Uses of Package
net.finmath.fouriermethod
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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ClassDescriptionInterface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).
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ClassDescriptionInterface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).
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ClassDescriptionInterface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).
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ClassDescriptionInterface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).