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A

abs() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
abs() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
abs() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
abs() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
abs() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
abs() - Method in interface net.finmath.stochastic.RandomVariable
Applies x → Math.abs(x), i.e.
abs() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
abs() - Method in class net.finmath.stochastic.Scalar
 
AbstractAnalyticProduct - Class in net.finmath.marketdata.products
 
AbstractAnalyticProduct - Class in net.finmath.marketdata2.products
 
AbstractAnalyticProduct() - Constructor for class net.finmath.marketdata.products.AbstractAnalyticProduct
 
AbstractAnalyticProduct() - Constructor for class net.finmath.marketdata2.products.AbstractAnalyticProduct
 
AbstractAnalyticVolatilityCubeProduct - Class in net.finmath.singleswaprate.products
Abstract layer between interface and implementation, which ensures compatibility of model and product.
AbstractAnalyticVolatilityCubeProduct() - Constructor for class net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct
 
AbstractAssetMonteCarloProduct - Class in net.finmath.montecarlo.assetderivativevaluation.products
Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
AbstractAssetMonteCarloProduct() - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
 
AbstractBusinessdayCalendar - Class in net.finmath.time.businessdaycalendar
Base class for all business day calendars.
AbstractBusinessdayCalendar() - Constructor for class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
 
AbstractCubeCalibration - Class in net.finmath.singleswaprate.calibration
Abstract class providing a default method of calibrating a parametric cube to market data, which can be implemented quickly for any cube by implementing the methods: buildCube initializeParameters applyParameterBounds
AbstractCubeCalibration(LocalDate, SwaptionDataLattice, SwaptionDataLattice, VolatilityCubeModel, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
Create the calibrator.
AbstractCubeCalibration.SwaptionInfo - Class in net.finmath.singleswaprate.calibration
Compact identifier for the swaptions to be created during the optimization.
AbstractCurve - Class in net.finmath.marketdata.model.curves
Abstract base class for a curve.
AbstractCurve - Class in net.finmath.marketdata2.model.curves
Abstract base class for a curve.
AbstractCurve(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.AbstractCurve
 
AbstractCurve(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.curves.AbstractCurve
 
AbstractForwardCurve - Class in net.finmath.marketdata.model.curves
Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
AbstractForwardCurve - Class in net.finmath.marketdata2.model.curves
Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
AbstractForwardCurve(String, LocalDate, double, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, double, String) - Constructor for class net.finmath.marketdata2.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, String) - Constructor for class net.finmath.marketdata2.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, String) - Constructor for class net.finmath.marketdata.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractForwardCurve(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, String) - Constructor for class net.finmath.marketdata2.model.curves.AbstractForwardCurve
Construct a base forward curve with a reference date and a payment offset.
AbstractFourierTransformProduct - Class in net.finmath.fouriermethod.products
 
AbstractFourierTransformProduct() - Constructor for class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
 
AbstractIndex - Class in net.finmath.montecarlo.interestrate.products.indices
Base class for indices.
AbstractIndex() - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Initialize an abstract index which does not have a dedicated name or currency, e.g.
AbstractIndex(String) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Initialize the name of an index.
AbstractIndex(String, String) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Initialize name and currency of an index.
AbstractLIBORCovarianceModel - Class in net.finmath.montecarlo.interestrate.models.covariance
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
AbstractLIBORCovarianceModel(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORCovarianceModelParametric - Class in net.finmath.montecarlo.interestrate.models.covariance
Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
AbstractLIBORCovarianceModelParametric(TimeDiscretization, TimeDiscretization, int) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
Constructor consuming time discretizations, which are handled by the super class.
AbstractLIBORMonteCarloProduct - Class in net.finmath.montecarlo.interestrate.products
Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class
AbstractLIBORMonteCarloProduct() - Constructor for class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
 
AbstractLIBORMonteCarloProduct(String) - Constructor for class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
 
AbstractMonteCarloProduct - Class in net.finmath.montecarlo
Base class for products requiring an MonteCarloSimulationModel for valuation.
AbstractMonteCarloProduct() - Constructor for class net.finmath.montecarlo.AbstractMonteCarloProduct
 
AbstractMonteCarloProduct(String) - Constructor for class net.finmath.montecarlo.AbstractMonteCarloProduct
 
AbstractPeriod - Class in net.finmath.montecarlo.interestrate.products.components
Base class for a period.
AbstractPeriod(double, double, double, double, Notional, AbstractProductComponent) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.
AbstractPeriod(double, double, double, double, Notional, AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
Initialize basic properties of the period.
AbstractPeriod(LocalDateTime, double, double, double, double, Notional, AbstractProductComponent, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
Initialize basic properties of the period.
AbstractProcessModel - Class in net.finmath.montecarlo.model
This class is an abstract base class to implement a model provided to an MonteCarloProcessFromProcessModel.
AbstractProcessModel() - Constructor for class net.finmath.montecarlo.model.AbstractProcessModel
 
AbstractProductComponent - Class in net.finmath.montecarlo.interestrate.products.components
Base class for product components.
AbstractProductComponent() - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
 
AbstractProductComponent(String) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
 
AbstractRandomVariableDifferentiableFactory - Class in net.finmath.montecarlo.automaticdifferentiation
A random variable factory extending AbstractRandomVariableFactory providing random variables implementing RandomVariableDifferentiable.
AbstractRandomVariableDifferentiableFactory() - Constructor for class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
 
AbstractRandomVariableDifferentiableFactory(RandomVariableFactory) - Constructor for class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
Construct an object extending AbstractRandomVariableDifferentiableFactory with a specific AbstractRandomVariableFactory for the storage of values.
AbstractRandomVariableFactory - Class in net.finmath.montecarlo
 
AbstractRandomVariableFactory() - Constructor for class net.finmath.montecarlo.AbstractRandomVariableFactory
 
AbstractRealIntegral - Class in net.finmath.integration
A real integral with lower and upper integration bounds.
AbstractRealIntegral(double, double) - Constructor for class net.finmath.integration.AbstractRealIntegral
Create a real integral with lower and upper integration bounds.
AbstractShortRateVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance
A base class and interface description for the instantaneous volatility of an short rate model.
AbstractShortRateVolatilityModel(TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel
Constructor consuming time discretizations, which are handled by the super class.
AbstractShortRateVolatilityModelParametric - Class in net.finmath.montecarlo.interestrate.models.covariance
Base class for parametric volatility models, see also AbstractShortRateVolatilityModel.
AbstractShortRateVolatilityModelParametric(TimeDiscretization) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
Constructor consuming time discretization.
AbstractSingleSwapRateProduct - Class in net.finmath.singleswaprate.products
An abstract class providing valuation methods for single swap rate products.
AbstractSingleSwapRateProduct(Schedule, Schedule, String, String, String) - Constructor for class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
Create the single swap rate product.
AbstractVolatilitySurface - Class in net.finmath.marketdata.model.volatilities
Abstract base class for a volatility surface.
AbstractVolatilitySurface - Class in net.finmath.marketdata2.model.volatilities
Abstract base class for a volatility surface.
AbstractVolatilitySurface(String, LocalDate) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
AbstractVolatilitySurface(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
 
AbstractVolatilitySurface(String, LocalDate, ForwardCurve, DiscountCurve, VolatilitySurface.QuotingConvention, DayCountConvention) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
AbstractVolatilitySurface(String, LocalDate, ForwardCurve, DiscountCurve, VolatilitySurface.QuotingConvention, DayCountConvention) - Constructor for class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
 
AbstractVolatilitySurfaceParametric - Class in net.finmath.marketdata.model.volatilities
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
AbstractVolatilitySurfaceParametric(String, LocalDate) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
AbstractVolatilitySurfaceParametric(String, LocalDate, ForwardCurve, DiscountCurve, VolatilitySurface.QuotingConvention, DayCountConvention) - Constructor for class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
AcceptanceRejectionRandomNumberGenerator - Class in net.finmath.randomnumbers
Class implementing RandomNumberGenerator by the acceptance rejection method.
AcceptanceRejectionRandomNumberGenerator(RandomNumberGenerator, DoubleUnaryOperator, DoubleUnaryOperator, DoubleUnaryOperator, double) - Constructor for class net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator
 
AccrualAccount - Class in net.finmath.montecarlo.interestrate.products.components
Implementation of a general accrual account.
AccrualAccount(String, AnalyticModelIndex, AbstractIndex, double) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AccrualAccount
Create an accrual account.
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
accrue(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
accrue(RandomVariable, double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x * (1.0 + rate * periodLength) to this random variable.
accrue(RandomVariable, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
accrue(RandomVariable, double) - Method in class net.finmath.stochastic.Scalar
 
AccruedInterest - Class in net.finmath.montecarlo.interestrate.products.indices
An accrued interest index.
AccruedInterest(String, String, LocalDate, LocalDate, LocalDate, AbstractIndex, Double, DayCountConvention, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest
Create an accrued interest index.
AccruingNotional - Class in net.finmath.montecarlo.interestrate.products.components
 
AccruingNotional(Notional, AbstractPeriod) - Constructor for class net.finmath.montecarlo.interestrate.products.components.AccruingNotional
Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.
accumulate(double, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
 
accumulate(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
 
ACT_360 - net.finmath.time.ScheduleGenerator.DaycountConvention
ACT_365 - net.finmath.time.ScheduleGenerator.DaycountConvention
ACT_ACT - net.finmath.time.ScheduleGenerator.DaycountConvention
 
ACT_ACT_ISDA - net.finmath.time.ScheduleGenerator.DaycountConvention
actionPerformed(ActionEvent) - Method in class net.finmath.swing.JNumberField
 
add(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
add(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
add(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
add(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
add(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
add(double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x + value to this random variable.
add(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
add(double) - Method in class net.finmath.stochastic.Scalar
 
add(double) - Method in class net.finmath.swing.JNumberField
 
add(E) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
Add an object this parameterization.
add(E) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
Add an object this parameterization.
add(LinearInterpolatedTimeDiscreteProcess) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
Create a new linear interpolated time discrete process by using the time discretization of this process and the sum of this process and the given one as its values.
add(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
add(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
add(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
add(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
add(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
add(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x+randomVariable to this random variable.
add(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
add(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
addCurve(String, Curve) - Method in interface net.finmath.marketdata.model.AnalyticModel
Add a reference to a given curve under a given name to this model.
addCurve(String, Curve) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addCurve(String, Curve) - Method in interface net.finmath.marketdata2.model.AnalyticModel
Add a reference to a given curve under a given name to this model.
addCurve(String, Curve) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
addCurve(Curve) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addCurve(Curve) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
addCurves(Set<Curve>) - Method in interface net.finmath.marketdata.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Set<Curve>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addCurves(Set<Curve>) - Method in interface net.finmath.marketdata2.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Set<Curve>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
addCurves(Curve...) - Method in interface net.finmath.marketdata.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Curve...) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addCurves(Curve...) - Method in interface net.finmath.marketdata2.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given curves added.
addCurves(Curve...) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
addDiscountFactor(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
 
addDiscountFactor(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
 
addFactoryAfter(ProductFactory<? extends T>) - Method in class net.finmath.modelling.productfactory.ProductFactoryCascade
Add a given factory to the list of factories at the END.
addFactoryBefore(ProductFactory<? extends T>) - Method in class net.finmath.modelling.productfactory.ProductFactoryCascade
Add a given factory to the list of factories at the BEGINNING.
addPoint(double, double, boolean) - Method in interface net.finmath.marketdata.model.curves.CurveBuilder
Add a point to the curve.
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
Add a point to this curve.
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
 
addPoint(double, double, boolean) - Method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
 
addPoint(double, RandomVariable, boolean) - Method in interface net.finmath.marketdata2.model.curves.CurveBuilder
Add a point to the curve.
addPoint(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
Add a point to this curveFromInterpolationPoints.
addPoint(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
 
addPoint(double, RandomVariable, boolean) - Method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
 
addPoint(int, int, double) - Method in interface net.finmath.singleswaprate.data.DataTable
Add a point to the grid of the table.
addPoint(int, int, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
 
addPoint(int, int, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
 
addPoints(int[], int[], double[]) - Method in interface net.finmath.singleswaprate.data.DataTable
Add an array of points to the table.
addPoints(int[], int[], double[]) - Method in class net.finmath.singleswaprate.data.DataTableBasic
 
addPoints(int[], int[], double[]) - Method in class net.finmath.singleswaprate.data.DataTableLight
 
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
addProduct(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
addProduct(RandomVariable, double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x + factor1 * factor2
addProduct(RandomVariable, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
addProduct(RandomVariable, double) - Method in class net.finmath.stochastic.Scalar
 
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
addProduct(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x + factor1 * factor2
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
addProduct(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
addRatio(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x + numerator / denominator
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
addRatio(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
addSumProduct(List<RandomVariable>, List<RandomVariable>) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
addSumProduct(List<RandomVariable>, List<RandomVariable>) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
addSumProduct(List<RandomVariable>, List<RandomVariable>) - Method in interface net.finmath.stochastic.RandomVariable
Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
addSumProduct(RandomVariable[], RandomVariable[]) - Method in interface net.finmath.stochastic.RandomVariable
Applies \( x \mapsto x + \sum_{i=0}^{n-1} factor1_{i} * factor2_{i}
addToAdmissibleValueIndex(int) - Method in class net.finmath.swing.JNumberField
 
addVolatilityCube(String, VolatilityCube) - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
 
addVolatilityCube(String, VolatilityCube) - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel
Add a reference to the given volatility cube to this model under the name provided.
addVolatilityCube(VolatilityCube) - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
 
addVolatilityCube(VolatilityCube) - Method in interface net.finmath.singleswaprate.model.VolatilityCubeModel
Add a reference to the given volatility cube to this model.
addVolatilitySurface(VolatilitySurface) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addVolatilitySurface(VolatilitySurface) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in interface net.finmath.marketdata.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in interface net.finmath.marketdata2.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
addVolatilitySurfaces(Set<VolatilitySurface>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
addVolatilitySurfaces(VolatilitySurface...) - Method in interface net.finmath.marketdata.model.AnalyticModel
Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
addVolatilitySurfaces(VolatilitySurface...) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
addVolatilitySurfaces(VolatilitySurface...) - Method in interface net.finmath.marketdata2.model.AnalyticModel
 
addVolatilitySurfaces(VolatilitySurface...) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
AKIMA - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod
Akima interpolation (C1 sub-spline interpolation).
AKIMA - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod
Akima interpolation (C1 sub-spline interpolation).
AKIMA - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod
Akima interpolation (C1 sub-spline interpolation).
AKIMA_CONTINUOUS - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod
Akima interpolation (C1 sub-spline interpolation) with a smoothing in the weights.
AKIMA_CONTINUOUS - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod
Akima interpolation (C1 sub-spline interpolation) with a smoothing in the weights.
AKIMA_CONTINUOUS - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod
Akima interpolation (C1 sub-spline interpolation) with a smoothing in the weights.
analyticApproximation(double, double, double, double, double, double) - Static method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
Analytic approximation of a CMS value.
AnalyticFormulas - Class in net.finmath.functions
This class implements some functions as static class methods.
AnalyticModel - Interface in net.finmath.marketdata.model
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
AnalyticModel - Interface in net.finmath.marketdata2.model
A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
AnalyticModelDescriptor - Class in net.finmath.modelling.descriptor
 
AnalyticModelDescriptor(LocalDate, Collection<Curve>, Collection<VolatilitySurface>) - Constructor for class net.finmath.modelling.descriptor.AnalyticModelDescriptor
Construct an AnalyticModelDescriptor mapping the collections of curves and volatility surfaces provided.
AnalyticModelDescriptor(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>) - Constructor for class net.finmath.modelling.descriptor.AnalyticModelDescriptor
Construct an AnalyticModelDescriptor holding copies of the maps provided.
AnalyticModelFactory - Class in net.finmath.modelling.modelfactory
Factory to build an described analytic model from a descriptor.
AnalyticModelFactory() - Constructor for class net.finmath.modelling.modelfactory.AnalyticModelFactory
 
AnalyticModelFactory.DescribedAnalyticModel - Class in net.finmath.modelling.modelfactory
Class extending AnalyticModelFromCurvesAndVols with the functionality of a described model.
AnalyticModelForwardCurveIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An index which is given by a name referencing a curve of an analytic model.
AnalyticModelForwardCurveIndex(String, String, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex
Creates a forward rate index for a given period start offset (offset from fixing) and period length.
AnalyticModelFromCurvesAndVols - Class in net.finmath.marketdata.model
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").
AnalyticModelFromCurvesAndVols - Class in net.finmath.marketdata2.model
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").
AnalyticModelFromCurvesAndVols() - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an empty analytic model.
AnalyticModelFromCurvesAndVols() - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
Create an empty analytic model.
AnalyticModelFromCurvesAndVols(LocalDate) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an empty analytic model for a specified date.
AnalyticModelFromCurvesAndVols(LocalDate, Collection<Curve>) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an analytic model for the specified reference date, together with curves and volatility surfaces, each with their specific name.
AnalyticModelFromCurvesAndVols(LocalDate, Curve[]) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves for the specified reference date.
AnalyticModelFromCurvesAndVols(Collection<Curve>) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Collection<Curve>) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Curve[]) - Constructor for class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(Curve[]) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves.
AnalyticModelFromCurvesAndVols(RandomVariableFactory) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
AnalyticModelFromCurvesAndVols(RandomVariableFactory, Curve[]) - Constructor for class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.
AnalyticModelIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An index which is given by a name referencing a curve of an analytic model.
AnalyticModelIndex(String, String, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex
Creates an analytic model index using a given fixing offset (in days / 365).
AnalyticModelWithVolatilityCubes - Class in net.finmath.singleswaprate.model
AnalyticModelWithVolatilityCubes() - Constructor for class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
Create an empty analytic model.
AnalyticModelWithVolatilityCubes(LocalDate) - Constructor for class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
Create an empty analytic model for a specified date.
AnalyticModelWithVolatilityCubes(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>, Map<String, VolatilityCube>) - Constructor for class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
Create an analytic model for the specified reference date, together with curves as well as volatility surfaces and cubes, each with their specific name.
AnalyticProduct - Interface in net.finmath.marketdata.products
The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCurvesAndVols.
AnalyticProduct - Interface in net.finmath.marketdata2.products
The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCurvesAndVols.
AnalyticVolatilityCubeProduct - Interface in net.finmath.singleswaprate.products
The interface of a product to be evaluated using a VolatilityCubeModel.
andThen(RandomOperator) - Method in interface net.finmath.stochastic.RandomOperator
Returns a composed function that first applies this function to its input, and then applies the after function to the result.
ANNUAL - net.finmath.time.ScheduleGenerator.Frequency
Twelve months periods.
AnnuityDummyProduct - Class in net.finmath.singleswaprate.products
A dummy product that only evaluates the value of a AnnuityMapping.
AnnuityDummyProduct(Schedule, Schedule, String, String, String, AnnuityMapping) - Constructor for class net.finmath.singleswaprate.products.AnnuityDummyProduct
Create the dummy product for the given annuity mapping.
AnnuityDummyProduct(Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.AnnuityDummyProduct
Create the dummy product with the annuity mapping specified by type.
AnnuityMapping - Interface in net.finmath.singleswaprate.annuitymapping
An interface for calsses providing annuity mappings.
AnnuityMapping.AnnuityMappingType - Enum in net.finmath.singleswaprate.annuitymapping
Implemented types of annuity mappings.
AnnuityMappingFactory - Class in net.finmath.singleswaprate.annuitymapping
Provides factories to build annuity mappings from uniform input.
AnnuityMappingFactory(Schedule, Schedule, String, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
Create the factory.
AnnuityMappingFactory(Schedule, Schedule, String, String, String, double, double, double, int) - Constructor for class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
Create the factory.
append(SwaptionDataLattice, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
Append the data of another lattice to this lattice.
apply(double) - Method in class net.finmath.fouriermethod.calibration.BoundConstraint
 
apply(double) - Method in class net.finmath.fouriermethod.calibration.NegativityConstraint
 
apply(double) - Method in class net.finmath.fouriermethod.calibration.PositivityConstraint
 
apply(double) - Method in interface net.finmath.fouriermethod.calibration.ScalarConstraint
Forces the parameter to respect a certain condition.
apply(double) - Method in class net.finmath.fouriermethod.calibration.Unconstrained
 
apply(double) - Method in class net.finmath.fouriermethod.models.BatesModel
 
apply(double) - Method in class net.finmath.fouriermethod.models.BlackScholesModel
 
apply(double) - Method in interface net.finmath.fouriermethod.models.CharacteristicFunctionModel
Returns the characteristic function of X(t), where X is this stochastic process.
apply(double) - Method in class net.finmath.fouriermethod.models.HestonModel
 
apply(double) - Method in class net.finmath.fouriermethod.models.MertonModel
 
apply(double) - Method in class net.finmath.fouriermethod.models.VarianceGammaModel
 
apply(Double) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator
Get the value of this function \( f \) at the given argument.
apply(Double, Double) - Method in class net.finmath.interpolation.BiLinearInterpolation
 
apply(DoubleBinaryOperator, DoubleBinaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
apply(DoubleBinaryOperator, DoubleBinaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleBinaryOperator, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → operator(x,y) to this random variable, where x is this random variable and y is a given random variable.
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
apply(DoubleBinaryOperator, RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
Create a new process consisting of the interpolation of the random variables obtained by applying the given function to this process discrete set of random variables.
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
apply(DoubleUnaryOperator) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleUnaryOperator) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → operator(x) to this random variable.
apply(DoubleUnaryOperator) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
apply(DoubleUnaryOperator) - Method in class net.finmath.stochastic.Scalar
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → operator(x,y,z) to this random variable, where x is this random variable and y and z are given random variable.
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
apply(DoubleTernaryOperator, RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
apply(RandomVariable) - Method in interface net.finmath.stochastic.RandomOperator
Applies this function to the given argument.
apply(Complex) - Method in class net.finmath.fouriermethod.products.DigitalOption
 
apply(Complex) - Method in class net.finmath.fouriermethod.products.EuropeanOption
 
apply(Complex) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
 
applyAsDouble(double) - Method in class net.finmath.integration.PiecewiseContantDoubleUnaryOperator
Get the value of this unary operator \( f \) at the given argument.
applyAsDouble(double) - Method in class net.finmath.interpolation.RationalFunctionInterpolation
 
applyAsDouble(double, double, double) - Method in interface net.finmath.functions.DoubleTernaryOperator
Applies this operator to the given operands.
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
Apply bounds to parameters.
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
Apply bounds to parameters.
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
 
applyParameterBounds(double[]) - Method in class net.finmath.singleswaprate.calibration.StaticCubeCalibration
 
applyStateSpaceTransform(int, int, RandomVariable) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
 
applyStateSpaceTransform(MonteCarloProcess, int, int, RandomVariable) - Method in interface net.finmath.montecarlo.model.ProcessModel
Applies the state space transform fi to the given state random variable such that Yi → fi(Yi) =: Xi.
applyStateSpaceTransformInverse(int, int, RandomVariable) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
 
applyStateSpaceTransformInverse(MonteCarloProcess, int, int, RandomVariable) - Method in interface net.finmath.montecarlo.model.ProcessModel
Applies the inverse state space transform f-1i to the given random variable such that Xi → f-1i(Xi) =: Yi.
appy(RandomOperator) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → operator(x) to this random variable.
ARMAGARCH - Class in net.finmath.timeseries.models.parametric
Lognormal process with ARMAGARCH(1,1) volatility.
ARMAGARCH(TimeSeries) - Constructor for class net.finmath.timeseries.models.parametric.ARMAGARCH
 
arrayOf(double[]) - Static method in class net.finmath.stochastic.Scalar
 
AsianOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of an Asian option.
AsianOption(double, double, TimeDiscretization) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double, double, TimeDiscretization, Integer) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.AsianOption
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AssetModelDescriptor - Interface in net.finmath.modelling.descriptor
Marker interface for descriptors describing an asset model.
AssetModelFourierMethodFactory - Class in net.finmath.modelling.modelfactory
Constructs asset models, which evaluate products via Monte-Carlo method.
AssetModelFourierMethodFactory() - Constructor for class net.finmath.modelling.modelfactory.AssetModelFourierMethodFactory
Create the factory.
AssetModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory
Constructs asset models, which evaluate products via Monte-Carlo method.
AssetModelMonteCarloFactory(IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory
Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory, IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory
Create the factory.
AssetModelMonteCarloFactory(RandomVariableFactory, IndependentIncrements, HestonModel.Scheme) - Constructor for class net.finmath.modelling.modelfactory.AssetModelMonteCarloFactory
Create the factory.
AssetModelMonteCarloSimulationModel - Interface in net.finmath.montecarlo.assetderivativevaluation
Basic interface which has to be implemented by Monte Carlo models for asset processes.
AssetMonteCarloProduct - Interface in net.finmath.montecarlo.assetderivativevaluation.products
Interface for products requiring an AssetModelMonteCarloSimulationModel for valuation.
average() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
average() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
average() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
average() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
average() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
average() - Method in interface net.finmath.stochastic.RandomVariable
Returns a random variable which is deterministic and corresponds the expectation of this random variable.
average() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
average() - Method in class net.finmath.stochastic.Scalar
 

B

bachelierGeneralizedOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \]
bachelierHomogeneousOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionDelta(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierHomogeneousOptionVega(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(rt) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma / N(T) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionDelta(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \] This implies an effective "Bachelier" integrated variance, being (with \( s = 0 \) \[ 1/T \int_{0}^{T} \sigma^2 exp(2 r (T-t)) \mathrm{d}t \ = \ sigma^2 \frac{exp(2 r (T-0))-exp(2 r (T-T)}{2 r T} \]
bachelierInhomogeneousOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the Bachelier option implied volatility of a call, i.e., the payoff
bachelierInhomogeneousOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with constant volatility, i.e., a inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma exp(r (T-t)) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp( r t ) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma exp(-r t) \mathrm{d}W(t) \text{.} \]
bachelierInhomogeneousOptionVega(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Inhomogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp( r t ) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma exp(-r t) \mathrm{d}W(t) \text{.} \]
BachelierModel - Class in net.finmath.functions
This class implements some functions as static class methods related to the Bachelier model.
BachelierModel - Class in net.finmath.montecarlo.assetderivativevaluation.models
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
BachelierModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
Create a Monte-Carlo simulation using given time discretization.
BachelierModel(RandomVariableFactory, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
Create a Monte-Carlo simulation using given time discretization.
bachelierOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionDelta(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the option delta dV(0)/dS(0) of a call option, i.e., the payoff V(T)=max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the Bachelier option implied volatility of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.BachelierModel
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
bachelierOptionVega(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.BachelierModel
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with numeraire scaled volatility, i.e., a homogeneous Bachelier model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma exp(-r (T-t)) \mathrm{d}W(t) \] Considering the numeraire \( N(t) = exp(-r (T-t)) \), this implies that \( F(t) = S(t)/N(t) \) follows \[ \mathrm{d} F(t) = \sigma \mathrm{d}W(t) \text{.} \]
Barrier - Interface in net.finmath.montecarlo.process.component.barrier
The interface describes how an barrier has to be specified for the generation of a process (see LogNormalProcessWithBarrierStrategy).
BarrierOptions - Class in net.finmath.functions
This class implements the valuation of barrier options.
BarrierOptions.BarrierType - Enum in net.finmath.functions
 
BASICPITERBARG - net.finmath.singleswaprate.annuitymapping.AnnuityMapping.AnnuityMappingType
 
BasicPiterbargAnnuityMapping - Class in net.finmath.singleswaprate.annuitymapping
Implements an annuity mapping following Vladimir Piterbarg's approach.
BasicPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule, Schedule, double, VolatilityCubeModel, String, String, double, double, int) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
Create the annuity mapping.
BasicPiterbargAnnuityMapping(Schedule, Schedule, VolatilityCubeModel, String, String) - Constructor for class net.finmath.singleswaprate.annuitymapping.BasicPiterbargAnnuityMapping
Create the annuity mapping.
BasketOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements valuation of a European option on a basket of asset.
BasketOption(double, double, double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BasketOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
BatesModel - Class in net.finmath.fouriermethod.models
Implements the characteristic function of a Bates model.
BatesModel(double, double, double, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
Create a two factor Bates model.
BatesModel(double, double, double, double, double, double, double, double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
Create a one factor Bates model.
BatesModel(double, DiscountCurve, DiscountCurve, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
Create a two factor Bates model.
BatesModel(LocalDate, double, DiscountCurve, DiscountCurve, double[], double[], double[], double[], double[], double[], double, double) - Constructor for class net.finmath.fouriermethod.models.BatesModel
Create a two factor Bates model.
BermudanDigitalOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements the valuation of a Bermudan digital option paying
\( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \),
when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
BermudanDigitalOption(double[], double[], double[], BermudanDigitalOption.ExerciseMethod, Map<String, Object>) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption
Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanDigitalOption.ExerciseMethod - Enum in net.finmath.montecarlo.assetderivativevaluation.products
 
BermudanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements the valuation of a Bermudan option paying
N(i) * (S(T(i)) - K(i)) at T(i),
when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanOption(double[], double[], double[]) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanOption(double[], double[], double[], BermudanOption.ExerciseMethod) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption
Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
BermudanOption.ExerciseMethod - Enum in net.finmath.montecarlo.assetderivativevaluation.products
 
BermudanSwaption - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
BermudanSwaption(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
 
BermudanSwaption(boolean[], double[], double[], double[], double[], double[], boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
 
BermudanSwaption(boolean[], double[], double[], double[], double[], double[], boolean, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaption
 
BermudanSwaptionFromSwapSchedules - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[], MonteCarloConditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double[], double[], Schedule[], Schedule[], RegressionBasisFunctionsProvider) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules(LocalDateTime, BermudanSwaptionFromSwapSchedules.SwaptionType, LocalDate[], LocalDate, double, double, Schedule[], Schedule[]) - Constructor for class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
Create a Bermudan swaption.
BermudanSwaptionFromSwapSchedules.SwaptionType - Enum in net.finmath.montecarlo.interestrate.products
 
BiLinearInterpolation - Class in net.finmath.interpolation
Simple bi-linear interpolation of data points \( z_{i,j} \) over a Cartesian grid \( (x_{i},y_{j}) \).
BiLinearInterpolation(double[], double[], double[][]) - Constructor for class net.finmath.interpolation.BiLinearInterpolation
 
blackModelCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a caplet assuming the Black'76 model.
blackModelDgitialCapletValue(double, double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a digital caplet assuming the Black'76 model.
blackModelSwaptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculate the value of a swaption assuming the Black'76 model.
blackScholesATMOptionValue(double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of an atm call option.
blackScholesBarrierOptionValue(double, double, double, double, double, double, boolean, double, double, BarrierOptions.BarrierType) - Static method in class net.finmath.functions.BarrierOptions
Value a barrier option.
BlackScholesDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta hedged portfolio of an European option (a hedge simulator).
BlackScholesDeltaHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
Construction of a delta hedge portfolio assuming a Black-Scholes model.
blackScholesDigitalOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a digital option under a Black-Scholes model
blackScholesDigitalOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the rho of a digital option under a Black-Scholes model
blackScholesDigitalOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a digital call option.
blackScholesDigitalOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the vega of a digital option under a Black-Scholes model
blackScholesGeneralizedOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
blackScholesGeneralizedOptionValue(RandomVariable, RandomVariable, double, double, RandomVariable) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a log-normal process with constant log-volatility.
blackScholesGeneralizedOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
BlackScholesHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
BlackScholesHedgedPortfolio(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
Construction of a hedge portfolio assuming a Black-Scholes model for the hedge ratios.
BlackScholesHedgedPortfolio(double, double, double, double, double, double, BlackScholesHedgedPortfolio.HedgeStrategy) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio
Construction of a delta-gamma hedge portfolio assuming a Black-Scholes model.
BlackScholesHedgedPortfolio.HedgeStrategy - Enum in net.finmath.montecarlo.assetderivativevaluation.products
 
BlackScholesModel - Class in net.finmath.fouriermethod.models
Implements the characteristic function of a Black Scholes model.
BlackScholesModel - Class in net.finmath.montecarlo.assetderivativevaluation.models
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
BlackScholesModel(double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
Create a Black Scholes model (characteristic function)
BlackScholesModel(double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
Create a Black-Scholes model from given parameters.
BlackScholesModel(double, double, double, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
Create a Black Scholes model (characteristic function)
BlackScholesModel(double, double, double, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
Create a Monte-Carlo simulation using given time discretization.
BlackScholesModel(LocalDate, double, DiscountCurve, DiscountCurve, double) - Constructor for class net.finmath.fouriermethod.models.BlackScholesModel
Create a Black Scholes model (characteristic function)
BlackScholesModel(RandomVariable, RandomVariable, RandomVariable, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelDescriptor - Class in net.finmath.modelling.descriptor
 
BlackScholesModelDescriptor(LocalDate, Double, DiscountCurve, DiscountCurve, Double) - Constructor for class net.finmath.modelling.descriptor.BlackScholesModelDescriptor
 
BlackScholesModelMonteCarloFactory - Class in net.finmath.modelling.modelfactory
 
BlackScholesModelMonteCarloFactory(RandomVariableFactory, IndependentIncrements) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFactory
 
BlackScholesModelMonteCarloFiniteDifference1D - Class in net.finmath.modelling.modelfactory
 
BlackScholesModelMonteCarloFiniteDifference1D(double) - Constructor for class net.finmath.modelling.modelfactory.BlackScholesModelMonteCarloFiniteDifference1D
 
BlackScholesModelWithCurves - Class in net.finmath.montecarlo.assetderivativevaluation.models
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
BlackScholesModelWithCurves(Double, DiscountCurve, Double, DiscountCurve, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
Create a Black-Scholes specification implementing AbstractProcessModel.
BlackScholesModelWithCurves(RandomVariable, DiscountCurve, RandomVariable, DiscountCurve, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
Create a Black-Scholes specification implementing AbstractProcessModel.
blackScholesOptionDelta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionDelta(RandomVariable, RandomVariable, RandomVariable, double, RandomVariable) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the delta of a call option under a Black-Scholes model The method also handles cases where the forward and/or option strike is negative and some limit cases where the forward or the option strike is zero.
blackScholesOptionGamma(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionGamma(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionGamma(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the gamma of a call option under a Black-Scholes model
blackScholesOptionImpliedVolatility(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option implied volatility of a call, i.e., the payoff
blackScholesOptionRho(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the rho of a call option under a Black-Scholes model
blackScholesOptionTheta(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
This static method calculated the vega of a call option under a Black-Scholes model
blackScholesOptionValue(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(double, double, double, double, double, boolean) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), or a put, i.e., the payoff max(K-S(T),0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionValue(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the Black-Scholes option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a log-normal process with constant log-volatility.
blackScholesOptionVega(double, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
blackScholesOptionVega(RandomVariable, double, double, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
blackScholesOptionVega(RandomVariable, RandomVariable, RandomVariable, double, double) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the vega of a call, i.e., the payoff max(S(T)-K,0) P, where S follows a normal process with constant volatility, i.e., a Black-Scholes model \[ \mathrm{d} S(t) = r S(t) \mathrm{d} t + \sigma S(t)\mathrm{d}W(t) \]
BlackScholesTheta - Class in net.finmath.finitedifference.experimental
Implementation of the theta schemes for the Black-Scholes model (still experimental).
BlackScholesTheta() - Constructor for class net.finmath.finitedifference.experimental.BlackScholesTheta
 
BlendedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance
Blended model (or displaced diffusion model) build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurve, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, ForwardCurve, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, ForwardCurve, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
Displaced diffusion model build on top of a standard covariance model.
Bond - Class in net.finmath.marketdata.model.bond
Implements the valuation of a bond (zero-coupon, fixed coupon or floating coupon) with unit notional of 1 using curves: a forward curve, if the bond has floating rate coupons a discount curve as a base curve for discounting a survival probability curve for additional credit risk related discount factor a basis factor curve for additional bond related discount factor Support for day counting is provided via the class implementing Schedule.
Bond - Class in net.finmath.montecarlo.hybridassetinterestrate.products
This class implements the valuation of a zero coupon bond.
Bond - Class in net.finmath.montecarlo.interestrate.products
This class implements the valuation of a zero coupon bond.
Bond(double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
 
Bond(String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
 
Bond(LocalDateTime, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Bond
 
Bond(LocalDateTime, String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.Bond
 
Bond(Schedule, String, String, String, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
Creates a fixed coupon bond without recovery rate.
Bond(Schedule, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
Creates a fixed coupon bond with recovery rate.
Bond(Schedule, String, String, String, String, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
Creates a fixed or floating bond without recovery rate.
Bond(Schedule, String, String, String, String, double, double, double) - Constructor for class net.finmath.marketdata.model.bond.Bond
Creates a bond.
BondCurve - Class in net.finmath.marketdata.model.bond
Implements the bond curve as a curve object, see Curve.
BondCurve(String, LocalDate, Curve, Curve, BondCurve.Type) - Constructor for class net.finmath.marketdata.model.bond.BondCurve
Creates a bond curve.
BondCurve.Type - Enum in net.finmath.marketdata.model.bond
Possible curve types, where the first term stands for the reference discount curve and the second term stands for the spread curve.
BondWithForeignNumeraire - Class in net.finmath.montecarlo.hybridassetinterestrate.products
This class implements the valuation of a zero coupon bond.
BondWithForeignNumeraire(String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire
 
BondWithForeignNumeraire(LocalDateTime, String, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.BondWithForeignNumeraire
 
BoundConstraint - Class in net.finmath.fouriermethod.calibration
A class applying a bound constraint to a parameter.
BoundConstraint(double, double) - Constructor for class net.finmath.fouriermethod.calibration.BoundConstraint
 
BrownianBridge - Class in net.finmath.montecarlo
This class implements a Brownian bridge, i.e., samples of realizations of a Brownian motion conditional to a given start and end value.
BrownianBridge(TimeDiscretization, int, int, RandomVariable[], RandomVariable[]) - Constructor for class net.finmath.montecarlo.BrownianBridge
Construct a Brownian bridge, bridging from a given start to a given end.
BrownianBridge(TimeDiscretization, int, int, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.BrownianBridge
Construct a Brownian bridge, bridging from a given start to a given end.
BrownianMotion - Interface in net.finmath.montecarlo
Interface description of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion.
BrownianMotionFromMersenneRandomNumbers - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion and Wi, Wj are independent for i not equal j.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
Construct a Brownian motion.
BrownianMotionFromMersenneRandomNumbers(TimeDiscretization, int, int, int, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
Construct a Brownian motion.
BrownianMotionFromRandomNumberGenerator - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional Brownian motion W = (W1,...,Wn) where Wi is a Brownian motion and Wi, Wj are independent for i not equal j.
BrownianMotionFromRandomNumberGenerator(TimeDiscretization, int, int, RandomNumberGenerator) - Constructor for class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
Construct a Brownian motion.
BrownianMotionFromRandomNumberGenerator(TimeDiscretization, int, int, RandomNumberGenerator, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
Construct a Brownian motion.
BrownianMotionLazyInit - Class in net.finmath.montecarlo
Deprecated.
Refactor rename. Please use BrownianMotionFromMersenneRandomNumbers instead.
BrownianMotionLazyInit(TimeDiscretization, int, int, int) - Constructor for class net.finmath.montecarlo.BrownianMotionLazyInit
Deprecated.
Construct a Brownian motion.
BrownianMotionLazyInit(TimeDiscretization, int, int, int, RandomVariableFactory) - Constructor for class net.finmath.montecarlo.BrownianMotionLazyInit
Deprecated.
Construct a Brownian motion.
BrownianMotionView - Class in net.finmath.montecarlo
A Brownian motion which is defined by some factors of a given Brownian motion, i.e., for a given multi-factorial Brownian motion W, this Brownian motion is given by ( W(i[0]), W(i[1]) W(i[2]), ..., W(i[n-1]) ) where i is a given array of integers.
BrownianMotionView(BrownianMotion, Integer[]) - Constructor for class net.finmath.montecarlo.BrownianMotionView
Create a sub-view on a Brownian motion.
BrownianMotionWithControlVariate - Class in net.finmath.montecarlo
Provides a Brownian motion from given (independent) increments and performs a control of the expectation and the standard deviation.
BrownianMotionWithControlVariate(BrownianMotion) - Constructor for class net.finmath.montecarlo.BrownianMotionWithControlVariate
Create a controlled Brownian motion.
build() - Method in interface net.finmath.marketdata.model.curves.CurveBuilder
Build the curve.
build() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
 
build() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve.Builder
 
build() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve.Builder
 
build() - Method in interface net.finmath.marketdata2.model.curves.CurveBuilder
Build the curve.
build() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
 
build(String) - Method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
Perform the calibrations and build the cube.
build(AnnuityMapping.AnnuityMappingType, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
Build the annuity mapping.
buildAnnuityMapping(double, Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType, VolatilityCubeModel) - Static method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
Build an annuity mapping.
buildAnnuityMapping(double, Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType, VolatilityCubeModel, double, double, int) - Static method in class net.finmath.singleswaprate.annuitymapping.AnnuityMappingFactory
Build an annuity mapping.
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AbstractSingleSwapRateProduct
Since most annuity mappings require data from models to be created, but models are only provided at execution of getValue, the product needs to dynamically be able to build its annuity mapping.
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.AnnuityDummyProduct
 
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledPayerSwaption
 
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
 
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.ConstantMaturitySwap
 
buildAnnuityMapping(VolatilityCubeModel) - Method in class net.finmath.singleswaprate.products.NormalizingDummyProduct
 
buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
Build the cube from a set of parameters.
buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeParallelCalibration
 
buildCube(String, double[]) - Method in class net.finmath.singleswaprate.calibration.StaticCubeCalibration
 
Builder() - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
Build a curve.
Builder() - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
Build a curveFromInterpolationPoints.
Builder(String, LocalDate) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
Build a curve with a given name and given reference date.
Builder(String, LocalDate) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
Build a curveFromInterpolationPoints with a given name and given reference date.
Builder(CurveInterpolation) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation.Builder
Build a curve by cloning a given curve.
Builder(PiecewiseCurve) - Constructor for class net.finmath.marketdata.model.curves.PiecewiseCurve.Builder
Create a CurveBuilder from a given piecewiseCurve
Builder(SeasonalCurve) - Constructor for class net.finmath.marketdata.model.curves.SeasonalCurve.Builder
Create a CurveBuilder from a given seasonalCurve.
Builder(CurveInterpolation) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation.Builder
Build a curveFromInterpolationPoints by cloning a given curveFromInterpolationPoints.
buildParallelSABRCube(String, double, double, SwaptionDataLattice, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
buildSABRVolatilityCube(String, VolatilityCubeModel, int[]) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
buildSABRVolatilityCube(String, VolatilityCubeModel, int[], DataTable, DataTable, DataTable) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
Build a SABRVolatilityCube by calibration via SABRCubeCalibration.
buildShiftedSmileSABRCube(String, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.model.volatilities.VolatilityCubeFactory
bus(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
bus(double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → value - x to this random variable.
bus(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
bus(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
bus(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
bus(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → randomVariable-x to this random variable.
bus(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
bus(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
BUSINESS_DAYS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit
 
BusinessdayCalendar - Interface in net.finmath.time.businessdaycalendar
 
BusinessdayCalendar.DateOffsetUnit - Enum in net.finmath.time.businessdaycalendar
 
BusinessdayCalendar.DateRollConvention - Enum in net.finmath.time.businessdaycalendar
 
BusinessdayCalendarAny - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day.
BusinessdayCalendarAny() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny
Create a business day calendar, where every day is a business day.
BusinessdayCalendarExcludingGivenHolidays - Class in net.finmath.time.businessdaycalendar
An abstract base class for a business day calendar, where every day is a business day, except weekends days provided by a Set provided by the method getHolidays.
BusinessdayCalendarExcludingGivenHolidays(String, BusinessdayCalendar, boolean) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
 
BusinessdayCalendarExcludingGivenSetOfHolidays - Class in net.finmath.time.businessdaycalendar
A class for a business day calendar, where every day is a business day, except weekends days provided by a Set.
BusinessdayCalendarExcludingGivenSetOfHolidays(String, boolean, Set<LocalDate>) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
 
BusinessdayCalendarExcludingGivenSetOfHolidays(String, BusinessdayCalendar, boolean, Set<LocalDate>) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays
 
BusinessdayCalendarExcludingLONHolidays - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day, except for weekends and London holidays
BusinessdayCalendarExcludingLONHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays
Create LONDON business day calendar.
BusinessdayCalendarExcludingLONHolidays(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays
Create LONDON business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingNYCHolidays - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day, except for weekends and New York holidays
BusinessdayCalendarExcludingNYCHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays
Create NEW YORK business day calendar.
BusinessdayCalendarExcludingNYCHolidays(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays
Create NEW YORK business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingTARGETHolidays - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day, expect the TARGET holidays.
BusinessdayCalendarExcludingTARGETHolidays() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
Create TARGET business day calendar.
BusinessdayCalendarExcludingTARGETHolidays(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays
Create TARGET business day calendar using a given business day calendar as basis.
BusinessdayCalendarExcludingWeekends - Class in net.finmath.time.businessdaycalendar
A business day calendar, where every day is a business day, expect SATURDAY and SUNDAY.
BusinessdayCalendarExcludingWeekends() - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
Create business day calendar.
BusinessdayCalendarExcludingWeekends(BusinessdayCalendar) - Constructor for class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends
Create business day calendar using a given business day calendar as basis.

C

cache() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
cache() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
cache() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
cache() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
cache() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cache() - Method in interface net.finmath.stochastic.RandomVariable
Return a cacheable version of this object (often a self-reference).
cache() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
cache() - Method in class net.finmath.stochastic.Scalar
 
calculateCapVolsFromCapletVols(double[][]) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
Method that implements the opposite direction.
calculateInterpolatedExtrapolatedSmileVolatility(double, int) - Method in class net.finmath.marketdata.model.volatility.caplet.smile.LinearSmileInterpolater
Method that returns the linearly interpolated or constantly extrapolated volatility for a given strike and row index.
calculateInterpolatedExtrapolatedSmileVolatility(double, int) - Method in interface net.finmath.marketdata.model.volatility.caplet.smile.SmileInterpolationExtrapolationMethod
 
CalculationException - Exception in net.finmath.exception
 
CalculationException() - Constructor for exception net.finmath.exception.CalculationException
A wrapper for exceptions associated with numerical algorithm of finmath lib
CalculationException(String) - Constructor for exception net.finmath.exception.CalculationException
Create an exception with error message.
CalculationException(String, Throwable) - Constructor for exception net.finmath.exception.CalculationException
Create an exception from another exception with error message.
CalculationException(Throwable) - Constructor for exception net.finmath.exception.CalculationException
Create an exception from another exception.
CalibratableHestonModel - Class in net.finmath.fouriermethod.calibration.models
This class is creates new instances of HestonModel and communicates with the optimization algorithm.
CalibratableHestonModel(HestonModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
Basic constructor where all parameters are to be calibrated.
CalibratableHestonModel(HestonModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, boolean) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
This constructor allows for the specification of constraints.
CalibratableMertonModel - Class in net.finmath.fouriermethod.calibration.models
This class is creates new instances of MertonModel and communicates with the optimization algorithm.
CalibratableMertonModel(MertonModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
Basic constructor where all parameters are to be calibrated.
CalibratableMertonModel(MertonModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
This constructor allows for the specification of constraints.
CalibratableProcess - Interface in net.finmath.fouriermethod.calibration.models
Every class implementing this interface communicates with the calibration routine by providing clones of the model with changed parameters.
CalibratableVarianceGammaModel - Class in net.finmath.fouriermethod.calibration.models
This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.
CalibratableVarianceGammaModel(VarianceGammaModelDescriptor) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
Basic constructor where all parameters are to be calibrated.
CalibratableVarianceGammaModel(VarianceGammaModelDescriptor, ScalarParameterInformation, ScalarParameterInformation, ScalarParameterInformation) - Constructor for class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
 
calibrate(String) - Method in class net.finmath.singleswaprate.calibration.AbstractCubeCalibration
Run the calibration.
calibrate(String, int[]) - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
Run the calibration.
CalibratedCurves - Class in net.finmath.marketdata.calibration
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves - Class in net.finmath.marketdata2.calibration
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(Collection<CalibratedCurves.CalibrationSpec>) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModel, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(List<CalibratedCurves.CalibrationSpec>, AnalyticModel, double, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[]) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves(CalibratedCurves.CalibrationSpec[], AnalyticModelFromCurvesAndVols, double, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves
Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata.calibration
Specification of calibration product.
CalibratedCurves.CalibrationSpec - Class in net.finmath.marketdata2.calibration
Specification of calibration product.
CalibratedModel - Class in net.finmath.fouriermethod.calibration
This class solves a calibration problem.
CalibratedModel(OptionSurfaceData, CalibratableProcess, OptimizerFactory, EuropeanOptionSmile, double[], double[]) - Constructor for class net.finmath.fouriermethod.calibration.CalibratedModel
Create the calibration from data.
CalibratedModel.OptimizationResult - Class in net.finmath.fouriermethod.calibration
Helper class for calibration results.
CalibrationProduct - Class in net.finmath.montecarlo.interestrate
A class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.
CalibrationProduct(String, AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
 
CalibrationProduct(String, AbstractLIBORMonteCarloProduct, RandomVariable, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
 
CalibrationProduct(String, AbstractLIBORMonteCarloProduct, RandomVariable, double, int) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
Construct a calibration product.
CalibrationProduct(AbstractLIBORMonteCarloProduct, double, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
 
CalibrationProduct(AbstractLIBORMonteCarloProduct, RandomVariable, double) - Constructor for class net.finmath.montecarlo.interestrate.CalibrationProduct
 
CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, double[], String, double, String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, double[], String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
CalibrationSpec(String, Schedule, String, double, String, Schedule, String, double, String, String, double) - Constructor for class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
Calibration specification.
cancel(boolean) - Method in class net.finmath.concurrency.FutureWrapper
 
CancelableSwap - Class in net.finmath.montecarlo.interestrate.products
Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
CancelableSwap(boolean[], double[], double[], double[], double[], double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.CancelableSwap
 
cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
cap(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
cap(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
cap(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
cap(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cap(double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → min(x,cap) to this random variable.
cap(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
cap(double) - Method in class net.finmath.stochastic.Scalar
 
cap(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
cap(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
cap(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cap(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → min(x,cap) to this random variable.
cap(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
cap(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
Cap - Class in net.finmath.marketdata.products
Implements the valuation of a cap via an analytic model, i.e.
Cap(Schedule, String, double, boolean, String, String) - Constructor for class net.finmath.marketdata.products.Cap
Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Cap(Schedule, String, double, boolean, String, String, VolatilitySurface.QuotingConvention) - Constructor for class net.finmath.marketdata.products.Cap
Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
Caplet - Class in net.finmath.montecarlo.interestrate.products
Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
Caplet(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
Create a caplet.
Caplet(double, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
Create a caplet or a floorlet.
Caplet(double, double, double, double, boolean, Caplet.ValueUnit) - Constructor for class net.finmath.montecarlo.interestrate.products.Caplet
Create a caplet or a floorlet.
Caplet.ValueUnit - Enum in net.finmath.montecarlo.interestrate.products
 
CapletVolatilities - Class in net.finmath.marketdata.model.volatilities
A very simple container for Caplet volatilities.
CapletVolatilities(String, LocalDate, ForwardCurve, double[], double[], double[], VolatilitySurface.QuotingConvention, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilities
 
CapletVolatilitiesParametric - Class in net.finmath.marketdata.model.volatilities
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametric(String, LocalDate, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String, LocalDate, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d.
CapletVolatilitiesParametric(String, LocalDate, ForwardCurve, DiscountCurve, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametric(String, LocalDate, ForwardCurve, DiscountCurve, double, double, double, double, double, VolatilitySurface.QuotingConvention) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
Create a model with parameters a,b,c,d defining a lognormal volatility surface.
CapletVolatilitiesParametricDisplacedFourParameterAnalytic - Class in net.finmath.marketdata.model.volatilities
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametricDisplacedFourParameterAnalytic(String, LocalDate, ForwardCurve, DiscountCurve, double, boolean, double, double, double, double, double) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
Create a model with parameters a,b,c,d defining a displaced lognormal volatility surface.
CapletVolatilitiesParametricFourParameterPicewiseConstant - Class in net.finmath.marketdata.model.volatilities
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
CapletVolatilitiesParametricFourParameterPicewiseConstant(String, LocalDate, double, double, double, double, TimeDiscretization) - Constructor for class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
Create a model with parameters a,b,c,d.
CapletVolatilitySurface - Class in net.finmath.marketdata.model.volatility.caplet
This class implements a caplet volatility surface.
CapletVolatilitySurface(String, LocalDate, double[][], double[], double[], ForwardCurve, VolatilitySurface.QuotingConvention, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
The constructor of the caplet volatility surface class.
CapletVolatilitySurface(String, LocalDate, double, double[], double[], ForwardCurve, VolatilitySurface.QuotingConvention, DiscountCurve) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
The constructor of the caplet volatility surface class.
CapletVolBootstrapping - Class in net.finmath.marketdata.model.volatility.caplet
This class implements a caplet volatility bootstrapper.
CapletVolBootstrapping(CapVolMarketData, AnalyticModel) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
Overloaded constructor of the caplet bootstrapping class if a correlation provider isn't necessary.
CapletVolBootstrapping(CorrelationProvider, CapVolMarketData, AnalyticModel) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
The constructor of the caplet bootstrapping class.
CappedFlooredIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing AbstractIndex.
CappedFlooredIndex(AbstractIndex, AbstractIndex, AbstractIndex) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex
Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).
CapShiftedVol - Class in net.finmath.marketdata.model.volatility.caplet
Implements the valuation of a cap via an analytic model, i.e.
CapShiftedVol(Schedule, String, double, boolean, String, String, double) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapShiftedVol
Create a Caplet with a given schedule, strike on a given forward curve (by name) with a given discount curve and volatility surface (by name).
CapTenorStructure - Enum in net.finmath.marketdata.model.volatility.caplet
Enum determining the currency of the observed cap or caplet prices.
CapVolMarketData - Class in net.finmath.marketdata.model.volatility.caplet
This class is a container for all the cap data needed to perform the caplet bootstrapping.
CapVolMarketData(String, String, String, CapTenorStructure, int[], double[], double[][], double, int, int, int) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
The constructor of the cap volatility market data class.
CapVolMarketData(String, String, CapTenorStructure, int[], double[], double[][], double, int) - Constructor for class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
Overloaded constructor of the cap volatility market data class that assumes no tenor change.
Cashflow - Class in net.finmath.marketdata.products
Implements the valuation of a single cashflow by a discount curve.
Cashflow - Class in net.finmath.marketdata2.products
Implements the valuation of a single cashflow by a discount curve.
Cashflow - Class in net.finmath.montecarlo.interestrate.products.components
A single deterministic cashflow at a fixed time
Cashflow(double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow
Create a single deterministic cashflow at a fixed time.
Cashflow(String, double, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Cashflow
Create a single deterministic cashflow at a fixed time.
Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata.products.Cashflow
Create a single deterministic cashflow at a fixed time.
Cashflow(String, double, double, boolean, String) - Constructor for class net.finmath.marketdata2.products.Cashflow
Create a single deterministic cashflow at a fixed time.
CashSettledPayerSwaption - Class in net.finmath.singleswaprate.products
A European cash settled payer swaption.
CashSettledPayerSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.CashSettledPayerSwaption
Create the product.
CashSettledPayerSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType, double, double, int) - Constructor for class net.finmath.singleswaprate.products.CashSettledPayerSwaption
Create the product with custom replication settings.
CashSettledReceiverSwaption - Class in net.finmath.singleswaprate.products
A European cash settled receiver swaption.
CashSettledReceiverSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
Create the product.
CashSettledReceiverSwaption(Schedule, Schedule, double, String, String, String, AnnuityMapping.AnnuityMappingType, double, double, int) - Constructor for class net.finmath.singleswaprate.products.CashSettledReceiverSwaption
Create the product with custom replication settings.
CAUCHY - net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation.Distribution
 
CharacteristicFunction - Interface in net.finmath.fouriermethod
Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).
CharacteristicFunctionModel - Interface in net.finmath.fouriermethod.models
Interface which has to be implemented by models providing the characteristic functions of stochastic processes.
Choice - Class in net.finmath.montecarlo.interestrate.products.components
An right to choose between two underlyings.
Choice(double, TermStructureMonteCarloProduct, TermStructureMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.Choice
Creates the function underlying1(exerciseDate) > underlying2(exerciseDate) ? underlying1 : underlying2.
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
choose(RandomVariable, RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
choose(RandomVariable, RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → (x ≥ 0 ? valueIfTriggerNonNegative : valueIfTriggerNegative)
choose(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
choose(RandomVariable, RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
clone() - Method in interface net.finmath.marketdata.model.AnalyticModel
 
clone() - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
clone() - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
clone() - Method in interface net.finmath.marketdata.model.curves.Curve
Create a deep copied clone.
clone() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
 
clone() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
 
clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
clone() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
 
clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
clone() - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
clone() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
clone() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
clone() - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
 
clone() - Method in interface net.finmath.marketdata2.model.AnalyticModel
 
clone() - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
clone() - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
 
clone() - Method in interface net.finmath.marketdata2.model.curves.Curve
Create a deep copied clone.
clone() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
 
clone() - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
 
clone() - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
clone() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
 
clone() - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
 
clone() - Method in class net.finmath.montecarlo.process.LinearInterpolatedTimeDiscreteProcess
 
clone() - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
Create and return a clone of this process.
clone() - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
 
clone() - Method in interface net.finmath.montecarlo.process.Process
Create and return a clone of this process.
clone() - Method in class net.finmath.optimizer.LevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer.
clone() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer.
clone() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer.
clone() - Method in interface net.finmath.singleswaprate.data.DataTable
 
clone() - Method in class net.finmath.singleswaprate.data.DataTableBasic
 
clone() - Method in class net.finmath.singleswaprate.data.DataTableExtrapolated
 
clone() - Method in class net.finmath.singleswaprate.data.DataTableInterpolated
 
clone() - Method in class net.finmath.singleswaprate.data.DataTableLight
 
clone() - Method in class net.finmath.singleswaprate.data.DataTableLinear
 
clone() - Method in class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes
 
clone() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
 
CMSOption - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of an option on a CMS rate.
CMSOption(double, double[], double[], double[], double) - Constructor for class net.finmath.montecarlo.interestrate.products.CMSOption
Create the option on a CMS rate.
compareTo(CurveInterpolation.Point) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation.Point
 
compareTo(Period) - Method in class net.finmath.time.Period
 
compose(RandomOperator) - Method in interface net.finmath.stochastic.RandomOperator
Returns a composed function that first applies the before function to its input, and then applies this function to the result.
computeSeasonalAdjustments(double[], int, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
Computes annualized seasonal adjustments from given monthly realized CPI values.
computeSeasonalAdjustments(LocalDate, Map<LocalDate, Double>, int) - Static method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
ConditionalExpectationEstimator - Interface in net.finmath.stochastic
The interface which has to be implemented by a fixed conditional expectation operator, i.e., E( · | Z ) for a fixed Z.
CONSTANT - net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod
Constant extrapolation.
CONSTANT - net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod
Constant extrapolation.
CONSTANT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod
Constant extrapolation.
CONSTANT - net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod
Constant extrapolation.
ConstantBarrier(AssetModelMonteCarloSimulationModel) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
 
constantElasticityOfVarianceOptionValue(double, double, double, double, double, double, boolean) - Static method in class net.finmath.functions.AnalyticFormulas
Calculates the CEV option value of a call, i.e., the payoff max(S(T)-K,0), where S follows a CEV process.
ConstantMaturitySwap - Class in net.finmath.singleswaprate.products
A constant maturity swap.
ConstantMaturitySwap(Schedule, Schedule, String, String, String, AnnuityMapping.AnnuityMappingType) - Constructor for class net.finmath.singleswaprate.products.ConstantMaturitySwap
Create the single swap rate product.
ConstantMaturitySwaprate - Class in net.finmath.montecarlo.interestrate.products.indices
An idealized (single curve) CMS index with given maturity and given period length.
ConstantMaturitySwaprate(double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given period lengths.
ConstantMaturitySwaprate(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given maturity and given period length.
ConstantMaturitySwaprate(double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given maturity and given period length.
ConstantMaturitySwaprate(String, String, double, double[]) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given period lengths.
ConstantMaturitySwaprate(String, String, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate
Create a CMS index with given fixing offset and given maturity and given period length.
ConstantNormalizer - Class in net.finmath.singleswaprate.annuitymapping
Constant normalizer returning the value one.
ConstantNormalizer() - Constructor for class net.finmath.singleswaprate.annuitymapping.ConstantNormalizer
 
Constraint - Interface in net.finmath.fouriermethod.calibration
Constraint base interface (scalar and multivariate)
containsEntryFor(double, double) - Method in interface net.finmath.singleswaprate.data.DataTable
Checks whether the table has an actual entry at the specified coordinates.
containsEntryFor(double, double) - Method in class net.finmath.singleswaprate.data.DataTableBasic
 
containsEntryFor(double, double) - Method in class net.finmath.singleswaprate.data.DataTableLight
 
containsEntryFor(int, int) - Method in interface net.finmath.singleswaprate.data.DataTable
Checks whether the table has an actual entry at the specified coordinates.
containsEntryFor(int, int) - Method in class net.finmath.singleswaprate.data.DataTableBasic
 
containsEntryFor(int, int) - Method in class net.finmath.singleswaprate.data.DataTableLight
 
containsEntryFor(int, int, int) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
Returns true if the lattice contains an entry at the specified location.
convertCashLatticeToNormalVolatility(SwaptionDataLattice, VolatilityCubeModel) - Static method in class net.finmath.singleswaprate.Utils
Convert a lattice containing cash settled swaption prices to payer normal volatilities.
convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertFromTo(AnalyticModel, double, double, double, VolatilitySurface.QuotingConvention, VolatilitySurface.QuotingConvention) - Method in class net.finmath.marketdata2.model.volatilities.AbstractVolatilitySurface
Convert the value of a caplet from one quoting convention to another quoting convention.
convertLattice(SwaptionDataLattice.QuotingConvention, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
Convert this lattice to store data in the given convention.
convertLattice(SwaptionDataLattice.QuotingConvention, AnalyticModel) - Method in class net.finmath.marketdata.model.volatilities.SwaptionDataLattice
Convert this lattice to store data in the given convention.
convertMapOfTablesToLattice(Map<Integer, DataTable>, SwaptionDataLattice.QuotingConvention, LocalDate, String, String, SchedulePrototype, SchedulePrototype) - Static method in class net.finmath.singleswaprate.Utils
Convert a map of DataTable containing swaption data to a SwaptionDataLattice.
convertOffsetCodesToTimes(String[]) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
 
convertTableToLattice(DataTable, SwaptionDataLattice.QuotingConvention, LocalDate, String, String, SchedulePrototype, SchedulePrototype) - Static method in class net.finmath.singleswaprate.Utils
Convert a DataTable containing swaption data to a SwaptionDataLattice.
convertTenor() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.TenorConverter
Method that converts the current tenor caplet volatilities to the new tenor.
ConvexityAdjustedModel - Class in net.finmath.montecarlo.hybridassetinterestrate
A general convexity adjustment for models.
ConvexityAdjustedModel(ProcessModel, MonteCarloProcess, Map<Integer, Integer>) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.ConvexityAdjustedModel
 
CorrelatedBrownianMotion - Class in net.finmath.montecarlo
Provides a correlated Brownian motion from given (independent) increments and a given matrix of factor loadings.
CorrelatedBrownianMotion(BrownianMotion, double[][]) - Constructor for class net.finmath.montecarlo.CorrelatedBrownianMotion
Create a correlated Brownian motion from given independent increments and a given matrix of factor loadings.
CorrelationProvider - Interface in net.finmath.marketdata.model.volatility.caplet.tenorconversion
Interface for a correlation provider for forward curves.
CorrelationProviderTenorBasis - Class in net.finmath.marketdata.model.volatility.caplet.tenorconversion
This class implements a correlation provider based on iCap market data.
CorrelationProviderTenorBasis(CapVolMarketData, CapVolMarketData) - Constructor for class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
 
cos() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
cos() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
cos() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
cos() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
cos() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
cos() - Method in interface net.finmath.stochastic.RandomVariable
Applies x → cos(x) to this random variable.
cos() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
cos() - Method in class net.finmath.stochastic.Scalar
 
covariance(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Returns a random variable which is deterministic and corresponds the covariance of this random variable and the argument.
createDateFromDateAndOffsetCodes(LocalDate, String[]) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
 
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromAnnualizedZeroRates(String, LocalDate, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given annualized zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
 
createDiscountCurveFromDiscountFactors(String, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
 
createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromDiscountFactors(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given discount factors using given interpolation and extrapolation methods.
createDiscountCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationModel, double) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from forwards given by a LIBORMonteCarloModel.
createDiscountCurveFromZeroRates(String, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Deprecated.
Initializing a curve without reference date is deprecated.
createDiscountCurveFromZeroRates(String, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using default interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], double[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, LocalDate, double[], RandomVariable[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, Date, double[], double[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountCurveFromZeroRates(String, Date, double[], RandomVariable[], boolean[], CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given times and given zero rates using given interpolation and extrapolation methods.
createDiscountFactorsFromForwardRates(String, TimeDiscretization, double[]) - Static method in class net.finmath.marketdata.model.curves.DiscountCurveInterpolation
Create a discount curve from given time discretization and forward rates.
createDiscountFactorsFromForwardRates(String, TimeDiscretization, RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
Create a discount curve from given time discretization and forward rates.
createForwardCurveFromDiscountFactors(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and discount factors.
createForwardCurveFromDiscountFactors(String, double[], RandomVariable[], double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and discount factors.
createForwardCurveFromForwards(String, double[], double[], double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, double[], double[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createForwardCurveFromForwards(String, double[], double[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createForwardCurveFromForwards(String, double[], RandomVariable[], double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, double[], RandomVariable[], AnalyticModel, String, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, String, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, Date, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], double[]) - Static method in class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromForwards(String, Date, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String, AnalyticModel, double[], RandomVariable[]) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from given times and given forwards.
createForwardCurveFromMonteCarloLiborModel(String, LIBORModelMonteCarloSimulationModel, double) - Static method in class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Create a forward curve from forwards given by a LIBORMonteCarloModel.
createIndexCurveWithSeasonality(String, LocalDate, Map<LocalDate, Double>, Map<String, Double>, Integer, Map<LocalDate, Double>, String, String) - Static method in class net.finmath.marketdata.model.curves.CurveFactory
Creates a monthly index curve with seasonality and past fixings.
createRandomVariable(double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariable(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
 
createRandomVariable(double) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory
Create a (deterministic) random variable from a constant.
createRandomVariable(double) - Method in interface net.finmath.montecarlo.RandomVariableFactory
Create a (deterministic) random variable from a constant.
createRandomVariable(double) - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
 
createRandomVariable(double, double) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory
Create a (deterministic) random variable form a constant using a specific filtration time.
createRandomVariable(double, double) - Method in interface net.finmath.montecarlo.RandomVariableFactory
Create a (deterministic) random variable from a constant using a specific filtration time.
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFloatFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
 
createRandomVariable(double, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory
 
createRandomVariable(double, double[]) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory
Create a random variable form an array using a specific filtration time.
createRandomVariable(double, double[]) - Method in interface net.finmath.montecarlo.RandomVariableFactory
Create a random variable from an array using a specific filtration time.
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFloatFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableFromArrayFactory
 
createRandomVariable(double, double[]) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory
 
createRandomVariableArray(double[]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariableArray(double[]) - Method in interface net.finmath.montecarlo.RandomVariableFactory
Create an array of (deterministic) random variables from an array of constants.
createRandomVariableMatrix(double[][]) - Method in class net.finmath.montecarlo.AbstractRandomVariableFactory
 
createRandomVariableMatrix(double[][]) - Method in interface net.finmath.montecarlo.RandomVariableFactory
Create a matrix of (deterministic) random variables from an matrix of constants.
createRandomVariableNonDifferentiable(double, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
 
createRandomVariableNonDifferentiable(double, double) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory
Create a (deterministic) random variable, which is not differentiable, from a constant.
createRandomVariableNonDifferentiable(double, double[]) - Method in class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory
 
createRandomVariableNonDifferentiable(double, double[]) - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableFactory
Create a random variable, which is not differentiable, from an array using a specific filtration time.
createSABRVolatilityCube(String, LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel, double, double, double, double) - Static method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
Calibrate a cube via shifting cash settled swaption smiles onto physically settled swaption atm volatility.
createSABRVolatilityCubeParallel(String, LocalDate, SchedulePrototype, SchedulePrototype, double, double, double, double, double, double, SwaptionDataLattice, VolatilityCubeModel, String) - Static method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallelFactory
Build a SABRVolatilityCubeParallel from given shared parameters and marketdata.
createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, spotOffsetDays, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, String, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
ScheduleFromPeriods generation with futureCodes (in the format DEC17).
createScheduleFromConventions(LocalDate, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation where startDate and maturityDate are calculated based on referenceDate, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, LocalDate, int, String, String, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Simple schedule generation where startDate and maturityDate are calculated based on tradeDate, spotOffsetDays, startOffsetString and maturityString.
createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String) - Static method in class net.finmath.time.ScheduleGenerator
Deprecated.
Will be removed in version 2.3
createScheduleFromConventions(LocalDate, LocalDate, String, double, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
Deprecated.
Will be removed in version 2.3
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createScheduleFromConventions(LocalDate, LocalDate, LocalDate, ScheduleGenerator.Frequency, ScheduleGenerator.DaycountConvention, ScheduleGenerator.ShortPeriodConvention, BusinessdayCalendar.DateRollConvention, BusinessdayCalendar, int, int, boolean) - Static method in class net.finmath.time.ScheduleGenerator
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createScheduleFromConventions(Date, Date, Date, String, String, String, String, BusinessdayCalendar, int, int) - Static method in class net.finmath.time.ScheduleGenerator
ScheduleFromPeriods generation for given {referenceDate,startDate,maturityDate}.
createSwaption(String, double, TimeDiscretization, String) - Static method in class net.finmath.montecarlo.interestrate.products.SwaptionFactory
 
createVolatilityCubeLattice(String, LocalDate, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, AnalyticModel) - Static method in class net.finmath.singleswaprate.calibration.SABRShiftedSmileCalibration
Return all data points as volatilities that serve as calibration targets.
createZeroRates(double, double[], LIBORModelMonteCarloSimulationModel) - Static method in class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation
 
CrossCurrencyLIBORMarketModelFromModels - Class in net.finmath.montecarlo.hybridassetinterestrate
Cross Currency LIBOR Market Model with Black-Scholes FX Model.
CrossCurrencyLIBORMarketModelFromModels(String, Map<String, LIBORModelMonteCarloSimulationModel>, Map<String, MonteCarloProcessFromProcessModel>) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model.
CrossCurrencyTermStructureMonteCarloSimulationModel - Interface in net.finmath.montecarlo.crosscurrency
Interface for cross currency term structure models.
CSVCurveParser - Class in net.finmath.parser
Provides options to parse curves.
CSVCurveParser() - Constructor for class net.finmath.parser.CSVCurveParser
Set up the parser with default interpolation.
CSVCurveParser(CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.parser.CSVCurveParser
Set up the parser with given interpolation.
CSVSwaptionParser - Class in net.finmath.parser
Provides options to parse SwaptionDataLattice from csv files.
CSVSwaptionParser(String[], String[], SchedulePrototype, SchedulePrototype) - Constructor for class net.finmath.parser.CSVSwaptionParser
Create the parser with filter on maturities and tenors.
CSVSwaptionParser(SchedulePrototype, SchedulePrototype) - Constructor for class net.finmath.parser.CSVSwaptionParser
Create the parser with no filter on the maturities and tenors.
CUBIC_SPLINE - net.finmath.interpolation.RationalFunctionInterpolation.InterpolationMethod
Cubic spline interpolation.
CUBIC_SPLINE - net.finmath.marketdata.model.curves.CurveInterpolation.InterpolationMethod
Cubic spline interpolation.
CUBIC_SPLINE - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.InterpolationMethod
Cubic spline interpolation.
cumulativeDistribution(double) - Method in class net.finmath.functions.NonCentralChiSquaredDistribution
Cumulative distribution function of the non-central Χ2 distribution
cumulativeDistribution(double) - Static method in class net.finmath.functions.NormalDistribution
Cumulative distribution function of the standard normal distribution.
Curve - Interface in net.finmath.marketdata.model.curves
The interface which is implemented by a general curve.
Curve - Interface in net.finmath.marketdata2.model.curves
The interface which is implemented by a general curve.
CurveBuilder - Interface in net.finmath.marketdata.model.curves
Interface of builders which allow to build curve objects by successively adding points.
CurveBuilder - Interface in net.finmath.marketdata2.model.curves
Interface of builders which allow to build curve objects by successively adding points.
CurveEstimation - Class in net.finmath.marketdata.model.curves.locallinearregression
This class implements the method of local linear regression with discrete kernel function, see see https://ssrn.com/abstract=3073942 In particular it represents the implementation of proposition 2 and 3 of the paper.
CurveEstimation(LocalDate, double, double[], double[], double[], double) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation
Creates a curve estimation object with a normal kernel.
CurveEstimation(LocalDate, double, double[], double[], double[], double, CurveEstimation.Distribution) - Constructor for class net.finmath.marketdata.model.curves.locallinearregression.CurveEstimation
Creates a curve estimation object.
CurveEstimation.Distribution - Enum in net.finmath.marketdata.model.curves.locallinearregression
Possible kernel types.
CurveFactory - Class in net.finmath.marketdata.model.curves
A collection of convenient methods constructing some more specialized curves.
CurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves
A curve derived from other curves by multiplying the values.
CurveFromProductOfCurves(String, LocalDate, Curve...) - Constructor for class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
Create a curve using one or more curves.
CurveInterpolation - Class in net.finmath.marketdata.model.curves
This class represents a curve build from a set of points in 2D.
CurveInterpolation - Class in net.finmath.marketdata2.model.curves
This class represents a curveFromInterpolationPoints build from a set of points in 2D.
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation
Create a curve with a given name, reference date and an interpolation method.
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, double[], double[]) - Constructor for class net.finmath.marketdata.model.curves.CurveInterpolation
Create a curve with a given name, reference date and an interpolation method from given points
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation
Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method.
CurveInterpolation(String, LocalDate, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, double[], RandomVariable[]) - Constructor for class net.finmath.marketdata2.model.curves.CurveInterpolation
Create a curveFromInterpolationPoints with a given name, reference date and an interpolation method from given points
CurveInterpolation.Builder - Class in net.finmath.marketdata.model.curves
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
CurveInterpolation.Builder - Class in net.finmath.marketdata2.model.curves
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
CurveInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata.model.curves
Possible extrapolation methods.
CurveInterpolation.ExtrapolationMethod - Enum in net.finmath.marketdata2.model.curves
Possible extrapolation methods.
CurveInterpolation.InterpolationEntity - Enum in net.finmath.marketdata.model.curves
Possible interpolation entities.
CurveInterpolation.InterpolationEntity - Enum in net.finmath.marketdata2.model.curves
Possible interpolation entities.
CurveInterpolation.InterpolationMethod - Enum in net.finmath.marketdata.model.curves
Possible interpolation methods.
CurveInterpolation.InterpolationMethod - Enum in net.finmath.marketdata2.model.curves
Possible interpolation methods.
CurveInterpolation.Point - Class in net.finmath.marketdata.model.curves
Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.

D

d(double) - Method in class net.finmath.marketdata.model.curves.locallinearregression.Partition
If a given x is into an interval of the partition, this method returns the reference point of the corresponding interval.
DAILY - net.finmath.time.ScheduleGenerator.Frequency
Daily periods.
DataTable - Interface in net.finmath.singleswaprate.data
An interface for storing double values in a tenor grid.
DataTable.TableConvention - Enum in net.finmath.singleswaprate.data
Possible conventions for the table.
DataTableBasic - Class in net.finmath.singleswaprate.data
A basic implementation of DataTable, which provides no means of inter- or extrapolation.
DataTableBasic(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic
Create an empty table.
DataTableBasic(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic
Create a table.
DataTableBasic(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic
Create a table.
DataTableBasic.DoubleKey - Class in net.finmath.singleswaprate.data
Nested class to use as key in values map.
DataTableExtrapolated - Class in net.finmath.singleswaprate.data
Extends DataTableBasic with the capacity to inter- and extrapolate values off the tenor grid.
DataTableExtrapolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableExtrapolated
Create an empty table.
DataTableExtrapolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableExtrapolated
Create a table.
DataTableExtrapolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableExtrapolated
Create a table.
DataTableInterpolated - Class in net.finmath.singleswaprate.data
Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes.
DataTableInterpolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableInterpolated
Create an empty table.
DataTableInterpolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableInterpolated
Create a table.
DataTableInterpolated(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableInterpolated
Create a table.
DataTableLight - Class in net.finmath.singleswaprate.data
A basic implementation of DataTable, which only allows access to data via int and provides no means of inter- or extrapolation.
DataTableLight(String, DataTable.TableConvention) - Constructor for class net.finmath.singleswaprate.data.DataTableLight
Create an empty table.
DataTableLight(String, DataTable.TableConvention, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableLight
Create a table.
DataTableLight(String, DataTable.TableConvention, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableLight
Create a table.
DataTableLinear - Class in net.finmath.singleswaprate.data
Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes, using BiLinearInterpolation Note that the interpolation is done to the accuracy of the table convention.
DataTableLinear(String, DataTable.TableConvention, LocalDate, SchedulePrototype) - Constructor for class net.finmath.singleswaprate.data.DataTableLinear
Create an empty table.
DataTableLinear(String, DataTable.TableConvention, LocalDate, SchedulePrototype, int[], int[], double[]) - Constructor for class net.finmath.singleswaprate.data.DataTableLinear
Create a table.
DataTableLinear(String, DataTable.TableConvention, LocalDate, SchedulePrototype, List<Integer>, List<Integer>, List<Double>) - Constructor for class net.finmath.singleswaprate.data.DataTableLinear
Create a table.
DateIndex - Class in net.finmath.montecarlo.interestrate.products.indices
An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
DateIndex(String, String, DateIndex.DateIndexType) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.DateIndex
Construct a date index.
DateIndex(String, DateIndex.DateIndexType) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.DateIndex
Construct a date index.
DateIndex.DateIndexType - Enum in net.finmath.montecarlo.interestrate.products.indices
 
DAY - net.finmath.montecarlo.interestrate.products.indices.DateIndex.DateIndexType
 
DayCountConvention - Interface in net.finmath.time.daycount
Interface for various day count conventions.
DayCountConvention_30E_360 - Class in net.finmath.time.daycount
Implementation of 30E/360 and 30E+/360.
DayCountConvention_30E_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360
Create a 30E/360 daycount convention.
DayCountConvention_30E_360(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360
Create a 30E/360 or 30E+/360 day count convention.
DayCountConvention_30E_360_ISDA - Class in net.finmath.time.daycount
Implementation of 30E/360 ISDA.
DayCountConvention_30E_360_ISDA() - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
Create a 30E/360 ISDA daycount convention using isTreatEndDateAsTerminationDate = false.
DayCountConvention_30E_360_ISDA(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA
Create a 30E/360 ISDA daycount convention.
DayCountConvention_30U_360 - Class in net.finmath.time.daycount
Calculates the day count using the US 30/360 adjusted method.
DayCountConvention_30U_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_30U_360
Create a 30U/360 day count convention.
DayCountConvention_30U_360(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_30U_360
Create a 30U/360 day count convention.
DayCountConvention_ACT - Class in net.finmath.time.daycount
Base class which calculates the day count by calculating the actual number of days between startDate and endDate.
DayCountConvention_ACT() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT
Create an ACT day count convention.
DayCountConvention_ACT_360 - Class in net.finmath.time.daycount
Implementation of ACT/360.
DayCountConvention_ACT_360() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_360
Create an ACT/360 day count convention.
DayCountConvention_ACT_365 - Class in net.finmath.time.daycount
Implementation of ACT/365.
DayCountConvention_ACT_365() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365
Create an ACT/365 day count convention.
DayCountConvention_ACT_365A - Class in net.finmath.time.daycount
Implementation of ACT/365A.
DayCountConvention_ACT_365A() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365A
Create an ACT/365 day count convention.
DayCountConvention_ACT_365L - Class in net.finmath.time.daycount
Implementation of ACT/365L.
DayCountConvention_ACT_365L() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_365L
Create an ACT/365 day count convention.
DayCountConvention_ACT_ACT_AFB - Class in net.finmath.time.daycount
Implementation of ACT/ACT AFB.
DayCountConvention_ACT_ACT_AFB() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB
Create an ACT/ACT FBA daycount convention.
DayCountConvention_ACT_ACT_ICMA - Class in net.finmath.time.daycount
Implementation of ACT/ACT ICMA.
DayCountConvention_ACT_ACT_ICMA(ArrayList<Period>, int) - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA
Create an ACT/ACT ICMA day count convention.
DayCountConvention_ACT_ACT_ISDA - Class in net.finmath.time.daycount
Implementation of ACT/ACT ISDA.
DayCountConvention_ACT_ACT_ISDA() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
Create an ACT/ACT ISDA day count convention.
DayCountConvention_ACT_ACT_ISDA(boolean) - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA
Create an ACT/ACT ISDA day count convention.
DayCountConvention_ACT_ACT_YEARFRAC - Class in net.finmath.time.daycount
Implementation of ACT/ACT as in Excel (2013).
DayCountConvention_ACT_ACT_YEARFRAC() - Constructor for class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC
Create an ACT/ACT YEARFRAC daycount convention.
DayCountConvention_NL_365 - Class in net.finmath.time.daycount
Implementation of NL/365.
DayCountConvention_NL_365() - Constructor for class net.finmath.time.daycount.DayCountConvention_NL_365
Create an NL/365 day count convention.
DayCountConvention_NONE - Class in net.finmath.time.daycount
This is a special day count convention, where the day count between two dates is always 0.0 and the year fraction for an interval is always 1.0.
DayCountConvention_NONE() - Constructor for class net.finmath.time.daycount.DayCountConvention_NONE
Create a day count convention with a constant year fraction of 1.0 for all periods.
DayCountConvention_UNKNOWN - Class in net.finmath.time.daycount
Implements a placeholder object for an unknown day count convention, throwing an exception, whenever a day count or day count fraction is requested.
DayCountConvention_UNKNOWN() - Constructor for class net.finmath.time.daycount.DayCountConvention_UNKNOWN
Create the unknown day count convention.
DayCountConvention_UNKNOWN(String) - Constructor for class net.finmath.time.daycount.DayCountConvention_UNKNOWN
Create the unknown day count convention.
DayCountConventionFactory - Class in net.finmath.time.daycount
Factory methods for day count conventions.
DAYS - net.finmath.singleswaprate.data.DataTable.TableConvention
 
DAYS - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateOffsetUnit
 
daysBetween(LocalDate, LocalDate) - Static method in class net.finmath.time.daycount.DayCountConvention_ACT
Returns the number of days, between two dates.
DEFAULT - net.finmath.interpolation.RationalFunctionInterpolation.ExtrapolationMethod
Extrapolation using the interpolation function of the adjacent interval
DEFAULT - net.finmath.marketdata.model.curves.CurveInterpolation.ExtrapolationMethod
Extrapolation using the interpolation function of the adjacent interval
DEFAULT - net.finmath.marketdata2.interpolation.RationalFunctionInterpolation.ExtrapolationMethod
Extrapolation using the interpolation function of the adjacent interval
DEFAULT - net.finmath.marketdata2.model.curves.CurveInterpolation.ExtrapolationMethod
Extrapolation using the interpolation function of the adjacent interval
DefaultFactors(RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.interestrate.models.FundingCapacity.DefaultFactors
 
deltaGammaHedge - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
 
deltaGammaHedge - net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio.HedgeStrategy
 
deltaHedge - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
 
deltaHedge - net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio.HedgeStrategy
 
DeltaHedgedPortfolioWithAAD - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta hedged portfolio (a hedge simulator).
DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
Construction of a delta hedge portfolio.
DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
Construction of a delta hedge portfolio.
deltaVegaHedge - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
 
density(double) - Static method in class net.finmath.functions.NormalDistribution
Returns the value of the density at x.
Deposit - Class in net.finmath.marketdata.products
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
Deposit - Class in net.finmath.marketdata2.products
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
Deposit(Schedule, double, String) - Constructor for class net.finmath.marketdata.products.Deposit
 
Deposit(Schedule, double, String) - Constructor for class net.finmath.marketdata2.products.Deposit
 
DescribedAnalyticModel(LocalDate, Map<String, Curve>, Map<String, VolatilitySurface>) - Constructor for class net.finmath.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel
 
DescribedModel<M extends ModelDescriptor> - Interface in net.finmath.modelling
Interface for models which can provide a complete description of their model parameters (independent of the implementation of the numerical method).
DescribedProduct<T extends ProductDescriptor> - Interface in net.finmath.modelling
Interface for products which can provide a complete description of themself, i.e.
diag(double[]) - Static method in class net.finmath.functions.LinearAlgebra
Generates a diagonal matrix with the input vector on its diagonal
DigitalCaplet - Class in net.finmath.montecarlo.interestrate.products
Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel.
DigitalCaplet(double, double, double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.DigitalCaplet
Create a digital caplet with given maturity and strike.
DigitalFloorlet - Class in net.finmath.montecarlo.interestrate.products
Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
DigitalFloorlet(double, double) - Constructor for class net.finmath.montecarlo.interestrate.products.DigitalFloorlet
 
DigitalOption - Class in net.finmath.fouriermethod.products
Implements valuation of a European option on a single asset.
DigitalOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of a digital option on a single asset.
DigitalOption(double, double) - Constructor for class net.finmath.fouriermethod.products.DigitalOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
DigitalOption(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
Construct a product representing an digital option on an asset S (where S the asset with index 0 from the model - single asset case).
DigitalOption(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
Construct a product representing an digital option on an asset S (where S the asset with index underlyingIndex from the model - single asset case).
DigitalOption(String, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption
 
DigitalOptionDeltaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a digital option.
DigitalOptionDeltaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.DigitalOptionDeltaLikelihood
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
DigitalOptionFourierMethod(SingleAssetDigitalOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.DigitalOptionFourierMethod
Create product from descriptor.
DigitalOptionMonteCarlo(SingleAssetDigitalOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo
Create product from descriptor.
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
discount(RandomVariable, double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
discount(RandomVariable, double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x / (1.0 + rate * periodLength) to this random variable.
discount(RandomVariable, double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
discount(RandomVariable, double) - Method in class net.finmath.stochastic.Scalar
 
DiscountCurve - Interface in net.finmath.marketdata.model.curves
The interface which is implemented by discount curves.
DiscountCurveFromForwardCurve - Class in net.finmath.marketdata.model.curves
A discount curve derived from a given forward curve.
DiscountCurveFromForwardCurve - Class in net.finmath.marketdata2.model.curves
A discount curve derived from a given forward curve.
DiscountCurveFromForwardCurve(String) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String, double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(String, double) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurve) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurve, double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromForwardCurve(ForwardCurveInterface, double) - Constructor for class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
Create a discount curve using a given forward curve.
DiscountCurveFromProductOfCurves - Class in net.finmath.marketdata.model.curves
A discount curve derived from other discount curves by multiplying the discount factors.
DiscountCurveFromProductOfCurves(String, LocalDate, String...) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
Create a discount curve using one or more curves.
DiscountCurveFromProductOfCurves(String, LocalDate, DiscountCurve...) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
Create a discount curve using one or more given curves.
DiscountCurveInterface - Interface in net.finmath.marketdata2.model.curves
The interface which is implemented by discount curves.
DiscountCurveInterpolation - Class in net.finmath.marketdata.model.curves
Implementation of a discount factor curve based on CurveInterpolation.
DiscountCurveInterpolation - Class in net.finmath.marketdata2.model.curves
Implementation of a discount factor curve based on CurveInterpolation.
DiscountCurveNelsonSiegelSvensson - Class in net.finmath.marketdata.model.curves
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
DiscountCurveNelsonSiegelSvensson(String, LocalDate, double[], double) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
Create a discount curve using a Nelson-Siegel-Svensson parametrization.
DiscountCurveRenormalized - Class in net.finmath.marketdata.model.curves
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.
DiscountCurveRenormalized(String, LocalDate, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
 
DISCOUNTFACTOR - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward
Interpolation is performed on the (synthetic) discount factor
DISCOUNTFACTOR - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward
Interpolation is performed on the (synthetic) discount factor
DISCOUNTFACTOR_DISCOUNTFACTOR - net.finmath.marketdata.model.bond.BondCurve.Type
 
DISCOUNTFACTOR_ZERORATE - net.finmath.marketdata.model.bond.BondCurve.Type
 
DISCRETE_DELTA - net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod
 
DisplacedLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance
Displaced model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
Displaced model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
Displaced model build on top of a standard covariance model.
DisplacedLognomalModel - Class in net.finmath.montecarlo.assetderivativevaluation.models
This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e.
DisplacedLognomalModel(double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
Create a Monte-Carlo simulation using given time discretization.
DisplacedLognomalModel(RandomVariableFactory, double, double, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
Create a Monte-Carlo simulation using given time discretization.
DisplacedLognomalModel(RandomVariableFactory, RandomVariable, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
Create a Monte-Carlo simulation using given time discretization.
DisplacedLognormal - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with constanst volatility.
DisplacedLognormal(double[]) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormal(double[], double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormal(double[], double, int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormal(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
DisplacedLognormalARMAGARCH - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with ARMAGARCH(1,1) volatility.
DisplacedLognormalARMAGARCH(TimeSeries) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
DisplacedLognormalARMAGARCH(TimeSeries, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
DisplacedLognormalARMAGARCH(TimeSeries, double, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
DisplacedLognormalGARCH - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with GARCH(1,1) volatility.
DisplacedLognormalGARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGARCH(double[], double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGARCH(double[], double, int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
DisplacedLognormalGJRGARCH - Class in net.finmath.timeseries.models.parametric
Displaced log-normal process with GJR-GARCH(1,1) volatility.
DisplacedLognormalGJRGARCH(TimeSeries) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
DisplacedLognormalGJRGARCH(TimeSeries, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
DisplacedLognormalGJRGARCH(TimeSeries, double, double) - Constructor for class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
div(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
div(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
div(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
div(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
div(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
div(double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x / value to this random variable.
div(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
div(double) - Method in class net.finmath.stochastic.Scalar
 
div(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
div(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
div(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
div(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
div(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
div(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → x/randomVariable to this random variable.
div(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
div(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
DoubleKey(double, double) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey
Create key from double.
DoubleKey(int, int) - Constructor for class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey
Create key from int.
doubleStream() - Method in interface net.finmath.time.TimeDiscretization
Return a DoubleStream of this time discretization.
DoubleTernaryOperator - Interface in net.finmath.functions
Functional interface for functions mapping (double,double,double) to double.
doubleValue() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
doubleValue() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
doubleValue() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
doubleValue() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
doubleValue() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
doubleValue() - Method in interface net.finmath.stochastic.RandomVariable
Returns the double value if isDeterministic() is true.
doubleValue() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
doubleValue() - Method in class net.finmath.stochastic.Scalar
 
DOWN_IN - net.finmath.functions.BarrierOptions.BarrierType
 
DOWN_OUT - net.finmath.functions.BarrierOptions.BarrierType
 

E

E30_360 - net.finmath.time.ScheduleGenerator.DaycountConvention
E30_360_ISDA - net.finmath.time.ScheduleGenerator.DaycountConvention
equals(Object) - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
equals(Object) - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
 
equals(Object) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
 
equals(Object) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
 
equals(Object) - Method in class net.finmath.montecarlo.GammaProcess
 
equals(Object) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
 
equals(Object) - Method in class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey
 
equals(Object) - Method in class net.finmath.time.Period
 
equals(Object) - Method in class net.finmath.time.TimeDiscretizationFromArray
 
equals(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
equals(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
equals(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
equals(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
equals(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
equals(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Compare this random variable with a given one
equals(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
equals(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
ErrorEstimation - Class in net.finmath.singleswaprate.data
Provides several error estimates between values taken from market data and values taken from a model.
ErrorEstimation(LocalDate, SchedulePrototype, SchedulePrototype, AnnuityMapping.AnnuityMappingType, SwaptionDataLattice, SwaptionDataLattice, SwaptionDataLattice, String, String, String, double, double, int) - Constructor for class net.finmath.singleswaprate.data.ErrorEstimation
Create the class.
ESTIMATE_COND_EXPECTATION - net.finmath.montecarlo.assetderivativevaluation.products.BermudanDigitalOption.ExerciseMethod
 
ESTIMATE_COND_EXPECTATION - net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption.ExerciseMethod
 
EULER - net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel.Driftapproximation
 
EULER - net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard.Driftapproximation
 
EULER - net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement.Driftapproximation
 
EULER - net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme
 
EULER - net.finmath.montecarlo.templatemethoddesign.LogNormalProcess.Scheme
 
EULER_FUNCTIONAL - net.finmath.montecarlo.process.EulerSchemeFromProcessModel.Scheme
 
EulerSchemeFromProcessModel - Class in net.finmath.montecarlo.process
This class implements some numerical schemes for multi-dimensional multi-factor Ito process.
EulerSchemeFromProcessModel(ProcessModel, IndependentIncrements) - Constructor for class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
Create an Euler discretization scheme.
EulerSchemeFromProcessModel(ProcessModel, IndependentIncrements, EulerSchemeFromProcessModel.Scheme) - Constructor for class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
Create an Euler discretization scheme.
EulerSchemeFromProcessModel.Scheme - Enum in net.finmath.montecarlo.process
 
EUR - net.finmath.marketdata.model.volatility.caplet.CapTenorStructure
 
EuropeanOption - Class in net.finmath.fouriermethod.products
Implements valuation of a European option on a single asset.
EuropeanOption - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of a European option on a single asset.
EuropeanOption(double, double) - Constructor for class net.finmath.fouriermethod.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(String, double, double) - Constructor for class net.finmath.fouriermethod.products.EuropeanOption
 
EuropeanOption(String, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
Construct a product representing an European option on an asset S (where S the asset with index underlyingIndex from the model - single asset case).
EuropeanOptionDeltaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option using the likelihood ratio method.
EuropeanOptionDeltaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaLikelihood
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionDeltaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where d S(T)/d S(0) = S(T)/S(0), e.g., Black-Scholes.
EuropeanOptionDeltaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwise
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionDeltaPathwiseForGeometricModel - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where
d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.
EuropeanOptionDeltaPathwiseForGeometricModel(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwiseForGeometricModel
Construct a product representing the delta of an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionFourierMethod(SingleAssetEuropeanOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.EuropeanOptionFourierMethod
Create the product from a descriptor.
EuropeanOptionGammaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option.
EuropeanOptionGammaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaLikelihood
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionGammaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option using the pathwise method.
EuropeanOptionGammaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionMonteCarlo(SingleAssetEuropeanOptionProductDescriptor, LocalDate) - Constructor for class net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionRhoLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option.
EuropeanOptionRhoLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoLikelihood
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionRhoPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option using the pathwise method.
EuropeanOptionRhoPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionRhoPathwise
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionSmile - Class in net.finmath.fouriermethod.products.smile
This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.
EuropeanOptionSmile(double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
 
EuropeanOptionSmile(String, double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
 
EuropeanOptionSmileByCarrMadan - Class in net.finmath.fouriermethod.products.smile
This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.
EuropeanOptionSmileByCarrMadan(double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
 
EuropeanOptionSmileByCarrMadan(String, double, double[]) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
 
EuropeanOptionSmileByCarrMadan(String, double, double[], int, double, RationalFunctionInterpolation.InterpolationMethod, RationalFunctionInterpolation.ExtrapolationMethod) - Constructor for class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
 
EuropeanOptionThetaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the theta of a European option using the pathwise method.
EuropeanOptionThetaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionVegaLikelihood - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the delta of a European option.
EuropeanOptionVegaLikelihood(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaLikelihood
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOptionVegaPathwise - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements calculation of the vega of a European option using the pathwise method.
EuropeanOptionVegaPathwise(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise
Construct a product representing the vega of a European option on an asset S.
EuropeanOptionWithBoundary - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements pricing of a European stock option.
EuropeanOptionWithBoundary(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary
Create an European option.
EuropeanOptionWithBoundary.ConstantBarrier - Class in net.finmath.montecarlo.assetderivativevaluation.products
 
evaluate(SwaptionDataLattice, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Evaluate the market data against the model.
exp() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
exp() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
exp() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
exp() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
exp() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
exp() - Method in interface net.finmath.stochastic.RandomVariable
Applies x → exp(x) to this random variable.
exp() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
exp() - Method in class net.finmath.stochastic.Scalar
 
exp(double[][]) - Method in class net.finmath.functions.LinearAlgebra
Calculate the "matrix exponential" (expm).
exp(RealMatrix) - Method in class net.finmath.functions.LinearAlgebra
Calculate the "matrix exponential" (expm).
expand(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
expectation() - Method in interface net.finmath.stochastic.RandomVariable
Returns a random variable which is deterministic and corresponds the expectation of this random variable.
ExpectedTailLoss - Class in net.finmath.montecarlo.interestrate.products.components
The expected tail loss.
ExpectedTailLoss(double, double, TermStructureMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ExpectedTailLoss
Creates the function underlying(exerciseDate) ≥ quantileValue ? underlying : 0.0, where quantileValue is such that P(underlying > quantileValue) = quantile
expm1() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
expm1() - Method in interface net.finmath.stochastic.RandomVariable
Applies x → expm1(x) (that is x → exp(x)-1.0) to this random variable.
expm1() - Method in class net.finmath.stochastic.Scalar
 
ExponentialCorrelationCurve - Class in net.finmath.singleswaprate.model.curves
A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .
ExponentialCorrelationCurve(String, LocalDate, double, double) - Constructor for class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
Create the curve.
ExponentialDecayLocalVolatilityModel - Class in net.finmath.montecarlo.interestrate.models.covariance
Exponential decay model build on top of a given covariance model.
ExponentialDecayLocalVolatilityModel(AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
Exponential decay model build on top of a standard covariance model.
ExponentialDecayLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, double, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
Exponential decay model build on top of a standard covariance model.
ExponentialDecayLocalVolatilityModel(RandomVariableFactory, AbstractLIBORCovarianceModelParametric, RandomVariable, boolean) - Constructor for class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
Exponential decay model build on top of a standard covariance model.
ExponentialNormalizer - Class in net.finmath.singleswaprate.annuitymapping
An exponential normalizing function following \[ c e^{-(x / S)^2} \] where S is the swap rate and c is some scaling factor.
ExponentialNormalizer(double, double) - Constructor for class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
Create the exponential normalizer with parameters.
ExponentialNormalizer(Schedule, Schedule, String, String, String, VolatilityCubeModel) - Constructor for class net.finmath.singleswaprate.annuitymapping.ExponentialNormalizer
Create the exponential normalizer from information of the product.
exportTable(DataTable) - Static method in interface net.finmath.singleswaprate.data.DataTable
Provides an overview of the contents of this table as basic java objects sorted in an unmodifiable map.
ExposureEstimator - Class in net.finmath.montecarlo.interestrate.products.components
Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.
ExposureEstimator(AbstractLIBORMonteCarloProduct) - Constructor for class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator
Creates (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.

F

factorReduction(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra
Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
factorReductionUsingCommonsMath(double[][], int) - Static method in class net.finmath.functions.LinearAlgebra
Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
FactorTransform - Interface in net.finmath.montecarlo.process.component.factortransform
 
FDMBlackScholesModel - Class in net.finmath.finitedifference.models
Black Scholes model using finite difference method.
FDMBlackScholesModel(int, int, int, double, double, double, double, double) - Constructor for class net.finmath.finitedifference.models.FDMBlackScholesModel
 
FDMConstantElasticityOfVarianceModel - Class in net.finmath.finitedifference.models
CEV model using finite difference method.
FDMConstantElasticityOfVarianceModel(int, int, int, double, double, double, double, double, double) - Constructor for class net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
 
FDMEuropeanCallOption - Class in net.finmath.finitedifference.products
Implementation of a European option to be valued by a the finite difference method.
FDMEuropeanCallOption(double, double) - Constructor for class net.finmath.finitedifference.products.FDMEuropeanCallOption
 
FDMEuropeanPutOption - Class in net.finmath.finitedifference.products
Implementation of a European option to be valued by a the finite difference method.
FDMEuropeanPutOption(double, double) - Constructor for class net.finmath.finitedifference.products.FDMEuropeanPutOption
 
FDMThetaMethod - Class in net.finmath.finitedifference.solvers
One dimensional finite difference solver.
FDMThetaMethod(FiniteDifference1DModel, FiniteDifference1DBoundary, double, double, double) - Constructor for class net.finmath.finitedifference.solvers.FDMThetaMethod
 
FileUtilities - Class in net.finmath.util
Provides utility method to write an object to a file and read an object from a file.
FileUtilities() - Constructor for class net.finmath.util.FileUtilities
 
FiniteDifference1DBoundary - Interface in net.finmath.finitedifference.models
Interface for boundaries conditions provided to one dimensional finite difference solvers.
FiniteDifference1DModel - Interface in net.finmath.finitedifference.models
Interface one dimensional finite difference models.
FiniteDifference1DProduct - Interface in net.finmath.finitedifference.products
Interface one dimensional finite difference products.
FiniteDifferenceDeltaHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta hedged portfolio of a given product (a hedge simulator).
FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationModel) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio
Construction of a delta hedge portfolio using finite differences on every path and in every time-step.
FiniteDifferenceHedgedPortfolio - Class in net.finmath.montecarlo.assetderivativevaluation.products
This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct, AssetModelMonteCarloSimulationModel, ArrayList<AbstractAssetMonteCarloProduct>, FiniteDifferenceHedgedPortfolio.HedgeStrategy) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceHedgedPortfolio
Construction of a hedge portfolio.
FiniteDifferenceHedgedPortfolio.HedgeStrategy - Enum in net.finmath.montecarlo.assetderivativevaluation.products
 
FIPXMLParser - Class in net.finmath.modelling.descriptor.xmlparser
Class for parsing trades saved in FIPXML to product descriptors.
FIPXMLParser() - Constructor for class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser
Construct the parser with default parameters.
FIPXMLParser(boolean, String) - Constructor for class net.finmath.modelling.descriptor.xmlparser.FIPXMLParser
Construct the parser.
FIRST - net.finmath.time.ScheduleGenerator.ShortPeriodConvention
The first period will be shorter, if a regular period does not fit.
FixedCoupon - Class in net.finmath.montecarlo.interestrate.products.indices
A fixed coupon index paying constant coupon..
FixedCoupon(double) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
Creates a fixed coupon index paying constant coupon.
FlexiCap - Class in net.finmath.montecarlo.interestrate.products
This class implements the valuation of a Flexi Cap (aka Auto Cap).
FlexiCap(double[], double[], double[], int) - Constructor for class net.finmath.montecarlo.interestrate.products.FlexiCap
Create a Flexi Cap (aka Auto Cap).
FloatingpointDate - Class in net.finmath.time
This class provides the library wide conversion from a floating point number to a LocalDate.
floor(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
floor(double) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
floor(double) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
floor(double) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
floor(double) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
floor(double) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → max(x,floor) to this random variable.
floor(double) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
floor(double) - Method in class net.finmath.stochastic.Scalar
 
floor(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
floor(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
floor(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
floor(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
floor(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
floor(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Applies x → max(x,floor) to this random variable.
floor(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
floor(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
FOLLOWING - net.finmath.time.businessdaycalendar.BusinessdayCalendar.DateRollConvention
 
Forward - Class in net.finmath.marketdata.products
Implements the valuation of a forward using curves (discount curve, forward curve).
Forward - Class in net.finmath.marketdata2.products
Implements the valuation of a forward using curves (discount curve, forward curve).
Forward(double, double, String, double, String) - Constructor for class net.finmath.marketdata.products.Forward
Creates a forward.
Forward(double, double, String, double, String) - Constructor for class net.finmath.marketdata2.products.Forward
Creates a forward.
FORWARD - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward
Interpolation is performed on the forward
FORWARD - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward
Interpolation is performed on the forward
FORWARD_TIMES_DISCOUNTFACTOR - net.finmath.marketdata.model.curves.ForwardCurveInterpolation.InterpolationEntityForward
Interpolation is performed on the value = forward * discount factor
FORWARD_TIMES_DISCOUNTFACTOR - net.finmath.marketdata2.model.curves.ForwardCurveInterpolation.InterpolationEntityForward
Interpolation is performed on the value = forward * discount factor
ForwardAgreement - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of a forward on a single asset.
ForwardAgreement(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreement(double, double, int) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreement(String, double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreement
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreementWithFundingRequirement - Class in net.finmath.montecarlo.assetderivativevaluation.products
Implements the valuation of a forward on a single asset.
ForwardAgreementWithFundingRequirement(double, double) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreementWithFundingRequirement(double, double, int, FundingCapacity) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardAgreementWithFundingRequirement(String, double, double, FundingCapacity) - Constructor for class net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
ForwardCurve - Interface in net.finmath.marketdata.model.curves
The interface which is implemented by forward curves.
ForwardCurveFromDiscountCurve - Class in net.finmath.marketdata.model.curves
A forward curve derived from a given discount curve.
ForwardCurveFromDiscountCurve - Class in net.finmath.marketdata2.model.curves
A forward curve derived from a given discount curve.
ForwardCurveFromDiscountCurve(String, String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, double, double) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, LocalDate, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveFromDiscountCurve(String, LocalDate, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve
Create a forward curve using a given referenceDiscountCurveForForwards.
ForwardCurveIndex - Class in net.finmath.montecarlo.interestrate.products.indices
A fixed coupon index paying coupon calculated from a forward curve.
ForwardCurveIndex(ForwardCurve) - Constructor for class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex
Creates a forward curve index.
ForwardCurveInterface - Interface in net.finmath.marketdata2.model.curves
The interface which is implemented by forward curves.
ForwardCurveInterpolation - Class in net.finmath.marketdata.model.curves
A container for a forward (rate) curve.
ForwardCurveInterpolation - Class in net.finmath.marketdata2.model.curves
A container for a forward (rate) curve.
ForwardCurveInterpolation(String, double, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, double, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, CurveInterpolation.InterpolationMethod, CurveInterpolation.ExtrapolationMethod, CurveInterpolation.InterpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward, String) - Constructor for class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation
Generate a forward curve using a given discount curve and payment offset.
ForwardCurveInterpolation.InterpolationEntityForward - Enum in net.finmath.marketdata.model.curves
Additional choice of interpolation entities for forward curves.
ForwardCurveInterpolation.InterpolationEntityForward - Enum in net.finmath.marketdata2.model.curves
Additional choice of interpolation entities for forward curves.
ForwardCurveNelsonSiegelSvensson - Class in net.finmath.marketdata.model.curves
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
ForwardCurveNelsonSiegelSvensson(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention, double[], double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
ForwardCurveNelsonSiegelSvensson(String, LocalDate, String, BusinessdayCalendar, BusinessdayCalendar.DateRollConvention, DayCountConvention, double[], double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
ForwardCurveWithFixings - Class in net.finmath.marketdata.model.curves
 
ForwardCurveWithFixings(ForwardCurve, ForwardCurve, double, double) - Constructor for class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
Create a piecewise forward curve.
ForwardRateAgreement - Class in net.finmath.marketdata.products
Implements the valuation of a FRA in multi-curve setting.
ForwardRateAgreement - Class in net.finmath.marketdata2.products
Implements the valuation of a FRA in multi-curve setting.
ForwardRateAgreement(Schedule, double, String, String) - Constructor for class net.finmath.marketdata.products.ForwardRateAgreement
Creates a payer FRA.
ForwardRateAgreement(Schedule, double, String, String) - Constructor for class net.finmath.marketdata2.products.ForwardRateAgreement
Creates a payer FRA.
ForwardRateAgreement(Schedule, double, String, String, boolean) - Constructor for class net.finmath.marketdata.products.ForwardRateAgreement
Creates a FRA.
ForwardRateAgreement(Schedule, double, String, String, boolean) - Constructor for class net.finmath.marketdata2.products.ForwardRateAgreement
Creates a FRA.
ForwardRateAgreementGeneralized - Class in net.finmath.montecarlo.hybridassetinterestrate.products
This class implements the valuation of a zero coupon bond.
ForwardRateAgreementGeneralized(String, double, double, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized
 
ForwardRateAgreementGeneralized(LocalDateTime, String, double, double, double) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized
Create a forward rate agreement.
ForwardRateAgreementGeneralized(LocalDateTime, String, double, double, double, RandomVariable, RandomVariable, RandomVariable) - Constructor for class net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized
 
ForwardRateVolatilitySurfaceCurvature - Class in net.finmath.montecarlo.interestrate.products
This class implements the calculation of the curvature of the volatility surface of the forward rates.
ForwardRateVolatilitySurfaceCurvature() - Constructor for class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
Create the calculation of the curvature of the volatility surface of the forward rates
ForwardRateVolatilitySurfaceCurvature(double) - Constructor for class net.finmath.montecarlo.interestrate.products.ForwardRateVolatilitySurfaceCurvature
Create the calculation of the curvature of the volatility surface of the forward rates.
FourierTransformProduct - Interface in net.finmath.fouriermethod.products
 
FPMLParser - Class in net.finmath.modelling.descriptor.xmlparser
Class for parsing trades saved in FpML to product descriptors.
FPMLParser(String, String) - Constructor for class net.finmath.modelling.descriptor.xmlparser.FPMLParser
Construct the parser.
fromFile(File) - Static method in class net.finmath.marketdata.model.volatilities.CapletVolatilities
 
FULL_TRUNCATION - net.finmath.montecarlo.assetderivativevaluation.models.HestonModel.Scheme
Full truncation scheme, that is V is replaced by Math.max(V,0), where V denotes the current realization of V(t).
FundingCapacity - Class in net.finmath.montecarlo.interestrate.models
Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.
FundingCapacity(String, RandomVariable, SortedMap<Double, Double>) - Constructor for class net.finmath.montecarlo.interestrate.models.FundingCapacity
 
FundingCapacity.DefaultFactors - Class in net.finmath.montecarlo.interestrate.models
 
FutureWrapper<V> - Class in net.finmath.concurrency
Implementation of the Future interface, without any concurrent execution.
FutureWrapper(V) - Constructor for class net.finmath.concurrency.FutureWrapper
Create a wrapper to an object that looks like a Future on that object.

G

GammaDistribution - Class in net.finmath.functions
 
GammaDistribution(double, double) - Constructor for class net.finmath.functions.GammaDistribution
 
GammaProcess - Class in net.finmath.montecarlo
Implementation of a time-discrete n-dimensional Gamma process \( \Gamma = (\Gamma_{1},\ldots,\Gamma_{n}) \), where \( \Gamma_{i} \) is a Gamma process and \( \Gamma_{i} \), \( \Gamma_{j} \) are independent for i not equal j.
GammaProcess(TimeDiscretization, int, int, int, double) - Constructor for class net.finmath.montecarlo.GammaProcess
Construct a Gamma process with a given shape parameter.
GammaProcess(TimeDiscretization, int, int, int, double, double) - Constructor for class net.finmath.montecarlo.GammaProcess
Construct a Gamma process with a given shape parameter.
GARCH - Class in net.finmath.timeseries.models.parametric
Log-normal process with GARCH(1,1) volatility.
GARCH(double[]) - Constructor for class net.finmath.timeseries.models.parametric.GARCH
Create GARCH model estimated form the given time series of values.
GARCH(double[], int, int) - Constructor for class net.finmath.timeseries.models.parametric.GARCH
Create GARCH model estimated form the given time series of values.
generateSchedule(LocalDate, int, int) - Method in class net.finmath.time.SchedulePrototype
Generate a schedule with start / end date determined by an offset in months from the reference date.
generateSchedule(LocalDate, int, int, SchedulePrototype.OffsetUnit) - Method in class net.finmath.time.SchedulePrototype
Generate a schedule with start / end date determined by an offset from the reference date.
generateSchedule(LocalDate, LocalDate, LocalDate) - Method in class net.finmath.time.SchedulePrototype
Generate a schedule for the given start and end date.
generateScheduleDescriptor(LocalDate, LocalDate) - Method in class net.finmath.time.SchedulePrototype
Generate a schedule descriptor for the given start and end date.
get() - Method in class net.finmath.concurrency.FutureWrapper
 
get() - Method in interface net.finmath.stochastic.RandomVariableAccumulator
 
get(double, double) - Method in interface net.finmath.stochastic.RandomVariableAccumulator
 
get(int) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
get(int) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
get(int) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
get(int) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
get(int) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
get(int) - Method in interface net.finmath.stochastic.RandomVariable
Evaluate at a given path or state.
get(int) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
get(int) - Method in class net.finmath.stochastic.Scalar
 
get(long, TimeUnit) - Method in class net.finmath.concurrency.FutureWrapper
 
get3MCorrelation(double, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
 
get6MCorrelation(double, double, AnalyticModel) - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
 
getAccruedInterest(double, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
Returns the accrued interest of the bond for a given time.
getAccruedInterest(LocalDate, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
Returns the accrued interest of the bond for a given date.
getAccuracy() - Method in class net.finmath.marketdata.calibration.Solver
Returns the accuracy achieved in the last solver run.
getAccuracy() - Method in class net.finmath.marketdata2.calibration.Solver
Returns the accuracy achieved in the last solver run.
getAccuracy() - Method in class net.finmath.optimizer.GoldenSectionSearch
 
getAdjustedDate(LocalDate, String, BusinessdayCalendar.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
 
getAdjustedDate(LocalDate, String, BusinessdayCalendar.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar
Get an adjusted date for a given date and offset code.
getAdjustedDate(LocalDate, BusinessdayCalendar.DateRollConvention) - Method in class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar
 
getAdjustedDate(LocalDate, BusinessdayCalendar.DateRollConvention) - Method in interface net.finmath.time.businessdaycalendar.BusinessdayCalendar
Get an adjusted date for a given date.
getAlpha() - Method in class net.finmath.fouriermethod.models.BatesModel
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
getAnalyticModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
 
getAnalyticModel() - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
getAsArrayList() - Method in interface net.finmath.time.TimeDiscretization
Return a clone of this time discretization as ArrayList<Double>.
getAsArrayList() - Method in class net.finmath.time.TimeDiscretizationFromArray
 
getAsDouble() - Method in interface net.finmath.randomnumbers.RandomNumberGenerator1D
 
getAsDoubleArray() - Method in interface net.finmath.time.TimeDiscretization
Return a clone of this time discretization as double[].
getAsDoubleArray() - Method in class net.finmath.time.TimeDiscretizationFromArray
 
getAssetValue(double, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
Returns the random variable representing the asset's value at a given time for a given asset.
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
 
getAssetValue(double, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getAssetValue(int, int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
Returns the random variable representing the asset's value at a given time for a given asset.
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
 
getAssetValue(int, int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getATMForward(AnalyticModel, boolean) - Method in class net.finmath.marketdata.products.Cap
Return the ATM forward for this cap.
getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
getAverage() - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
getAverage() - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
getAverage() - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
getAverage() - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getAverage() - Method in interface net.finmath.stochastic.RandomVariable
Returns the expectation of this random variable.
getAverage() - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
getAverage() - Method in class net.finmath.stochastic.Scalar
 
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
getAverage(RandomVariable) - Method in class net.finmath.montecarlo.RandomVariableLazyEvaluation
 
getAverage(RandomVariable) - Method in interface net.finmath.stochastic.RandomVariable
Returns the expectation of this random variable for a given probability measure (weight).
getAverage(RandomVariable) - Method in class net.finmath.stochastic.RandomVariableArrayImplementation
 
getAverage(RandomVariable) - Method in class net.finmath.stochastic.Scalar
 
getBarrier() - Method in interface net.finmath.montecarlo.process.component.barrier.ProcessWithBarrier
 
getBarrierDiracWidth() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory
Deprecated.
getBarrierDirection(int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
 
getBarrierDirection(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier
The barrier direction, i.e.
getBarrierLevel(int, RandomVariable[]) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
 
getBarrierLevel(int, RandomVariable[]) - Method in interface net.finmath.montecarlo.process.component.barrier.Barrier
The barrier level
getBaseCalendar() - Method in class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays
 
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is exp(- a t) Fi(t) where a is the decay parameter and Fi is the factor loading from the given covariance model.
getBaseCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
Returns the base covariance model, i.e., the model providing the factor loading F.
getBaseCurve() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getBaseModel() - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
 
getBaseVolTable() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
 
getBasisFactorCurveName() - Method in class net.finmath.marketdata.model.bond.Bond
 
getBasisFunctions() - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctions
 
getBasisFunctions() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression.RegressionBasisFunctionsGiven
 
getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
Return the basis functions for the regression suitable for this product.
getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
getBasisFunctions(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
Return the regression basis functions.
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsFromProducts
 
getBasisFunctions(double, MonteCarloSimulationModel) - Method in interface net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsProvider
Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
Return the basis functions for the regression suitable for this product.
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
 
getBasisFunctions(double, MonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Option
 
getBasisFunctionsEstimator() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
 
getBasisFunctionsPredictor() - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
 
getBasisFunctionsProviderWithForwardRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
 
getBasisFunctionsProviderWithSwapRates() - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
 
getBestFitParameters() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
 
getBestFitParameters() - Method in class net.finmath.optimizer.LevenbergMarquardt
 
getBestFitParameters() - Method in interface net.finmath.optimizer.Optimizer
Get the best fit parameter vector.
getBestFitParameters() - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
 
getBestFitParameters() - Method in interface net.finmath.optimizer.StochasticOptimizer
Get the best fit parameter vector.
getBestFitParameters() - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
 
getBestParameters() - Method in interface net.finmath.timeseries.HistoricalSimulationModel
Returns the parameters estimated for the given time series.
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getBestParameters() - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getBestParameters(Map<String, Object>) - Method in interface net.finmath.timeseries.HistoricalSimulationModel
Returns the parameters estimated for the given time series, using a parameter guess.
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getBestParameters(Map<String, Object>) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getBestPoint() - Method in class net.finmath.optimizer.GoldenSectionSearch
 
getBeta() - Method in class net.finmath.fouriermethod.models.BatesModel
 
getBeta() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
 
getBoundaryAdjustment(double, double, AssetModelMonteCarloSimulationModel, RandomVariable) - Method in class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary
 
getBrownianIncrement(double, int) - Method in interface net.finmath.montecarlo.BrownianMotion
Return the Brownian increment for a given timeIndex.
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianBridge
 
getBrownianIncrement(int, int) - Method in interface net.finmath.montecarlo.BrownianMotion
Return the Brownian increment for a given timeIndex.
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
 
getBrownianIncrement(int, int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getBrownianMotion() - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
 
getBrownianMotion() - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
Returns the Brownian motion used to simulate the curve.
getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
 
getBrownianMotion() - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
 
getBrownianMotion() - Method in class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess
 
getBrownianMotion() - Method in class net.finmath.montecarlo.VarianceGammaProcess
 
getBuildString() - Static method in class net.finmath.information.Library
Return the build string of this instance of finmath-lib.
getBusinessdayCalendar() - Method in class net.finmath.time.SchedulePrototype
 
getCalibratedModel(Set<ParameterObject>) - Method in class net.finmath.marketdata.calibration.Solver
Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
getCalibratedModel(Set<ParameterObject>) - Method in class net.finmath.marketdata2.calibration.Solver
Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
getCalibration() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel
Solves the calibration problem thus providing a calibrated model.
getCalibrationOutput() - Method in class net.finmath.fouriermethod.calibration.CalibratedModel.OptimizationResult
 
getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
 
getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
 
getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.
getCalibrationProductForSymbol(String) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.
getCapletFixingTimeVectorInYears() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
 
getCapletVolMatrix() - Method in class net.finmath.marketdata.model.volatility.caplet.CapletVolBootstrapping
Method that bootstraps the caplet volatilities from the cap volatility data.
getCapTenorStructure() - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
 
getCapVolData(int, double) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
 
getCapVolData(int, int) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
 
getCashAverageError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the average error in cash settled swaption premiums.
getCashAverageError(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the average error in cash settled swaption premiums at a specific node on the tenor grid.
getCashAverageErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the average error in cash settled swaption premiums, in percent difference from the market data.
getCashAverageErrorPercent(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the average error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
getCashMaxError() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the maximal error in cash settled swaption premiums.
getCashMaxError(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the maximal error in cash settled swaption premiums at a specific node on the tenor grid.
getCashMaxErrorPercent() - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the maximal error in cash settled swaption premiums, in percent difference from the market data.
getCashMaxErrorPercent(int, int, VolatilityCubeModel) - Method in class net.finmath.singleswaprate.data.ErrorEstimation
Get the maximal error in cash settled swaption premiums, in percent difference from the market data at a specific node on the tenor grid.
getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
 
getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
 
getCharacteristicFunctionModel() - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
Directly returns the characteristic function.
getCharacteristicFunctionModel() - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.bond.BondCurve
 
getCloneBuilder() - Method in interface net.finmath.marketdata.model.curves.Curve
Returns a curve builder bases on a clone of this curve.
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveFromProductOfCurves
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getCloneBuilder() - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
getCloneBuilder() - Method in interface net.finmath.marketdata2.model.curves.Curve
Returns a curve builder bases on a clone of this curve.
getCloneBuilder() - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
 
getCloneBuilder() - Method in class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve
 
getCloneBuilder() - Method in class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve
 
getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>, ParameterTransformation) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
 
getCloneCalibrated(AnalyticModel, Vector<AnalyticProduct>, List<Double>, Map<String, Object>, ParameterTransformation, OptimizerFactory) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
Create a clone of this volatility surface using a generic calibration of its parameters to given market data.
getCloneCalibrated(LIBORMarketModel, CalibrationProduct[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
 
getCloneCalibrated(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelCalibrateable
Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelCalibrateable
Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneCalibrated(TermStructureModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
Return a calibrated clone of the covariance model.
getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getCloneCalibrated(TimeSeries) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getCloneCalibrated(TimeSeries) - Method in interface net.finmath.timeseries.TimeSeriesModelParametric
 
getCloneCalibratedLegazy(LIBORMarketModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
 
getCloneCalibratedLegazy(ShortRateModel, CalibrationProduct[], Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableHestonModel
 
getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableMertonModel
 
getCloneForModifiedParameters(double[]) - Method in interface net.finmath.fouriermethod.calibration.models.CalibratableProcess
Calibration substitutes in the model the parameters of the process with calibrated ones.
getCloneForModifiedParameters(double[]) - Method in class net.finmath.fouriermethod.calibration.models.CalibratableVarianceGammaModel
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.calibration.ParameterAggregation
 
getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.calibration.ParameterObject
Create a clone with a modified parameter.
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.AbstractCurve
 
getCloneForParameter(double[]) - Method in interface net.finmath.marketdata.model.curves.Curve
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.CurveInterpolation
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.DiscountCurveRenormalized
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.ForwardCurveWithFixings
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.PiecewiseCurve
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.curves.SeasonalCurve
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
Returns a clone of this volatility surface with modified parameters.
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametric
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricDisplacedFourParameterAnalytic
 
getCloneForParameter(double[]) - Method in class net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricFourParameterPicewiseConstant
 
getCloneForParameter(Map<ParameterObject, double[]>) - Method in interface net.finmath.marketdata.model.AnalyticModel
 
getCloneForParameter(Map<ParameterObject, double[]>) - Method in class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols
 
getCloneForParameter(Map<ParameterObject, RandomVariable[]>) - Method in interface net.finmath.marketdata2.model.AnalyticModel
 
getCloneForParameter(Map<ParameterObject, RandomVariable[]>) - Method in class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
 
getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.calibration.ParameterAggregation
 
getCloneForParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.calibration.ParameterObject
Create a clone with a modified parameter.
getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.AbstractCurve
 
getCloneForParameter(RandomVariable[]) - Method in interface net.finmath.marketdata2.model.curves.Curve
 
getCloneForParameter(RandomVariable[]) - Method in class net.finmath.marketdata2.model.curves.CurveInterpolation
 
getCloneIndependent() - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
getCloneIndependent() - Method in interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiable
Returns a clone of this differentiable random variable with a new ID.
getCloneShifted(double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves.CalibrationSpec
 
getCloneShifted(double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves.CalibrationSpec
 
getCloneShifted(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(String, double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Map<String, Double>) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Map<String, Double>) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Pattern, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShifted(Pattern, double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneShiftedForRegExp(String, double) - Method in class net.finmath.marketdata2.calibration.CalibratedCurves
Returns the set curves calibrated to "shifted" market data, that is, the market date of this object, modified by the shifts provided to this methods.
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel
Create a new object implementing LIBORMarketModel, using the new covariance model.
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
getCloneWithModifiedCovarianceModel(LIBORCovarianceModel) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
Create a clone of this simulation modifying one of its properties (if any).
getCloneWithModifiedData(String, Object) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
Create a clone of this simulation modifying one of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
Create a clone of this simulation modifying some of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BachelierModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.BlackScholesModelWithCurves
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.DisplacedLognomalModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.HestonModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogeneousDisplacedLognomalModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.InhomogenousBachelierModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MertonModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.models.VarianceGammaModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.CrossCurrencyLIBORMarketModelFromModels
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
 
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.LIBORModel
Create a new object implementing LIBORModel, using the new data.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
 
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithConstantCoeff
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithDirectSimulation
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModelWithShiftExtension
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
 
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.interestrate.TermStructureModel
Create a new object implementing TermStructureModel, using the new data.
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.model.ProcessModel
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.MonteCarloSimulationModel
Create a clone of this simulation modifying some of its properties (if any).
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
 
getCloneWithModifiedData(Map<String, Object>) - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedData(Map<String, Object>) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getCloneWithModifiedModel(ProcessModel) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
 
getCloneWithModifiedModel(ProcessModel) - Method in interface net.finmath.montecarlo.process.MonteCarloProcess
Returns a clone of this model where the specified properties have been modified.
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant
 
getCloneWithModifiedParameter(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
 
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
 
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelParametricInterface
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(double[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface
Create a new object constructed from a clone of this time scaling, where some parameters have been modified.
getCloneWithModifiedParameters(double[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingPicewiseConstant
 
getCloneWithModifiedParameters(double, double[]) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
Returns the same valuation method for different parameters (maturity and strikes).
getCloneWithModifiedParameters(double, double[]) - Method in class net.finmath.fouriermethod.products.smile.EuropeanOptionSmileByCarrMadan
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility
 
getCloneWithModifiedParameters(RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
Return an instance of this model using a new set of parameters.
getCloneWithModifiedParameters(RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.assetderivativevaluation.AssetModelMonteCarloSimulationModel
Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel
Deprecated.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMertonModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloVarianceGammaModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianBridge
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.BrownianMotion
Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.GammaProcess
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulationFromModels
Deprecated. 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.IndependentIncrements
Return a new object implementing BrownianMotion having the same specifications as this object but a different seed for the random number generator.
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
 
getCloneWithModifiedSeed(int) - Method in interface net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
Deprecated. 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromTermStructureModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.MertonJumpProcess
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.EulerSchemeFromProcessModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.process.MonteCarloProcessFromProcessModel
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2
 
getCloneWithModifiedSeed(int) - Method in class net.finmath.montecarlo.VarianceGammaProcess
 
getCloneWithModifiedTargetValues(double[], double[], boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<Number>, List<Number>, boolean) - Method in class net.finmath.optimizer.LevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<RandomVariable>, List<RandomVariable>, boolean) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(List<RandomVariable>, List<RandomVariable>, boolean) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(RandomVariable[], RandomVariable[], boolean) - Method in class net.finmath.optimizer.StochasticLevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTargetValues(RandomVariable[], RandomVariable[], boolean) - Method in class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt
Create a clone of this LevenbergMarquardt optimizer with a new vector for the target values and weights.
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianBridge
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in interface net.finmath.montecarlo.BrownianMotion
Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionView
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.BrownianMotionWithControlVariate
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.CorrelatedBrownianMotion
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.GammaProcess
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in interface net.finmath.montecarlo.IndependentIncrements
Return a new object implementing BrownianMotion having the same specifications as this object but a different time discretization.
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.IndependentIncrementsFromICDF
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.JumpProcessIncrements
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.MertonJumpProcess
 
getCloneWithModifiedTimeDiscretization(TimeDiscretization) - Method in class net.finmath.montecarlo.VarianceGammaProcess
 
getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel) - Method in class net.finmath.montecarlo.interestrate.models.HullWhiteModel
 
getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel) - Method in interface net.finmath.montecarlo.interestrate.ShortRateModel
Create a new object implementing ShortRateModel, using the new volatility model.
getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getCloneWithWindow(double, int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getCloneWithWindow(int, int) - Method in interface net.finmath.timeseries.HistoricalSimulationModel
Create a new model, using only a window of the times series.
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.ARMAGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormal
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalARMAGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.DisplacedLognormalGJRGARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.GARCH
 
getCloneWithWindow(int, int) - Method in class net.finmath.timeseries.models.parametric.SimpleHistroricalSimulation
 
getColumnIndex(double) - Method in class net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
 
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD
 
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD
 
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.RandomVariableFromDoubleArray
 
getConditionalExpectation(ConditionalExpectationEstimator) - Method in class net.finmath.montecarlo.RandomVariableFromFloatArray
 
getConditionalExpectation(ConditionalExpectationEstimator) - Method in interface net.finmath.stochastic.RandomVariable
Returns the conditional expectation using a given conditional expectation estimator.
getConditionalExpectation(ConditionalExpectationEstimator) - Method in interface net.finmath.stochastic.RandomVariableArray
 
getConditionalExpectation(RandomVariable) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegression
 
getConditionalExpectation(RandomVariable) - Method in interface net.finmath.stochastic.ConditionalExpectationEstimator
Return the conditional expectation of a given random variable.
getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaption
Return the conditional expectation estimator suitable for this product.
getConditionalExpectationEstimator(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.BermudanSwaptionFromSwapSchedules
The conditional expectation is calculated using a Monte-Carlo regression technique.
getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLinearRegressionFactory
 
getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in class net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationLocalizedOnDependentRegressionFactory
 
getConditionalExpectationEstimator(RandomVariable[], RandomVariable[]) - Method in interface net.finmath.montecarlo.conditionalexpectation.MonteCarloConditionalExpectationRegressionFactory
Creates an object implementing a ConditionalExpectationEstimator for conditional expectation estimation.
getConstraint() - Method in interface net.finmath.fouriermethod.calibration.ScalarParameterInformation
Returns the constraint.
getConstraint() - Method in class net.finmath.fouriermethod.calibration.ScalarParameterInformationImplementation
 
getConvention() - Method in class net.finmath.marketdata.model.volatilities.OptionData
 
getConvention() - Method in interface net.finmath.singleswaprate.data.DataTable
Returns the convention the table understands its coordinates in.
getConvention() - Method in class net.finmath.singleswaprate.data.DataTableBasic
 
getConvention() - Method in class net.finmath.singleswaprate.data.DataTableLight
 
getCorrelation(int, double, double, AnalyticModel, String) - Method in interface net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProvider
 
getCorrelation(int, double, double, AnalyticModel, String) - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
 
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
 
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay
 
getCorrelation(int, int, int) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay
 
getCorrelationDecay() - Method in class net.finmath.singleswaprate.calibration.SABRCubeCalibration
 
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube
 
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel
 
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile
 
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.ScaledVolatilityCube
 
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.StaticVolatilityCube
 
getCorrelationDecay() - Method in interface net.finmath.singleswaprate.model.volatilities.VolatilityCube
Return the correlation decay parameter of the cube.
getCorrelationDecay() - Method in class net.finmath.singleswaprate.model.volatilities.VolVolCube
 
getCorrelationMatrix() - Method in class net.finmath.montecarlo.assetderivativevaluation.models.MultiAssetBlackScholesModel
Returns the volatility parameters of this model.
getCorrelationMatrix3M() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
 
getCorrelationMatrix6M() - Method in class net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProviderTenorBasis
 
getCorrelationModel() - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCorrelations() - Method in class net.finmath.montecarlo.assetderivativevaluation.MonteCarloMultiAssetBlackScholesModel
Returns the volatility parameters of this model.
getCoupon() - Method in class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon
Returns the coupon.
getCoupon(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getCoupon(double, LIBORModelMonteCarloSimulationModel) - Method in class net.finmath.montecarlo.interestrate.products.components.Period
 
getCouponPayment(int, AnalyticModel) - Method in class net.finmath.marketdata.model.bond.Bond
Returns the coupon payment of the period with the given index.
getCovariance(double, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
 
getCovariance(double, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
Returns the instantaneous covariance calculated from factor loadings.
getCovariance(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel
 
getCovariance(int, int, int, RandomVariable[]) - Method in interface net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
Returns the instantaneous covariance calculated from factor loadings.
getCovariance(int, int, int, RandomVariable[]) - Method in class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation
 
getCovarianceModel() - Method in interface net.finmath.montecarlo.interestrate.LIBORMarketModel
Return the forward rate (LIBOR) covariance model.
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel
 
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelStandard
 
getCovarianceModel() - Method in class net.finmath.montecarlo.interestrate.models.LIBORMarketModelWithTenorRefinement
Returns the term structure covariance model.
getCurrency() - Method in class net.finmath.montecarlo.AbstractMonteCarloProduct
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
 
getCurrency() - Method in class net.finmath.montecarlo.interestrate.products.components.