Uses of Interface
net.finmath.fouriermethod.CharacteristicFunction
Package
Description
Provides characteristic functions of stochastic processes (models).
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to
the corresponding product value.
Provides classes to build products from descriptors.
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Uses of CharacteristicFunction in net.finmath.fouriermethod.models
Modifier and TypeMethodDescriptionBatesModel.apply
(double time) BlackScholesModel.apply
(double time) CharacteristicFunctionModel.apply
(double time) Returns the characteristic function of X(t), where X isthis
stochastic process.HestonModel.apply
(double time) MertonModel.apply
(double time) VarianceGammaModel.apply
(double time) -
Uses of CharacteristicFunction in net.finmath.fouriermethod.products
Modifier and TypeClassDescriptionclass
class
Implements valuation of a European option on a single asset.class
Implements valuation of a European option on a single asset. -
Uses of CharacteristicFunction in net.finmath.fouriermethod.products.smile
Modifier and TypeInterfaceDescriptioninterface
Base interface for Fourier-based valuations.Modifier and TypeClassDescriptionclass
This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options.class
This class computes the prices of a collection of call options for a fixed maturity and a family of strikes. -
Uses of CharacteristicFunction in net.finmath.modelling.productfactory
Modifier and TypeClassDescriptionstatic class
Fourier method based implementation of a digital option from a product descriptor.static class
Fourier method based implementation of a European option from a product descriptor.