finmath-lib kotlin


Convenient method aliases for finmath lib.


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A main objective of this project is to build a bridge from a Kotlin project to finmath-lib to allow for cleaner, more concise Kotlin code when using finmath-lib.

For example, since Kotlin allows for method names being symbols like + or - instead of add and sub, by importing

import net.finmath.kotlin.stochastic.*

you may write Kotlin code like

	val underlying = initialValue * exp(drift + diffusion)
	val payoff = max(underlying - strike, 0.0)
	val value = expectation(payoff * Math.exp(-riskFreeRate * optionMaturity))

instead of

	val underlying = diffusion.add(drift).exp().mult(initialValue)
	val payoff = underlying.sub(strike).floor(0.0)
	val value = payoff.mult(Math.exp(-riskFreeRate * optionMaturity)).average()

where diffusion is an object of type net.finmath.stochastic.RandomVariable.

Distribution

finmath-lib-kotlin is distributed through the central Maven repository. It’s coordinates are:

<groupId>net.finmath</groupId>
<artifactId>finmath-lib-kotlin</artifactId>
<version>5.0.4</version>

References

License

The code of “finmath lib”, “finmath experiments” and “finmath lib cuda extensions” and “finmath lib plot extensions” and “finmath lib kotlin” (packages net.finmath.*) are distributed under the Apache License version 2.0, unless otherwise explicitly stated.