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finMath lib documentation

finmath lib (3.4.1) documentation

Packages 
Package Description
net.finmath.analytic
Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
net.finmath.analytic.calibration
Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.analytic.interpolation
Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.analytic.model
Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.analytic.model.curves
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.analytic.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.analytic.products
Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.concurrency
Provides helper classes related to concurrent programming.
net.finmath.exception
Provides classes related to exception handling.
net.finmath.finitedifference
Algorithms using finite differences methods.
net.finmath.finitedifference.experimental
Algorithms using finite differences methods.
net.finmath.finitedifference.models
Models provided for finite difference solvers.
net.finmath.finitedifference.products
Product valuation code for models using backward propagation.
net.finmath.finitedifference.solvers
Finite difference solvers
net.finmath.fouriermethod
Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
net.finmath.fouriermethod.models
Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.functions
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
net.finmath.information
Provides information about the library (e.g. the version and build number) and runtime.
net.finmath.integration
Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration.
net.finmath.interpolation
Basic methodologies to interpolate of curves and surfaces are provided here.
net.finmath.marketdata
Algorithms and methodologies related to market data, e.g., calibration of interest rate curves, interpolation of volatility surfaces.
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
Provides interface separating models and products.
net.finmath.modelling.describedproducts
Classes providing the link/mapping from product descriptors to implementations.
net.finmath.modelling.descriptor
Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.descriptor.xmlparser
Provides xml parsers to contract descriptors from XML
net.finmath.modelling.modelfactory
Provides classes to build models from descriptors.
net.finmath.modelling.productfactory
Provides classes to build products from descriptors.
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 AssetModelMonteCarloSimulationInterface.
net.finmath.montecarlo.automaticdifferentiation
Provides classes adding automatic differentiation capabilities to objects relying on RandomVariableInterface objects.
net.finmath.montecarlo.automaticdifferentiation.backward
Provides the implementation of backward automatic differentiation.
net.finmath.montecarlo.automaticdifferentiation.forward
Provides the implementation of forward automatic differentiation.
net.finmath.montecarlo.conditionalexpectation
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
net.finmath.montecarlo.crosscurrency
Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationInterface.
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.covariancemodels
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.modelplugins
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.LIBORModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate.products.components
Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices
Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.model
Provides an interface an 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.process.component.factordrift
Components providing the factor drift in the simulation of a proxy simulation scheme.
net.finmath.montecarlo.products
Products which are model independent, but assume a Monte-Carlo simulation.
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.optimizer
This package provides classes with numerical algorithm for optimization of an objective function and a factory to easy construction of the optimizers.
net.finmath.randomnumbers
Random number generators for samples of uniform distributed random variables and generators and transformation for other distriburtions.
net.finmath.stochastic
Interfaces specifying operations on random variables.
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.businessdaycalendar
Provides business day calendars, e.g., as used in date roll conventions.
net.finmath.time.daycount
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.
net.finmath.timeseries
Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models.
net.finmath.timeseries.models.parametric
Classes related to estimation of time series.
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Copyright © 2018 Christian P. Fries.

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