finMath lib documentation

# Package net.finmath.fouriermethod.products.smile

Products which are provide a "smile function" $$K \mapsto V(K)$$ mapping a product strike to the corresponding product value.

See: Description

• Interface Summary
Interface Description
SmileByIntegralTransform
Base interface for Fourier-based valuations.
• Class Summary
Class Description
EuropeanOptionSmile
This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
Products which are provide a "smile function" $$K \mapsto V(K)$$ mapping a product strike to the corresponding product value.