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finMath lib documentation

finmath lib (3.1.1) documentation

Packages 
Package Description
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  
net.finmath.analytic.model  
net.finmath.analytic.model.curves  
net.finmath.analytic.model.volatilities  
net.finmath.analytic.products  
net.finmath.concurrency  
net.finmath.exception  
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  
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.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.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
Provides interface separating 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 AssetModelMonteCarloSimulationInterface.
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  
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.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  
net.finmath.montecarlo.interestrate.products.indices  
net.finmath.montecarlo.model  
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  
net.finmath.montecarlo.products
Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign  
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation  
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  
net.finmath.rootfinder
Interfaces and classes provided variantes of one dimensional root finder to solve f(x) = 0, like Bisection Search, Newtons Method.
net.finmath.stochastic
Interfaces specifying operations on random variables.
net.finmath.swing  
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  
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Copyright © 2017 Christian P. Fries.

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