finMath lib documentation

Package net.finmath.montecarlo.interestrate.products.components

• Interface Summary
Interface Description
AbstractNotional
Base class for notional classes.
• Class Summary
Class Description
AbstractPeriod
Base class for a period.
AbstractProductComponent
Base class for product components.
AccrualAccount
Implementation of a general accrual account.
AccruingNotional
Cashflow
A single deterministic cashflow at a fixed time
ExposureEstimator
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.
IndexedValue
An indexed value.
Notional
A constant (non-stochastic) notional.
Numeraire
A single deterministic cashflow at a fixed time
Option
An option.
Period
A period.
ProductCollection
A collection of product components (like periods, options, etc.) paying the sum of their payouts.