finMath lib documentation

# Package net.finmath.montecarlo.interestrate.products

Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

See: Description

• Interface Summary
Interface Description
TermStructureMonteCarloProduct
Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class
• Class Summary
Class Description
AbstractLIBORMonteCarloProduct
Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class
BermudanSwaption
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
BermudanSwaptionFromSwapSchedules
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
Bond
This class implements the valuation of a zero coupon bond.
CancelableSwap
Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
Caplet
Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
CMSOption
Implements the valuation of an option on a CMS rate.
DigitalCaplet
Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel.
DigitalFloorlet
Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
FlexiCap
This class implements the valuation of a Flexi Cap (aka Auto Cap).
ForwardRateVolatilitySurfaceCurvature
This class implements the calculation of the curvature of the volatility surface of the forward rates.
LIBORBond
This class implements the valuation of a zero (forward) bond on the models forward rate curve.
MoneyMarketAccount
Implements the valuation of a money market account.
Portfolio
Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.
SimpleCappedFlooredFloatingRateBond
SimpleSwap
Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel
SimpleZeroSwap
Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.
Swap
Create a swap from schedules, notional, indices and spreads (fixed coupons).
SwapLeg
SwaprateCovarianceAnalyticApproximation
This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.
Swaption
Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.
SwaptionAnalyticApproximation
This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionAnalyticApproximationRebonato
This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionATM
A lightweight ATM swaption product used for calibration.
SwaptionFactory
A factory (helper class) to create swaptions extending AbstractLIBORMonteCarloProduct according to some (simplified) specifications.
SwaptionFromSwapSchedules
Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.
SwaptionGeneralizedAnalyticApproximation
This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionSimple
Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel
SwaptionSingleCurve
Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does not result in the valuation of a collaterlized option on a collateralized swap.
SwaptionSingleCurveAnalyticApproximation
This class implements an analytic swaption valuation formula under a LIBOR market model.
SwaptionWithComponents
Implements the pricing of a swap under a AbstractLIBORMarketModel
SwapWithComponents
Implements the pricing of a swap under a AbstractLIBORMarketModel

## Package net.finmath.montecarlo.interestrate.products Description

Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
Author:
Christian Fries