finMath.net

Library - finmath lib

For details see finmath-lib site.

The library is part of the maven central repository.

Enabling finmath lib with Cuda (via jcuda) and OpenCL (via jocl). - Running finmath lib models on a GPU.

The finmath lib cuda extensions provide a Cuda and OpenCL implementation of the finmath lib interfaces RandomVariable and BrownianMotion compatible with finmath lib 4.0.12 or later (tested on GRID GPU Kepler GK105, GeForce GTX 1080, GeForce GT 750M (Cuda and OpenCL) and ATI Radeon Pro 560 (OpenCL only)).

This project provides abstractions for some plotting libraries (JFreeChart, JavaFX, JZY3D) and demo usages for finmath lib. It is provided for convenience to test and explore finmath lib.

Laboratory (Spreadsheets, Applets and Demos using finmath lib)

For details see experiments page. Examples:
Monte-Carlo Simulation
A small experiment creating a Monte-Carlo simulation of the Black-Scholes model and valuing a European option.
Algorithmic Differentiation and Dependency Injection
An experiment performing an algorithmic differentiation via dependency injection on a Monte-Carlo simulation of the Black-Scholes model.
Algorithmic Differentiation for Forward Sensitivities
An experiment performing an algorithmic differentiation via dependency injection on a Monte-Carlo simulation of the Black-Scholes model to derive all forward sensitivities, performing a hedge simulation.
For details see spreadsheets page. Examples:
Interest Rate Curve Calibration
The sheet calibrates a set of different curves (including discounting curves (e.g., OIS) and forward curves) from swaps.
LIBOR Market Model
The sheet allows to create a LIBOR market model calibrated to a given forward curve and given swaptions. The parametrized volatility and correlation can be inspected. Generated interest rate scenarios can ben extracted.
More...
More sheets related to methodologies from mathematical finance.
Java Applets illustrating some topics from mathematical finance (using finmath lib).
We provide very basic tutorials for beginners (still under construction).

Documentation

Java doc API description.
References to documentation of the methodology and theoretical background.