Package | Description |
---|---|
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.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.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.montecarlo |
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation
of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
|
net.finmath.montecarlo.assetderivativevaluation |
Monte-Carlo models for asset value processes, like the Black Scholes model.
|
net.finmath.montecarlo.assetderivativevaluation.products |
Products which may be valued using an
AssetModelMonteCarloSimulationModel . |
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 plug-ins 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.model |
Provides an interface and a base class for process models, i.e., models providing the parameters for
stochastic processes.
|
net.finmath.montecarlo.process |
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
|
net.finmath.montecarlo.templatemethoddesign |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation |
Legacy classes related to Monte-Carlo simulation - used for teaching only.
|
net.finmath.swing |
Provides utilities for Java swing (used in finmath applets).
|
net.finmath.time |
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
|
net.finmath.time.daycount |
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
|
Class and Description |
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Schedule
Interface of a schedule of interest rate periods with
a fixing and payment.
|
Class and Description |
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Schedule
Interface of a schedule of interest rate periods with
a fixing and payment.
|
Class and Description |
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TimeDiscretization |
Class and Description |
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ScheduleMetaData
Class to store any relevant information to generate schedules, which have different period structure but otherwise follow the same conventions.
|
TimeDiscretization |
Class and Description |
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Schedule
Interface of a schedule of interest rate periods with
a fixing and payment.
|
TimeDiscretization |
Class and Description |
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Period
A period, i.e. a time interval suitable for securities with regular payment schedules.
|
Schedule
Interface of a schedule of interest rate periods with
a fixing and payment.
|
ScheduleGenerator.DaycountConvention
Possible day count conventions supported by
ScheduleGenerator.DaycountConvention . |
ScheduleGenerator.Frequency
Possible frequencies supported by
ScheduleGenerator . |
ScheduleGenerator.ShortPeriodConvention
Possible stub period conventions supported.
|
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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TimeDiscretization |
Class and Description |
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Period
A period, i.e. a time interval suitable for securities with regular payment schedules.
|
Schedule
Interface of a schedule of interest rate periods with
a fixing and payment.
|
ScheduleGenerator.DaycountConvention
Possible day count conventions supported by
ScheduleGenerator.DaycountConvention . |
ScheduleGenerator.Frequency
Possible frequencies supported by
ScheduleGenerator . |
ScheduleGenerator.ShortPeriodConvention
Possible stub period conventions supported.
|
Tenor |
TimeDiscretization |
TimeDiscretizationFromArray
This class represents a set of discrete points in time.
|
TimeDiscretizationFromArray.ShortPeriodLocation |
Class and Description |
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Period
A period, i.e. a time interval suitable for securities with regular payment schedules.
|
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