finmath.marketdata.model.curves.ForwardCurve
Returns the special interpolation method used for this forward curve.
getInterpolationMethod() - Method in class net.finmath.interpolation.RationalFunctionInterpolation
Returns the interpolation method used.
getInterpolationMethod() - Method in class net.finmath.marketdata.model.curves.Curve
Returns the interpolation method used by this curve.
getIntValue() - Method in class net.finmath.swing.JNumberField
 
getIterations() - Method in class net.finmath.marketdata.calibration.Solver
Returns the number of iterations required in the last solver step.
getIterations() - Method in class net.finmath.optimizer.LevenbergMarquardt
 
getIterations() - Method in interface net.finmath.optimizer.OptimizerInterface
Get the number of iterations.
getJumpIntensity() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getJumpSizeMean() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getJumpSizeStdDev() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getLambda() - Method in class net.finmath.optimizer.LevenbergMarquardt
Get the parameter λ used in the Tikhonov-like regularization of the Hessian matrix, that is the \( \lambda \) in \( H + \lambda \diag H \).
getLambdaDivisor() - Method in class net.finmath.optimizer.LevenbergMarquardt
Get the divisor applied to lambda (for the next iteration) if the inversion of regularized Hessian succeeds, that is, if \( H + \lambda \diag H \) is invertable.
getLambdaMultiplicator() - Method in class net.finmath.optimizer.LevenbergMarquardt
Get the multiplicator applied to lambda if the inversion of regularized Hessian fails, that is, if \( H + \lambda \diag H \) is not invertable.
getLastAccuracy() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Return the accuracy achieved in the last calibration.
getLastNumberOfInterations() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Return the number of iterations needed to calibrate the model.
getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getLastResidualForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getLastResidualForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getLastResidualForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getLastResidualForParameters(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
Returns the last estimate of the time series volatility.
getLegPayer() - Method in class net.finmath.marketdata.products.Swap
Return the payer leg of the swap, i.e. the leg who's value is subtracted from the swap value.
getLegReceiver() - Method in class net.finmath.marketdata.products.Swap
Return the receiver leg of the swap, i.e. the leg who's value is added to the swap value.
getLIBOR(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getLIBOR(int, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getLIBOR(int, int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Return the forward rate for a given simulation time index and a given forward rate index.
getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelInterface
 
getLIBOR(int, int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getLIBOR(double, double, double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getLIBOR(double, double, double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
Return the forward rate for a given simulation time and a given period start and period end.
getLIBORForStateVariable(TimeDiscretizationInterface, RandomVariableInterface[], double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
The period start corresponding to a given forward rate discretization index.
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getLiborPeriod(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Returns the period start of the specified forward rate period.
getLiborPeriod(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
The tenor time discretization of the forward rate curve.
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getLiborPeriodDiscretization() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Returns the libor period discretization as time discretization representing start and end dates of periods.
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
The forward rate time discretization associated with this model (defines the components).
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
 
getLiborPeriodDiscretization() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getLiborPeriodIndex(double) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time).
getLiborPeriodIndex(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getLIBORs(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getLIBORs(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Return the forward rate curve for a given simulation time index.
getLIBORs(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getLinearRegressionParameters(RandomVariableInterface) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
Return the solution x of XTX x = XT y for a given y.
getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getLogLikelihoodForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getLogLikelihoodForParameters(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getLogLikelihoodForParameters(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getLogLikelihoodForParameters(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
Get log likelihood of the sample time series for given model parameters.
getLogSwaprateDerivative(TimeDiscretizationInterface, DiscountCurveInterface, ForwardCurveInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLogSwaprateDerivative(TimeDiscretizationInterface, DiscountCurveInterface, ForwardCurveInterface, double[]) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLogSwaprateDerivative(TimeDiscretizationInterface, ForwardCurveInterface, double[]) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
This function calculate the partial derivative d log(S) / d log(Lk) for a given swap rate with respect to a vector of forward rates (on a given forward rate tenor).
getLowerBound() - Method in class net.finmath.integration.AbstractRealIntegral
Get the lower integration bound.
getMaturity() - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
Return the maturity of the associated payoff.
getMaturity() - Method in class net.finmath.fouriermethod.products.EuropeanOption
 
getMaturity() - Method in class net.finmath.montecarlo.interestrate.products.Bond
 
getMax() - Method in class net.finmath.montecarlo.RandomVariable
 
getMax() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getMax() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getMax() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the maximum value attained by this random variable.
getMax() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getMeanReversion(int) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolailityModelInterface
Returns the value of \( a(t) \) for \( t_{i} \leq t < t_{i+1} \).
getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel
 
getMeanReversion(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModelHoLee
 
getMeanSquaredError(double[]) - Method in class net.finmath.optimizer.LevenbergMarquardt
 
getMeasure() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getMeasure() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getMin() - Method in class net.finmath.montecarlo.RandomVariable
 
getMin() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getMin() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getMin() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the minimum value attained by this random variable.
getMin() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getModel() - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.
getModel() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
Returns the AbstractModel used for this Monte-Carlo simulation.
getModel() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
Returns the AbstractModel used for this Monte-Carlo simulation.
getModel() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
Returns the underlying model.
getModel() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getModel() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
Returns the underlying model.
getModel() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
Returns the underlying model.
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.model.AbstractModel
 
getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(int) - Method in interface net.finmath.montecarlo.process.ProcessInterface
This method returns the weights of a weighted Monte Carlo method (the probability density).
getMonteCarloWeights(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getMonteCarloWeights(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
This method returns the weights of a weighted Monte Carlo method (the probability density).
getMutableCopy() - Method in class net.finmath.montecarlo.RandomVariable
 
getMutableCopy() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
Deprecated.
getMutableCopy() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getMutableCopy() - Method in interface net.finmath.stochastic.RandomVariableInterface
Deprecated.
getMutableCopy() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getName() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
getName() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
Get the name of the curve.
getName() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getName() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
getName() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
Returns the name of the volatility surface.
getName() - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Returns the name of the index.
getNextPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch
Returns the next point for which a valuation is requested.
getNextPoint() - Method in class net.finmath.rootfinder.BisectionSearch
 
getNextPoint() - Method in class net.finmath.rootfinder.NewtonsMethod
 
getNextPoint() - Method in class net.finmath.rootfinder.RiddersMethod
 
getNextPoint() - Method in interface net.finmath.rootfinder.RootFinder
 
getNextPoint() - Method in interface net.finmath.rootfinder.RootFinderWithDerivative
 
getNextPoint() - Method in class net.finmath.rootfinder.SecantMethod
 
getNotional() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
Calculates the notional at the end of a period, given a period.
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
 
getNotionalAtPeriodEnd(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
 
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in interface net.finmath.montecarlo.interestrate.products.components.AbstractNotional
Calculates the notional at the start of a period, given a period.
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
 
getNotionalAtPeriodStart(AbstractPeriod, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Notional
 
getNumberOfAssets() - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Returns the number of asset price processes.
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getNumberOfAssets() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getNumberOfAssets() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getNumberOfAssets() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
This method is just a synonym to getNumberOfLibors
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getNumberOfComponents() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Returns the number of components
getNumberOfComponents() - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
getNumberOfComponents() - Method in interface net.finmath.montecarlo.process.ProcessInterface
 
getNumberOfComponents() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianBridge
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotion
 
getNumberOfFactors() - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Returns the number of factors.
getNumberOfFactors() - Method in class net.finmath.montecarlo.BrownianMotionView
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.GammaProcess
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.IndependentIncrements
 
getNumberOfFactors() - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Returns the number of factors.
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructCovarianceModelFromLIBORCovarianceModel
 
getNumberOfFactors() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelInterface
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.model.AbstractModel
 
getNumberOfFactors() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Returns the number of factors m, i.e., the number of independent Brownian drivers.
getNumberOfFactors() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getNumberOfFactors() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getNumberOfIterations() - Method in class net.finmath.optimizer.GoldenSectionSearch
 
getNumberOfIterations() - Method in class net.finmath.rootfinder.BisectionSearch
 
getNumberOfIterations() - Method in class net.finmath.rootfinder.NewtonsMethod
 
getNumberOfIterations() - Method in class net.finmath.rootfinder.RiddersMethod
 
getNumberOfIterations() - Method in interface net.finmath.rootfinder.RootFinder
 
getNumberOfIterations() - Method in interface net.finmath.rootfinder.RootFinderWithDerivative
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelInterface
Get the number of LIBORs in the LIBOR discretization.
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getNumberOfLibors() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface
 
getNumberOfLibors() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianBridge
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotion
 
getNumberOfPaths() - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Returns the number of paths.
getNumberOfPaths() - Method in class net.finmath.montecarlo.BrownianMotionView
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.GammaProcess
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.IndependentIncrements
 
getNumberOfPaths() - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Returns the number of paths.
getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getNumberOfPaths() - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
Returns the numberOfPaths.
getNumberOfPaths() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getNumberOfPaths() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getNumberOfPeriods() - Method in class net.finmath.time.RegularSchedule
 
getNumberOfPeriods() - Method in class net.finmath.time.Schedule
 
getNumberOfPeriods() - Method in interface net.finmath.time.ScheduleInterface
Returns the number of periods.
getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeries
 
getNumberOfTimePoints() - Method in interface net.finmath.timeseries.TimeSeriesInterface
 
getNumberOfTimePoints() - Method in class net.finmath.timeseries.TimeSeriesView
 
getNumberOfTimes() - Method in class net.finmath.time.TimeDiscretization
 
getNumberOfTimes() - Method in interface net.finmath.time.TimeDiscretizationInterface
 
getNumberOfTimeSteps() - Method in class net.finmath.time.TimeDiscretization
 
getNumberOfTimeSteps() - Method in interface net.finmath.time.TimeDiscretizationInterface
 
getNumeraire(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Returns the numeraire associated with the valuation measure used by this model.
getNumeraire(double) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationInterface
Returns the numeraire associated with the valuation measure used by this model.
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getNumeraire(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getNumeraire(double) - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
Return the numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getNumeraire(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
 
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
 
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
 
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
 
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
Return the numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Return the numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
Return the numeraire at a given time.
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getNumeraire(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getNumeraire(double) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
Return the numeraire at a given time.
getNumeraire(double) - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Return the numeraire at a given time index.
getNumeraire(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getNumeraire(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getNumeratorIndex() - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
Returns the numerator index.
getObjectsToModifyForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
 
getOperator() - Method in class net.finmath.montecarlo.RandomVariable
 
getOperator() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getOperator() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getOperator() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the operator path → this.get(path) corresponding to this random variable.
getOperator() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryCMAES
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactoryInterface
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactoryInterface
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in interface net.finmath.optimizer.OptimizerFactoryInterface
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
 
getOptimizer(OptimizerInterface.ObjectiveFunction, double[], double[], double[], double[], double[]) - Method in class net.finmath.optimizer.OptimizerFactoryLevenbergMarquardt
 
getOptionMaturities() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
 
getOptionMaturities() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
 
getParameter() - Method in class net.finmath.marketdata.calibration.ParameterAggregation
 
getParameter() - Method in interface net.finmath.marketdata.calibration.ParameterObjectInterface
Get the current parameter associated with the state of the objects.
getParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation
Return the original parameter for the given (unbounded) solver parameter.
getParameter() - Method in class net.finmath.marketdata.model.curves.Curve
 
getParameter() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
 
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
 
getParameter() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getParameter() - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
 
getParameter() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getParameter() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
 
getParameter() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getParameter() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
 
getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
 
getParameter() - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModelParametric
Get the parameters of determining this parametric covariance model.
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.BlendedLocalVolatilityModel
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.DisplacedLocalVolatilityModel
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureCovarianceModelParametric
Get the parameters of determining this parametric covariance model.
getParameter() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureFactorLoadingsModelParametricInterface
Get the parameters of determining this parametric covariance model.
getParameter() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
 
getParameter() - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
 
getParameterIndex(double) - Method in class net.finmath.marketdata.model.curves.Curve
 
getParameterNames() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getParameterNames() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getParameterNames() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getParameterNames() - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
 
getParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getParameters() - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
 
getPayment() - Method in class net.finmath.time.Period
 
getPayment(int) - Method in class net.finmath.time.RegularSchedule
 
getPayment(int) - Method in class net.finmath.time.Schedule
 
getPayment(int) - Method in interface net.finmath.time.ScheduleInterface
Return the payment date converted to the internal daycounting relative to the schedules reference date.
getPaymentDate() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.AbstractForwardCurve
 
getPaymentOffset(double) - Method in interface net.finmath.marketdata.model.curves.ForwardCurveInterface
Returns the payment offset associated with this forward curve and a corresponding fixingTime.
getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getPaymentOffset(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
getPeriod(int) - Method in class net.finmath.time.RegularSchedule
 
getPeriod(int) - Method in class net.finmath.time.Schedule
 
getPeriod(int) - Method in interface net.finmath.time.ScheduleInterface
Return the period for a given period index.
getPeriodEnd() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getPeriodEnd() - Method in class net.finmath.time.Period
 
getPeriodEnd(int) - Method in class net.finmath.time.RegularSchedule
 
getPeriodEnd(int) - Method in class net.finmath.time.Schedule
 
getPeriodEnd(int) - Method in interface net.finmath.time.ScheduleInterface
Return the period end date converted to the internal daycounting relative to the schedules reference date.
getPeriodEndTime() - Method in class net.finmath.marketdata.products.Deposit
 
getPeriodLength() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
Returns the tenor encoded as an pseudo act/365 daycount fraction.
getPeriodLength(int) - Method in class net.finmath.time.RegularSchedule
 
getPeriodLength(int) - Method in class net.finmath.time.Schedule
 
getPeriodLength(int) - Method in interface net.finmath.time.ScheduleInterface
Return the period length for a given period index.
getPeriods() - Method in class net.finmath.time.RegularSchedule
 
getPeriods() - Method in class net.finmath.time.Schedule
 
getPeriods() - Method in interface net.finmath.time.ScheduleInterface
Returns the array of periods.
getPeriodStart() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getPeriodStart() - Method in class net.finmath.time.Period
 
getPeriodStart(int) - Method in class net.finmath.time.RegularSchedule
 
getPeriodStart(int) - Method in class net.finmath.time.Schedule
 
getPeriodStart(int) - Method in interface net.finmath.time.ScheduleInterface
Return the period start date converted to the internal daycounting relative to the schedules reference date.
getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
Returns the fixingOffet as an act/365 day count.
getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
Returns the fixingOffet as an act/365 day count.
getPeriodStartOffset() - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
Returns the periodStartOffset as an act/365 daycount.
getProcess() - Method in interface net.finmath.montecarlo.crosscurrency.CrossCurrencyTermStructureModelMonteCarloSimulationInterface
 
getProcess() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getProcess() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getProcess() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getProcess() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulationInterface
 
getProcess() - Method in class net.finmath.montecarlo.model.AbstractModel
 
getProcess() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Get the numerical scheme used to generate the stochastic process.
getProcessValue(int, int) - Method in class net.finmath.montecarlo.model.AbstractModel
 
getProcessValue(double, int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
Returns the (possibly interpolated) value of this stochastic process at a given time \( t \).
getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
getProcessValue(int, int) - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
This method returns the realization of the process at a certain time index.
getProcessValue(int, int) - Method in interface net.finmath.montecarlo.process.ProcessInterface
This method returns the realization of a component of the process for a given time index.
getProcessValue(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
This method returns the realization of the process at a certain time index.
getProcessValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
This method returns the realization of the process at a certain time index.
getProducts() - Method in class net.finmath.marketdata.products.Portfolio
Returns the list of products as an unmodifiable list.
getProducts() - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
Returns the collection containing all products as an unmodifiable collection.
getProducts() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
 
getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariable
 
getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getQuantile(double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getQuantile(double, RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getQuantile(double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
getQuantile(double, RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the quantile value for this given random variable, i.e., the value x such that P(this < x) = quantile, where P denotes the probability measure.
getQuantile(double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getQuantile(double, RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariable
 
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getQuantileExpectation(double, double) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getQuantileExpectation(double, double) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the expectation over a quantile for this given random variable.
getQuantileExpectation(double, double) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getQuantilPredictions(int, double[]) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getQuantilPredictionsForParameters(double[], double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getQuantilPredictionsForParameters(double, double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getQuantilPredictionsForParameters(double, double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getQuantilPredictionsForParameters(double, double, double, double[]) - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getQuotingConvention() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
getQuotingConvention() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
Return the default quoting convention of this surface.
getRandomVariable() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianBridge
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotion
 
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotionInterface.
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.GammaProcess
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.IndependentIncrements
 
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this BrownianMotionInterface.
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getRandomVariableForConstant(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
getRandomVariableForConstant(double) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getRate(AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Deposit
Return the deposit rate implied by the given model's curve.
getRate() - Method in class net.finmath.marketdata.products.Deposit
 
getRate(AnalyticModelInterface) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
Return the par FRA rate for a given curve.
getRealizations() - Method in class net.finmath.montecarlo.RandomVariable
 
getRealizations(int) - Method in class net.finmath.montecarlo.RandomVariable
Returns the realizations as double array.
getRealizations() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getRealizations(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getRealizations() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getRealizations(int) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
Returns the realizations as double array.
getRealizations() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns a vector representing the realization of this random variable.
getRealizations(int) - Method in interface net.finmath.stochastic.RandomVariableInterface
Deprecated.
The method is intended for diagnostic purposes, deprecated because it makes to strong assumptions on the internal representation.
getRealizations() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getRealizations(int) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariable
 
getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getRealizationsStream() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getRealizationsStream() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns a stream of doubles corresponding to the realizations of this random variable.
getRealizationsStream() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getReferenceDate() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
getReferenceDate() - Method in interface net.finmath.marketdata.model.curves.CurveInterface
Return the reference date of this curve, i.e. the date associated with t=0.
getReferenceDate() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getReferenceDate() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
getReferenceDate() - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
Return the reference date of this surface, i.e. the date associated with t=0.
getReferenceDate() - Method in class net.finmath.time.RegularSchedule
 
getReferenceDate() - Method in class net.finmath.time.Schedule
 
getReferenceDate() - Method in interface net.finmath.time.ScheduleInterface
Returns the reference data of this schedule.
getReferenceDate() - Method in class net.finmath.time.Tenor
 
getReferenceDate() - Method in interface net.finmath.time.TenorInterface
 
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getRiskFreeRate() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
Returns the risk free rate parameter of this model.
getRiskFreeRate() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
Returns the riskFreeRate.
getRolledDate(LocalDate, int) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendar
 
getRolledDate(LocalDate, int) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
Find a new date by adding the given number of business days to a given base date.
getRootMeanSquaredError() - Method in class net.finmath.optimizer.LevenbergMarquardt
 
getRootMeanSquaredError() - Method in interface net.finmath.optimizer.OptimizerInterface
 
getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariable
 
getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getSampleVariance() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getSampleVariance() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the sample variance of this random variable, i.e., V * size()/(size()-1) where V = getVariance().
getSampleVariance() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getScaledTenorTime(double, double) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingInterface
 
getScaledTenorTime(double, double) - Method in class net.finmath.montecarlo.interestrate.modelplugins.TermStructureTenorTimeScalingPicewiseConstant
 
getScaling1() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
Returns the scaling 1.
getScaling2() - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
Returns the scaling 2.
getSchedule() - Method in class net.finmath.marketdata.products.Deposit
 
getSchedule() - Method in class net.finmath.marketdata.products.SwapLeg
 
getSchedule() - Method in class net.finmath.marketdata.products.SwapLegWithResetting
 
getScheme() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getScheme() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getSeed() - Method in class net.finmath.montecarlo.BrownianMotion
 
getSeed() - Method in class net.finmath.montecarlo.GammaProcess
 
getSeed() - Method in class net.finmath.montecarlo.IndependentIncrements
 
getSeed() - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModel
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is \( \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau \) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is \( \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot a \cdot (t-\tau)) \ \mathrm{d}\tau \) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is \( \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau \) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
getShortRateConditionalVariance(double, double) - Method in class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
Calculates the variance \( \mathop{Var}(r(t) \vert r(s) ) \), that is \( \int_{s}^{t} \sigma^{2}(\tau) \exp(-2 \cdot \int_{\tau}^{t} a(u) \mathrm{d}u ) \ \mathrm{d}\tau \) where \( a \) is the meanReversion and \( \sigma \) is the short rate instantaneous volatility.
getSolverParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterTransformation
Return the (unbounded) solver parameter for the given original parameter.
getSpread() - Method in class net.finmath.marketdata.products.SwapLeg
 
getSpread() - Method in class net.finmath.marketdata.products.SwapLegWithResetting
 
getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariable
 
getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getStandardDeviation() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getStandardDeviation() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
getStandardDeviation(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the standard deviation of this random variable, i.e., sqrt(V) where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
getStandardDeviation() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getStandardDeviation(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getStandardError() - Method in class net.finmath.montecarlo.RandomVariable
 
getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
getStandardError() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getStandardError() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getStandardError(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getStandardError() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the standard error (discretization error) of this random variable.
getStandardError(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the standard error (discretization error) of this random variable.
getStandardError() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getStandardError(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getStateVariable(int, double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getStateVariableForPeriod(TimeDiscretizationInterface, RandomVariableInterface[], double, double) - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelWithTenorRefinement
 
getStochasticDriver() - Method in interface net.finmath.montecarlo.process.AbstractProcessInterface
 
getStochasticDriver() - Method in class net.finmath.montecarlo.process.ProcessEulerScheme
 
getStrike() - Method in class net.finmath.marketdata.products.Cap
Returns the strike of this caplet.
getStrikes() - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap
 
getSum() - Method in class net.finmath.montecarlo.RandomVariable
 
getSwapAnnuity(TimeDiscretizationInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(TimeDiscretizationInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
getSwapAnnuity(ScheduleInterface, DiscountCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapAnnuity(ScheduleInterface, ForwardCurveInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
Function to calculate an (idealized) single curve swap annuity for a given schedule and forward curve.
getSwapAnnuity(double, ScheduleInterface, DiscountCurveInterface, AnalyticModelInterface) - Static method in class net.finmath.marketdata.products.SwapAnnuity
Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
getSwapPeriodLength() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
 
getSwapPeriodLength() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
 
getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModel
Return the swaption market data used for calibration (if any, may be null).
getSwaptionMarketData() - Method in class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Return the swaption market data used for calibration (if any, may be null).
getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getSzenarios(double, double, double, double) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getSzenarios(double[]) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getSzenarios(double, double, double) - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getSzenarios(int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getTenor() - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
 
getTenor() - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
 
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getTime(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getTime(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getTime(int) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getTime(int) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getTime(int) - Method in class net.finmath.montecarlo.model.AbstractModel
Return the simulation time for a given time index.
getTime(int) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
Returns the time for a given time index.
getTime(int) - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getTime(int) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
getTime(int) - Method in interface net.finmath.montecarlo.process.ProcessInterface
 
getTime(int) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
Returns the time for a given simulation time index.
getTime(int) - Method in class net.finmath.time.TimeDiscretization
 
getTime(int) - Method in interface net.finmath.time.TimeDiscretizationInterface
Returns the time for the given time index.
getTime(int) - Method in class net.finmath.timeseries.TimeSeries
 
getTime(int) - Method in interface net.finmath.timeseries.TimeSeriesInterface
 
getTime(int) - Method in class net.finmath.timeseries.TimeSeriesView
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianBridge
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotion
 
getTimeDiscretization() - Method in interface net.finmath.montecarlo.BrownianMotionInterface
Returns the time discretization used for this set of time-discrete Brownian increments.
getTimeDiscretization() - Method in class net.finmath.montecarlo.BrownianMotionView
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.GammaProcess
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.IndependentIncrements
 
getTimeDiscretization() - Method in interface net.finmath.montecarlo.IndependentIncrementsInterface
Returns the time discretization used for this set of time-discrete Brownian increments.
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel
The simulation time discretization associated with this model.
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
 
getTimeDiscretization() - Method in interface net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolailityModelInterface
Returns the time discretization \( \{ t_{i} \} \) associated with the piecewise constant functions.
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModelHoLee
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.model.AbstractModel
Get the time discretization of the model (simulation time).
getTimeDiscretization() - Method in interface net.finmath.montecarlo.model.AbstractModelInterface
Returns the time discretization of the model parameters.
getTimeDiscretization() - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
Returns the timeDiscretization.
getTimeDiscretization() - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
getTimeDiscretization() - Method in interface net.finmath.montecarlo.process.ProcessInterface
 
getTimeDiscretization() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getTimeIndex(double) - Method in class net.finmath.marketdata.model.curves.Curve
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.interestrate.TermStructureModelMonteCarloSimulation
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.model.AbstractModel
Return the time index associated for the given simulation time.
getTimeIndex(double) - Method in interface net.finmath.montecarlo.MonteCarloSimulationInterface
Returns the time index for a given time.
getTimeIndex(double) - Method in class net.finmath.montecarlo.process.AbstractProcess
 
getTimeIndex(double) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
getTimeIndex(double) - Method in interface net.finmath.montecarlo.process.ProcessInterface
Returns the time index for a given simulation time.
getTimeIndex(double) - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
Returns the time index for a given simulation time.
getTimeIndex(double) - Method in class net.finmath.time.TimeDiscretization
 
getTimeIndex(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
Returns the time index for the given time.
getTimeIndexNearestGreaterOrEqual(double) - Method in class net.finmath.time.TimeDiscretization
 
getTimeIndexNearestGreaterOrEqual(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
Returns the time index for the time in the time discretization which is the nearest to the given time, being greater or equal (i.e. min(i : timeDiscretization[i] ≥ time where timeDiscretization[i] ≤ timeDiscretization[j]).
getTimeIndexNearestLessOrEqual(double) - Method in class net.finmath.time.TimeDiscretization
 
getTimeIndexNearestLessOrEqual(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
Returns the time index for the time in the time discretization which is the nearest to the given time, being less or equal (i.e. max(i : timeDiscretization[i] ≤ time where timeDiscretization[i] ≤ timeDiscretization[j]).
getTimeScaling() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getTimeShiftedTimeDiscretization(double) - Method in class net.finmath.time.TimeDiscretization
 
getTimeShiftedTimeDiscretization(double) - Method in interface net.finmath.time.TimeDiscretizationInterface
Return a new time discretization where all time points have been shifted by a given time shift.
getTimeStep(int) - Method in class net.finmath.time.TimeDiscretization
 
getTimeStep(int) - Method in interface net.finmath.time.TimeDiscretizationInterface
Returns the time step from the given time index to the next one.
getUpperBound() - Method in class net.finmath.integration.AbstractRealIntegral
Get the upper integration bound.
getValue(ProcessCharacteristicFunctionInterface) - Method in class net.finmath.fouriermethod.products.AbstractProductFourierTransform
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation
Get an interpolated value for a given argument x.
getValue(double) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
getValue(double) - Method in class net.finmath.marketdata.model.curves.Curve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.Curve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
 
getValue(double) - Method in interface net.finmath.marketdata.model.curves.CurveInterface
Returns the value for the time using the interpolation method associated with this curve.
getValue(AnalyticModelInterface, double) - Method in interface net.finmath.marketdata.model.curves.CurveInterface
Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getValue(double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
 
getValue(double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getValue(AnalyticModelInterface, double) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
getValue(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
Returns the option price of a swaption for a given option maturity and tenor length.
getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
 
getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
 
getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
 
getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
 
getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
 
getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
 
getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
 
getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
 
getValue(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
 
getValue(double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
Returns the price or implied volatility for the corresponding maturity and strike.
getValue(AnalyticModelInterface, double, double, VolatilitySurfaceInterface.QuotingConvention) - Method in interface net.finmath.marketdata.model.volatilities.VolatilitySurfaceInterface
Returns the price or implied volatility for the corresponding maturity and strike.
getValue(double, ModelInterface) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
 
getValue(AnalyticModelInterface) - Method in class net.finmath.marketdata.products.AbstractAnalyticProduct
 
getValue(double, AnalyticModelInterface) - Method in interface net.finmath.marketdata.products.AnalyticProductInterface
Return the valuation of the product using the given model.
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Cap
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Cashflow
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Deposit
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Forward
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.ForwardRateAgreement
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.MarketForwardRateAgreement
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Performance
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Portfolio
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Swap
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.SwapAnnuity
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.SwapLeg
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.SwapLegWithResetting
 
getValue(double, ModelInterface) - Method in interface net.finmath.modelling.ProductInterface
Return the valuation of the product using the given model.
getValue(double, ModelInterface) - Method in class net.finmath.modelling.UnsupportedProduct
 
getValue(double, AnalyticModelInterface) - Method in class net.finmath.modelling.UnsupportedProduct
 
getValue(double, ModelInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
 
getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value of the product under the specified model.
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
 
getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
 
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
 
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
 
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio
 
getValue(double, AssetModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.LocalRiskMinimizingHedgePortfolio
 
getValue(double, ModelInterface) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
 
getValue(double, HybridAssetLIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Bond
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Caplet
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.CMSOption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(ForwardCurveInterface, double) - Method in class net.finmath.montecarlo.interestrate.products.CMSOption
This method returns the value of the product using a Black-Scholes model for the swap rate with the Hunt-Kennedy convexity adjustment.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Cashflow
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.IndexedValue
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Numeraire
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.Period
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.ProductCollection
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.DigitalCaplet
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.FlexiCap
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.DateIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.FowardCurveIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.MinIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.PowIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.ProductIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SimpleCappedFlooredFloatingRateBond
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SimpleSwap
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SimpleZeroSwap
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Swap
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwapLeg
 
getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation
 
getValue(double, LIBORMarketModel) - Method in class net.finmath.montecarlo.interestrate.products.SwaprateCovarianceAnalyticApproximation
Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.Swaption
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(ForwardCurveInterface, double) - Method in class net.finmath.montecarlo.interestrate.products.Swaption
This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
 
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSimple
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
getValue(ForwardCurveInterface, double) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
getValue(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
 
getValue(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.products.PortfolioMonteCarloProduct
 
getValue() - Method in class net.finmath.swing.JNumberField
 
getValue(String) - Method in class net.finmath.timeseries.MarketData
 
getValue(int) - Method in class net.finmath.timeseries.TimeSeries
 
getValue(int) - Method in interface net.finmath.timeseries.TimeSeriesInterface
 
getValue(int) - Method in class net.finmath.timeseries.TimeSeriesView
 
getValueAsPrice(double, AnalyticModelInterface) - Method in class net.finmath.marketdata.products.Cap
Returns the value of this product under the given model.
getValueForModifiedData(double, MonteCarloSimulationInterface, Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
 
getValues(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
Return a vector of values corresponding to a given vector of times.
getValues(double, MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value of the product under the specified model and other information in a key-value map.
getValues(MonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value of the product under the specified model and other information in a key-value map.
getValues(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.
getValues(double, LIBORModelMonteCarloSimulationInterface) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
 
getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
Calculates the squared curvature of the LIBOR instantaneous variance.
getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximation
Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionAnalyticApproximationRebonato
Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues(double, LIBORMarketModelInterface) - Method in class net.finmath.montecarlo.interestrate.products.SwaptionSingleCurveAnalyticApproximation
Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
getValues() - Method in class net.finmath.timeseries.TimeSeries
 
getValues() - Method in interface net.finmath.timeseries.TimeSeriesInterface
 
getValues() - Method in class net.finmath.timeseries.TimeSeriesView
 
getValuesForModifiedData(double, MonteCarloSimulationInterface, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value under shifted market data (or model parameters).
getValuesForModifiedData(double, MonteCarloSimulationInterface, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value under shifted market data (or model parameters).
getValuesForModifiedData(MonteCarloSimulationInterface, Map<String, Object>) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value under shifted market data (or model parameters).
getValuesForModifiedData(MonteCarloSimulationInterface, String, Object) - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
This method returns the value under shifted market data (or model parameters).
getVariance() - Method in class net.finmath.montecarlo.RandomVariable
 
getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariable
 
getVariance() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getVariance() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getVariance(RandomVariableInterface) - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
getVariance() - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage() and X = this and m = X.getAverage().
getVariance(RandomVariableInterface) - Method in interface net.finmath.stochastic.RandomVariableInterface
Returns the variance of this random variable, i.e., V where V = ((X-m)^2).getAverage(probabilities) and X = this and m = X.getAverage(probabilities).
getVariance() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getVariance(RandomVariableInterface) - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
getVersionString() - Static method in class net.finmath.information.Library
Return the version string of this instance of finmath-lib.
getVolatilities() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
Returns the volatility parameters of this model.
getVolatility(double, double, double, double) - Method in interface net.finmath.marketdata.model.volatilities.AbstractSwaptionMarketData
Returns the option implied volatility of a swaption for a given option maturity and tenor length.
getVolatility(double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
 
getVolatility(double, double, double, double) - Method in class net.finmath.marketdata.model.volatilities.SwaptionMarketData
 
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.BachelierModel
Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.BlackScholesModel
Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.HestonModel
Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
Returns the volatility parameter of this model.
getVolatility() - Method in class net.finmath.montecarlo.assetderivativevaluation.MertonModel
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
Implement this method to complete the implementation.
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
 
getVolatility(int, int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
 
getVolatility(int) - Method in interface net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolailityModelInterface
Returns the value of \( \sigma(t) \) for \( t_{i} \leq t < t_{i+1} \).
getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModel
 
getVolatility(int) - Method in class net.finmath.montecarlo.interestrate.modelplugins.ShortRateVolatilityModelHoLee
 
getVolatility() - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
Returns the volatility.
getVolatilityModel() - Method in class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getVolatilitySurface(String) - Method in class net.finmath.marketdata.model.AnalyticModel
 
getVolatilitySurface(String) - Method in interface net.finmath.marketdata.model.AnalyticModelInterface
 
getWeights() - Method in class net.finmath.marketdata.products.Portfolio
Returns the list of weights as an unmodifiable list.
getWeights() - Method in class net.finmath.montecarlo.interestrate.products.Portfolio
 
getZeroRate(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
getZeroRate(double) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
Returns the zero rate for a given maturity, i.e., -ln(df(T)) / T where T is the given maturity and df(T) is the discount factor at time $T$.
getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurve
Returns the zero rates for a given vector maturities.
getZeroRates(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
Returns the zero rates for a given vector maturities.
GoldenSectionSearch - Class in net.finmath.optimizer
This class implements a Golden Section search algorithm, i.e., a minimization, implemented as a question-and-answer search algorithm.
GoldenSectionSearch(double, double) - Constructor for class net.finmath.optimizer.GoldenSectionSearch
 

H

hashCode() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
hashCode() - Method in class net.finmath.montecarlo.BrownianMotion
 
hashCode() - Method in class net.finmath.montecarlo.GammaProcess
 
hashCode() - Method in class net.finmath.montecarlo.IndependentIncrements
 
hashCode() - Method in class net.finmath.time.Period
 
hashCode() - Method in class net.finmath.time.TimeDiscretization
 
HestonModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
HestonModel(double, double, double, double, double, double, double, double, HestonModel.Scheme) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.HestonModel
Create a Heston model.
HestonModel(double, double, double, double, double, double, double, HestonModel.Scheme) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.HestonModel
Create a Heston model.
HestonModel.Scheme - Enum in net.finmath.montecarlo.assetderivativevaluation
Truncation schemes to be used in the calculation of drift and diffusion coefficients.
HistoricalSimulationModel - Interface in net.finmath.timeseries
A parametric time series model based on a given times series.
HullWhiteLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.modelplugins
Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the Hull-White local volatility.
HullWhiteLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.HullWhiteLocalVolatilityModel
The model constructed for the i-th factor loading is (1+Li(t) d) Fi(t) where d is a constant (the period length), Li is the realization of the i-th component of the stochastic process and Fi is the factor loading from the given covariance model.
HullWhiteModel - Class in net.finmath.montecarlo.interestrate
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModel(TimeDiscretizationInterface, AnalyticModelInterface, ForwardCurveInterface, DiscountCurveInterface, ShortRateVolailityModelInterface, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.HullWhiteModel
Creates a Hull-White model which implements LIBORMarketModelInterface.
HullWhiteModelWithConstantCoeff - Class in net.finmath.montecarlo.interestrate
Implements a Hull-White model with constant coefficients.
HullWhiteModelWithConstantCoeff(TimeDiscretizationInterface, AnalyticModelInterface, ForwardCurveInterface, DiscountCurveInterface, double, double, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.HullWhiteModelWithConstantCoeff
Creates a Hull-White model which implements LIBORMarketModelInterface.
HullWhiteModelWithDirectSimulation - Class in net.finmath.montecarlo.interestrate
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModelWithDirectSimulation(TimeDiscretizationInterface, AnalyticModelInterface, ForwardCurveInterface, DiscountCurveInterface, ShortRateVolailityModelInterface, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.HullWhiteModelWithDirectSimulation
Creates a Hull-White model which implements LIBORMarketModelInterface.
HullWhiteModelWithShiftExtension - Class in net.finmath.montecarlo.interestrate
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModelWithShiftExtension(TimeDiscretizationInterface, AnalyticModelInterface, ForwardCurveInterface, DiscountCurveInterface, ShortRateVolailityModelInterface, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.HullWhiteModelWithShiftExtension
Creates a Hull-White model which implements LIBORMarketModelInterface.
huntKennedyCMSAdjustedRate(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the adjusted forward swaprate corresponding to a change of payoff unit from the given swapAnnuity to the given payoffUnit using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
huntKennedyCMSFloorValue(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a CMS strike using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
huntKennedyCMSOptionValue(double, double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a CMS option using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
HybridAssetLIBORModelMonteCarloSimulation - Class in net.finmath.montecarlo.hybridassetinterestrate
An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationInterface providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationInterface providing the asset simulation.
HybridAssetLIBORModelMonteCarloSimulation(LIBORModelMonteCarloSimulationInterface, AssetModelMonteCarloSimulationInterface, DiscountCurveInterface) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationInterface providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationInterface providing the asset simulation.
HybridAssetLIBORModelMonteCarloSimulation(LIBORModelMonteCarloSimulationInterface, AssetModelMonteCarloSimulationInterface) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
 
HybridAssetLIBORModelMonteCarloSimulationInterface - Interface in net.finmath.montecarlo.hybridassetinterestrate
 

I

IndependentIncrements - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional sequence of independent increments W = (W1,...
IndependentIncrements(TimeDiscretizationInterface, int, int, int, IntFunction<IntFunction<DoubleUnaryOperator>>, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.IndependentIncrements
Construct the simulation of independent increments.
IndependentIncrements(TimeDiscretizationInterface, int, int, int, IntFunction<IntFunction<DoubleUnaryOperator>>) - Constructor for class net.finmath.montecarlo.IndependentIncrements
Construct the simulation of independet increments.
IndependentIncrementsInterface - Interface in net.finmath.montecarlo
Interface description of a time-discrete n-dimensional stochastic process \( X = (X_{1},\ldots,X_{n}) \) provided by independent increments \( \Delta X(t_{i}) = X(t_{i+1})-X(t_{i}) \).
IndexCurveFromDiscountCurve - Class in net.finmath.marketdata.model.curves
An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).
IndexCurveFromDiscountCurve(String, double, DiscountCurveInterface) - Constructor for class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
 
IndexedValue - Class in net.finmath.montecarlo.interestrate.products.components
An indexed value.
IndexedValue(double, AbstractProductComponent, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.components.IndexedValue
Creates the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).
InhomogeneousDisplacedLognomalModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
InhomogeneousDisplacedLognomalModel(double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
Create a blended normal/lognormal model.
InhomogeneousDisplacedLognomalModel(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.InhomogeneousDisplacedLognomalModel
Create a blended normal/lognormal model.
InhomogenousBachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
InhomogenousBachelierModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.InhomogenousBachelierModel
Create a Monte-Carlo simulation using given time discretization.
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.AbstractRealIntegral
 
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.MonteCarloIntegrator
 
integrate(DoubleUnaryOperator) - Method in interface net.finmath.integration.RealIntegralInterface
 
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.RombergRealIntegration
 
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.SimpsonRealIntegrator
 
integrate(DoubleUnaryOperator) - Method in class net.finmath.integration.TrapezoidalRealIntegrator
 
inverseCumulativeDistribution(double) - Method in class net.finmath.functions.GammaDistribution
Return the inverse cumulative distribution function at x.
inverseCumulativeDistribution(double) - Static method in class net.finmath.functions.NormalDistribution
Inverse of the cumulative distribution function of the standard normal distribution using Jakarta commons-math
inverseCumulativeDistribution(double) - Method in class net.finmath.functions.PoissonDistribution
Return the inverse cumulative distribution function at x.
inverseCumulativeNormalDistribution_Wichura(double) - Static method in class net.finmath.functions.NormalDistribution
Inverse of the cumulative distribution function of the standard normal distribution Java Version of Michael J.
invert(double[][]) - Static method in class net.finmath.functions.LinearAlgebra
Returns the inverse of a given matrix.
invert() - Method in class net.finmath.montecarlo.RandomVariable
 
invert() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
invert() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
invert() - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → 1/x to this random variable.
invert() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny
 
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
 
isBusinessday(LocalDate) - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
 
isBusinessday(LocalDate) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendarInterface
Test if a given date is a businessday.
isCancelled() - Method in class net.finmath.concurrency.FutureWrapper
 
isDeterministic() - Method in class net.finmath.montecarlo.RandomVariable
 
isDeterministic() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
isDeterministic() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
isDeterministic() - Method in interface net.finmath.stochastic.RandomVariableInterface
Check if this random variable is deterministic in the sense that it is represented by a single double value.
isDeterministic() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
isDone() - Method in class net.finmath.concurrency.FutureWrapper
 
isDone() - Method in class net.finmath.optimizer.GoldenSectionSearch
 
isDone() - Method in class net.finmath.rootfinder.BisectionSearch
 
isDone() - Method in class net.finmath.rootfinder.NewtonsMethod
 
isDone() - Method in class net.finmath.rootfinder.RiddersMethod
 
isDone() - Method in interface net.finmath.rootfinder.RootFinder
 
isDone() - Method in interface net.finmath.rootfinder.RootFinderWithDerivative
 
isEasterSunday(LocalDate) - Static method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
Test a given date for being easter sunday.
isNaN() - Method in class net.finmath.montecarlo.RandomVariable
 
isNaN() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
isNaN() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
isNaN() - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → (Double.isNaN(x) ?
isNaN() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
isNotionalExchanged() - Method in class net.finmath.marketdata.products.SwapLeg
 
isNotionalExchanged() - Method in class net.finmath.marketdata.products.SwapLegWithResetting
 
iterator() - Method in class net.finmath.time.RegularSchedule
 
iterator() - Method in class net.finmath.time.Schedule
 
iterator() - Method in class net.finmath.time.TimeDiscretization
 

J

JarqueBeraTest - Class in net.finmath.functions
Class providing the test statistic of the Jarque-Bera test.
JarqueBeraTest() - Constructor for class net.finmath.functions.JarqueBeraTest
Create an instance of the Jarque-Bera test.
JNumberField - Class in net.finmath.swing
A Java swing bean to represent a number field in a GUI.
JNumberField() - Constructor for class net.finmath.swing.JNumberField
 
JNumberField(double, String, ActionListener) - Constructor for class net.finmath.swing.JNumberField
 
JNumberField(double, DecimalFormat, ActionListener) - Constructor for class net.finmath.swing.JNumberField
 
JNumberField(String) - Constructor for class net.finmath.swing.JNumberField
 
JumpProcessIncrements - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional jump process J = (J1,...
JumpProcessIncrements(TimeDiscretizationInterface, double[], int, int, AbstractRandomVariableFactory) - Constructor for class net.finmath.montecarlo.JumpProcessIncrements
Construct a jump process.
JumpProcessIncrements(TimeDiscretizationInterface, double[], int, int) - Constructor for class net.finmath.montecarlo.JumpProcessIncrements
Construct a jump process.

L

LaggedIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A time-lagged index paying index(t+fixingOffset)
LaggedIndex(AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex
Creates a time-lagged index paying index(t+fixingOffset).
LevenbergMarquardt - Class in net.finmath.optimizer
This class implements a parallel Levenberg Marquardt non-linear least-squares fit algorithm.
LevenbergMarquardt(double[], double[], int, ExecutorService) - Constructor for class net.finmath.optimizer.LevenbergMarquardt
Create a Levenberg-Marquardt solver.
LevenbergMarquardt(double[], double[], int, int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt
Create a Levenberg-Marquardt solver.
LevenbergMarquardt(List<Number>, List<Number>, int, ExecutorService) - Constructor for class net.finmath.optimizer.LevenbergMarquardt
Create a Levenberg-Marquardt solver.
LevenbergMarquardt(List<Number>, List<Number>, int, int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt
Create a Levenberg-Marquardt solver.
LevenbergMarquardt() - Constructor for class net.finmath.optimizer.LevenbergMarquardt
Create a Levenberg-Marquardt solver.
LevenbergMarquardt(int) - Constructor for class net.finmath.optimizer.LevenbergMarquardt
Create a Levenberg-Marquardt solver.
LIBORCorrelationModel - Class in net.finmath.montecarlo.interestrate.modelplugins
Abstract base class and interface description of a correlation model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation).
LIBORCorrelationModel(TimeDiscretizationInterface, TimeDiscretizationInterface) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModel
 
LIBORCorrelationModelExponentialDecay - Class in net.finmath.montecarlo.interestrate.modelplugins
Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface, TimeDiscretizationInterface, int, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
Create a correlation model with an exponentially decaying correlation structure and the given number of factors.
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface, TimeDiscretizationInterface, int, double) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelExponentialDecay
 
LIBORCorrelationModelThreeParameterExponentialDecay - Class in net.finmath.montecarlo.interestrate.modelplugins
Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))
LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretizationInterface, TimeDiscretizationInterface, int, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCorrelationModelThreeParameterExponentialDecay
 
LIBORCovarianceModelExponentialForm5Param - Class in net.finmath.montecarlo.interestrate.modelplugins
LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface, TimeDiscretizationInterface, int, double[]) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface, TimeDiscretizationInterface, int) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm5Param
 
LIBORCovarianceModelExponentialForm7Param - Class in net.finmath.montecarlo.interestrate.modelplugins
 
LIBORCovarianceModelExponentialForm7Param(TimeDiscretizationInterface, TimeDiscretizationInterface, int) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelExponentialForm7Param
 
LIBORCovarianceModelFromVolatilityAndCorrelation - Class in net.finmath.montecarlo.interestrate.modelplugins
A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface, TimeDiscretizationInterface, LIBORVolatilityModel, LIBORCorrelationModel) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelFromVolatilityAndCorrelation
 
LIBORCovarianceModelStochasticVolatility - Class in net.finmath.montecarlo.interestrate.modelplugins
Simple stochastic volatility model, using a process \[ d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,} \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric, BrownianMotionInterface, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORCovarianceModelStochasticVolatility
Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(String, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORIndex(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
Creates a forward rate index for a given period start offset (offset from fixing) and period length.
LIBORMarketModel - Class in net.finmath.montecarlo.interestrate
Implements a (generalized) LIBOR market model with some drift approximation methods.
LIBORMarketModel(TimeDiscretizationInterface, AnalyticModelInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel, LIBORMarketModel.CalibrationItem[], Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface, ForwardCurveInterface, AbstractLIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface, ForwardCurveInterface, AbstractLIBORCovarianceModel, AbstractSwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModel(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel, AbstractSwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel, AbstractSwaptionMarketData, Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel, LIBORMarketModel.CalibrationItem[], Map<String, ?>) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModel
Creates a LIBOR Market Model for given covariance.
LIBORMarketModel.CalibrationItem - Class in net.finmath.montecarlo.interestrate
 
LIBORMarketModel.Driftapproximation - Enum in net.finmath.montecarlo.interestrate
 
LIBORMarketModel.Measure - Enum in net.finmath.montecarlo.interestrate
 
LIBORMarketModel.StateSpace - Enum in net.finmath.montecarlo.interestrate
 
LIBORMarketModelInterface - Interface in net.finmath.montecarlo.interestrate
 
LIBORMarketModelStandard - Class in net.finmath.montecarlo.interestrate
Implements a basic LIBOR market model with some drift approximation methods.
LIBORMarketModelStandard(TimeDiscretizationInterface, ForwardCurveInterface, AbstractLIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface, ForwardCurveInterface, AbstractLIBORCovarianceModel, AbstractSwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel, AbstractSwaptionMarketData) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface, ForwardCurveInterface, DiscountCurveInterface, AbstractLIBORCovarianceModel, LIBORMarketModelStandard.CalibrationItem[]) - Constructor for class net.finmath.montecarlo.interestrate.LIBORMarketModelStandard
Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard.CalibrationItem - Class in net.finmath.montecarlo.interestrate
 
LIBORMarketModelStandard.Driftapproximation - Enum in net.finmath.montecarlo.interestrate
 
LIBORMarketModelStandard.Measure - Enum in net.finmath.montecarlo.interestrate
 
LIBORMarketModelWithTenorRefinement - Class in net.finmath.montecarlo.interestrate
Creates a model for given covariance.
LIBORMarketModelWithTenorRefinement.CalibrationItem - Class in net.finmath.montecarlo.interestrate
 
LIBORMarketModelWithTenorRefinement.Driftapproximation - Enum in net.finmath.montecarlo.interestrate
 
LIBORModelInterface - Interface in net.finmath.montecarlo.interestrate
 
LIBORModelMonteCarloSimulation - Class in net.finmath.montecarlo.interestrate
Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModel model and AbstractLogNormalProcess process.
LIBORModelMonteCarloSimulation(LIBORModelInterface, AbstractProcess) - Constructor for class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel and an AbstractProcess.
LIBORModelMonteCarloSimulation(LIBORModelInterface) - Constructor for class net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulation
Create a LIBOR Monte-Carlo Simulation from a given LIBORModelInterface.
LIBORModelMonteCarloSimulationInterface - Interface in net.finmath.montecarlo.interestrate
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
LIBORVolatilityModel - Class in net.finmath.montecarlo.interestrate.modelplugins
Abstract base class and interface description of a volatility model (as it is used in LIBORCovarianceModelFromVolatilityAndCorrelation).
LIBORVolatilityModel(TimeDiscretizationInterface, TimeDiscretizationInterface) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModel
 
LIBORVolatilityModelFourParameterExponentialForm - Class in net.finmath.montecarlo.interestrate.modelplugins
Implements the volatility model \[ \sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{
LIBORVolatilityModelFourParameterExponentialForm(TimeDiscretizationInterface, TimeDiscretizationInterface, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialForm
Creates the volatility model σi(tj) = ( a + b * (Ti-tj) ) * exp(-c (Ti-tj)) + d
LIBORVolatilityModelFourParameterExponentialFormIntegrated - Class in net.finmath.montecarlo.interestrate.modelplugins
Implements the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{
LIBORVolatilityModelFourParameterExponentialFormIntegrated(TimeDiscretizationInterface, TimeDiscretizationInterface, double, double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFourParameterExponentialFormIntegrated
Creates the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) \exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{
LIBORVolatilityModelFromGivenMatrix - Class in net.finmath.montecarlo.interestrate.modelplugins
Implements a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelFromGivenMatrix(TimeDiscretizationInterface, TimeDiscretizationInterface, double[][]) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelFromGivenMatrix
Creates a simple volatility model using given piece-wise constant values on a given discretization grid.
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm - Class in net.finmath.montecarlo.interestrate.modelplugins
 
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface, TimeDiscretizationInterface, double, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(TimeDiscretizationInterface, TimeDiscretizationInterface, double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
LIBORVolatilityModelPiecewiseConstant - Class in net.finmath.montecarlo.interestrate.modelplugins
 
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface, TimeDiscretizationInterface, TimeDiscretizationInterface, TimeDiscretizationInterface, double[]) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
 
LIBORVolatilityModelPiecewiseConstant(TimeDiscretizationInterface, TimeDiscretizationInterface, TimeDiscretizationInterface, TimeDiscretizationInterface, double) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelPiecewiseConstant
 
LIBORVolatilityModelTimeHomogenousPiecewiseConstant - Class in net.finmath.montecarlo.interestrate.modelplugins
Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTimeHomogenousPiecewiseConstant(TimeDiscretizationInterface, TimeDiscretizationInterface, TimeDiscretizationInterface, double[]) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
Create a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
LIBORVolatilityModelTwoParameterExponentialForm - Class in net.finmath.montecarlo.interestrate.modelplugins
Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface, TimeDiscretizationInterface, double, double) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface, TimeDiscretizationInterface, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.modelplugins.LIBORVolatilityModelTwoParameterExponentialForm
Creates the volatility model σi(tj) = a * exp(-b (Ti-tj))
Library - Class in net.finmath.information
Provides information on the finmath-lib library, e.g., the version.
LinearAlgebra - Class in net.finmath.functions
This class implements some methods from linear algebra (e.g. solution of a linear equation, PCA).
LinearAlgebra() - Constructor for class net.finmath.functions.LinearAlgebra
 
LinearCombinationIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
LinearCombinationIndex(double, AbstractProductComponent, double, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
LinearInterpolatedTimeDiscreteProcess - Class in net.finmath.montecarlo.process
A linear interpolated time discrete process, that is, given a collection of tuples (Double, RandomVariable) representing realizations \( X(t_{i}) \) this class implements the ProcessInterface and creates a stochastic process \( t \mapsto X(t) \) where \[ X(t) = \frac{t_{i+1} - t}{t_{i+1}-t_{i}} X(t_{i}) + \frac{t - t_{i}}{t_{i+1}-t_{i}} X(t_{i+1}) \] with \( t_{i} \leq t \leq t_{i+1} \).
LinearInterpolatedTimeDiscreteProcess(Map<Double, RandomVariableInterface>) - Constructor for class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
Create a time discrete process by linear interpolation of random variables.
LocalRiskMinimizingHedgePortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a mean variance hedged portfolio of a given product (a hedge simulator).
LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationInterface, TimeDiscretizationInterface, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.LocalRiskMinimizingHedgePortfolio
Construction of a variance minimizing hedge portfolio.
log() - Method in class net.finmath.montecarlo.RandomVariable
 
log() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
log() - Method in class net.finmath.montecarlo.RandomVariableLowMemory
 
log() - Method in interface net.finmath.stochastic.RandomVariableInterface
Applies x → log(x) to this random variable.
log() - Method in class net.finmath.stochastic.RandomVariableMutableClone
Deprecated.
 
LogNormalProcess - Class in net.finmath.montecarlo.templatemethoddesign
This class is an abstract base class to implement an Euler scheme of a multi-dimensional multi-factor log-normal Ito process.
LogNormalProcess(int, BrownianMotionInterface) - Constructor for class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
Create a log normal process.
LogNormalProcess(TimeDiscretizationInterface, int, int) - Constructor for class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
Create a simulation of log normal process.
LogNormalProcess(TimeDiscretizationInterface, int, int, int, int) - Constructor for class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
Create a simulation of log normal process.
LogNormalProcess.Scheme - Enum in net.finmath.montecarlo.templatemethoddesign
 

M

main(String[]) - Static method in class net.finmath.interpolation.RationalFunctionInterpolation
 
main(String[]) - Static method in class net.finmath.optimizer.GoldenSectionSearch
 
main(String[]) - Static method in class net.finmath.optimizer.LevenbergMarquardt
 
main(String[]) - Static method in class net.finmath.rootfinder.RiddersMethod
 
main(String[]) - Static method in class net.finmath.rootfinder.TestRootFinders
 
margrabeExchangeOptionValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the value of an Exchange option under a generalized Black-Scholes model, i.e., the payoff \( max(S_{1}(T)-S_{2}(T),0) \), where \( S_{1} \) and \( S_{2} \) follow a log-normal process with constant log-volatility and constant instantaneous correlation.
MarketData - Class in net.finmath.timeseries
A set of raw data associated with a given date.
MarketData(Calendar, Map<String, Double>) - Constructor for class net.finmath.timeseries.MarketData
 
MarketForwardRateAgreement - Class in net.finmath.marketdata.products
Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
MarketForwardRateAgreement(double, double, String, double, String) - Constructor for class net.finmath.marketdata.products.MarketForwardRateAgreement
Creates a market forward rate agreement.
MaxIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A maximum index.
MaxIndex(AbstractProductComponent...) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.MaxIndex
Creates the function max(index1(t), index2(t), ...)
MersenneTwister - Class in net.finmath.randomnumbers
 
MersenneTwister(long) - Constructor for class net.finmath.randomnumbers.MersenneTwister
 
MertonModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
MertonModel(double, double, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MertonModel
Create a Heston model.
MinIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A minumum index.
MinIndex(AbstractProductComponent...) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.MinIndex
Creates the function min(index1(t), index2(t), ...)
ModelFactory - Class in net.finmath.montecarlo.hybridassetinterestrate
Helper factory to create a simple equity hybrid LIBOR market model.
ModelInterface - Interface in net.finmath.modelling
Interface to be implemented by all model.
MoneyMarketAccount - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of a money market account.
MoneyMarketAccount(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
Create a money market account.
MoneyMarketAccount(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
Create a money market account.
MoneyMarketAccount() - Constructor for class net.finmath.montecarlo.interestrate.products.MoneyMarketAccount
Create a default money market account.
MonteCarloAssetModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class glues together an AbstractModel and a Monte-Carlo implementation of a AbstractProcess and implements AssetModelMonteCarloSimulationInterface.
MonteCarloAssetModel(AbstractModelInterface, AbstractProcessInterface) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
Create a Monte-Carlo simulation using given process discretization scheme.
MonteCarloBlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation
This class glues together a Black