Contents

Laboratory

finmath spreadsheets: Speadsheets providing methodologies from mathematical finance.

Spreadsheets providing methodologies from mathematical finance (using finmath lib). 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 parametrised volatility and correlation can be inspected. Generated interest rate scenarios can ben extracted.

More...

More sheets related to methodologies from mathematical finance.

finmath applets: Java Applets illustrating some topics from mathematical finance.

Java Applets illustrating some topics from mathematical finance (using finmath lib).

Code

net.finmath.* Java Library

Projects

Source code is provided in the form of two projects (including project files for the Eclipse IDE):

1. finmath lib, representing the core mathematical finance library, and
2. finmath experiments, providing examples for using the library and unit tests.

Repositories

Source code is provided via a subversion repository and Github.

• Subversion repository with Java code: http://svn.finmath.net/finmath lib

  We provide instructions on how to checkout the code using the Eclipse IDE.

• Git repository with Java code: https://github.com/finmath

Documentation

finmath lib API documentation.

Java doc API description.

methodology documentation.

References to documentation of the methodology and theoretical background.