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.LIBORModelMonteCarloSimulationInterface.

See: Description

• Class Summary
Class Description
AbstractLIBORMonteCarloProduct
Base calls for product that need an AbstractLIBORMarketModel as base class
BermudanSwaption
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationInterface
Bond
This class implements the valuation of a zero coupon bond.
CancelableSwap
Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationInterface
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 LIBORModelMonteCarloSimulationInterface.
DigitalFloorlet
Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationInterface.
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.
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 LIBORModelMonteCarloSimulationInterface
SimpleZeroSwap
Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationInterface.
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 valuation of a swaption under a LIBORModelMonteCarloSimulationInterface 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 assume that the basis deterministic.
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.
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 LIBORModelMonteCarloSimulationInterface
SwaptionSingleCurve
Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationInterface 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.LIBORModelMonteCarloSimulationInterface.
Author:
Christian Fries