Uses of Package
net.finmath.modelling

Packages that use net.finmath.modelling
Package
Description
net.finmath.finitedifference.models
Models provided for finite difference solvers.
net.finmath.finitedifference.products
Product valuation code for models using backward propagation.
net.finmath.fouriermethod.calibration.models
Classes related to the calibration of fourier models.
net.finmath.fouriermethod.models
Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.marketdata.model
Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.bond
Provides classes related to the modeling of Bond curves.
net.finmath.marketdata.model.volatility.caplet
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.products
Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model
Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata2.products
Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling
Provides interface separating models and products.
net.finmath.modelling.descriptor
Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.descriptor.xmlparser
Provides xml parsers to construct descriptors from XML
net.finmath.modelling.modelfactory
Provides classes to build models from descriptors.
net.finmath.modelling.productfactory
Provides classes to build products from descriptors.
net.finmath.montecarlo
Provides basic interfaces and classes used in Monte-Carlo models (like LIBOR market model or Monte-Carlo simulation of a Black-Scholes model), e.g., the Monte-Carlo random variable and the Brownian motion.
net.finmath.montecarlo.assetderivativevaluation
Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.products
Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.crosscurrency
Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
net.finmath.montecarlo.interestrate
Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components
Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices
Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.products
Products which are model independent, but assume a Monte-Carlo simulation.
net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation
Legacy classes related to Monte-Carlo simulation - used for teaching only.
net.finmath.singleswaprate.model
Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.products
Provides interface specification and implementation of product based on a single interest rate curve.