Uses of Interface
net.finmath.montecarlo.conditionalexpectation.RegressionBasisFunctionsProvider
Package
Description
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations,
also known as "American Monte-Carlo".
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Provides a set product components which allow to build financial products by composition.
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Uses of RegressionBasisFunctionsProvider in net.finmath.montecarlo.conditionalexpectation
Modifier and TypeClassDescriptionclass
An implementation of an RegressionBasisFunctionsProvider using a list of AbstractMonteCarloProduct-s. -
Uses of RegressionBasisFunctionsProvider in net.finmath.montecarlo.interestrate.products
Modifier and TypeClassDescriptionclass
Implements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModel
class
Implements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModel
Modifier and TypeMethodDescriptionBermudanSwaptionFromSwapSchedules.getBasisFunctionsProviderWithForwardRates()
BermudanSwaptionFromSwapSchedules.getBasisFunctionsProviderWithSwapRates()
ModifierConstructorDescriptionBermudanSwaption
(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates, boolean isCallable, RegressionBasisFunctionsProvider regressionBasisFunctionsProvider) BermudanSwaptionFromSwapSchedules
(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, MonteCarloConditionalExpectationRegressionFactory conditionalExpectationRegressionFactory, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption from an array of underlying swap schedules (fix leg and float leg), swap rates and notionals.BermudanSwaptionFromSwapSchedules
(LocalDateTime referenceDate, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, LocalDate[] exerciseDates, LocalDate swapEndDate, double[] swaprates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules, RegressionBasisFunctionsProvider regressionBasisFunctionProvider) Create a Bermudan swaption. -
Uses of RegressionBasisFunctionsProvider in net.finmath.montecarlo.interestrate.products.components
ModifierConstructorDescriptionOption
(double exerciseDate, boolean isCall, TermStructureMonteCarloProduct strikeProduct, AbstractTermStructureMonteCarloProduct underlying, RegressionBasisFunctionsProvider regressionBasisFunctionsProvider) Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProductOption
(double exerciseDate, double strikePrice, boolean isCall, AbstractTermStructureMonteCarloProduct underlying, RegressionBasisFunctionsProvider regressionBasisFunctionsProvider) Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice