finMath.net

Contents

Laboratory

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

Code

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.

Documentation

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