Uses of Enum
net.finmath.modelling.products.Swaption.ValueUnit
Package
Description
Interface and base classes related to products.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.-
Uses of Swaption.ValueUnit in net.finmath.modelling.products
Modifier and TypeMethodDescriptionstatic Swaption.ValueUnit
Returns the enum constant of this type with the specified name.static Swaption.ValueUnit[]
Swaption.ValueUnit.values()
Returns an array containing the constants of this enum type, in the order they are declared. -
Uses of Swaption.ValueUnit in net.finmath.montecarlo.interestrate.products
ModifierConstructorDescriptionSwaptionAnalyticApproximation
(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit) Create an analytic swaption approximation product for log normal forward rate model.SwaptionAnalyticApproximationRebonato
(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit) Create an analytic swaption approximation product for log normal forward rate model.SwaptionATM
(double[] swapTenor, Swaption.ValueUnit valueUnit) SwaptionFromSwapSchedules
(LocalDateTime referenceDate, SwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate exerciseDate, Schedule scheduleFixedLeg, Schedule scheduleFloatLeg, double swaprate, double notional, Swaption.ValueUnit valueUnit) SwaptionSimple
(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit) Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).SwaptionSingleCurveAnalyticApproximation
(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit) Create an analytic swaption approximation product for log normal forward rate model.