Package  Description 

net.finmath.fouriermethod.models 
Provides characteristic functions of stochastic processes (models).

net.finmath.marketdata.calibration 
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.

net.finmath.marketdata.model 
Provides interface specification and implementation of a model, which is essentially
a collection of curves.

net.finmath.marketdata.model.bond 
Provided classes related to the modelling of Bond curves.

net.finmath.marketdata.model.curves 
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.

net.finmath.marketdata.model.curves.locallinearregression 
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942

net.finmath.marketdata.model.volatilities 
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.

net.finmath.marketdata.products 
Provides interface specification and implementation of products, e.g., calibration products.

net.finmath.modelling.descriptor 
Provides interface separating implementation from specification (of models and products)

net.finmath.modelling.modelfactory 
Provides classes to build models from descriptors.

net.finmath.montecarlo.assetderivativevaluation.models 
Equity models implementing
ProcessModel
e.g. by extending AbstractProcessModel . 
net.finmath.montecarlo.hybridassetinterestrate 
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.

net.finmath.montecarlo.interestrate 
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process . 
net.finmath.montecarlo.interestrate.models 
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel . 
net.finmath.montecarlo.interestrate.models.covariance 
Contains covariance models and their calibration as plugins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.

net.finmath.montecarlo.interestrate.products 
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel . 
net.finmath.montecarlo.interestrate.products.indices 
Provides a set of indices which can be used as part of a period.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

Class and Description 

Curve
The interface which is implemented by a general curve.

Class and Description 

Curve
The interface which is implemented by a general curve.

DiscountCurve
The interface which is implemented by discount curves.

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

AbstractCurve
Abstract base class for a curve.

Curve
The interface which is implemented by a general curve.

CurveBuilder
Interface of builders which allow to build curve objects by successively adding
points.

Class and Description 

AbstractCurve
Abstract base class for a curve.

AbstractForwardCurve
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.

Curve
The interface which is implemented by a general curve.

CurveBuilder
Interface of builders which allow to build curve objects by successively adding
points.

CurveInterpolation
This class represents a curve build from a set of points in 2D.

CurveInterpolation.Builder
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.

CurveInterpolation.ExtrapolationMethod
Possible extrapolation methods.

CurveInterpolation.InterpolationEntity
Possible interpolation entities.

CurveInterpolation.InterpolationMethod
Possible interpolation methods.

DiscountCurve
The interface which is implemented by discount curves.

DiscountCurveInterpolation
Implementation of a discount factor curve based on
CurveInterpolation . 
DiscountCurveNelsonSiegelSvensson
Implementation of a discount factor curve given by a NelsonSiegelSvensson (NSS) parameterization.

DiscountCurveRenormalized
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given
\( t_{0} \) derived from a base discount curve by a constant skaling.

ForwardCurve
The interface which is implemented by forward curves.

ForwardCurveInterpolation
A container for a forward (rate) curve.

ForwardCurveInterpolation.InterpolationEntityForward
Additional choice of interpolation entities for forward curves.

ForwardCurveNelsonSiegelSvensson
Implementation of a forward given by a NelsonSiegelSvensson (NSS) parameterization.

ForwardCurveWithFixings 
PiecewiseCurve
A piecewise curve.

PiecewiseCurve.Builder
A builder (following the builder pattern) for PiecewiseCurve objects.

SeasonalCurve
The curve returns a value depending on the month of the time argument, that is,
a call
getValue(model, time) will map time to a 30/360 value using
the day and month only and delegate the call to a given base curve. 
SeasonalCurve.Builder
A builder (following the builder pattern) for SeasonalCurve objects.

Class and Description 

Curve
The interface which is implemented by a general curve.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

Curve
The interface which is implemented by a general curve.

DiscountCurve
The interface which is implemented by discount curves.

Class and Description 

Curve
The interface which is implemented by a general curve.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

DiscountCurve
The interface which is implemented by discount curves.

ForwardCurve
The interface which is implemented by forward curves.

Class and Description 

ForwardCurve
The interface which is implemented by forward curves.

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