Uses of Package
net.finmath.time

Packages that use net.finmath.time
Package
Description
Integrated Assessment Models.
Experiments related to the DICE model.
Model components of the DICE model
Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
Provides classes related to the modeling of Bond curves.
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Provides interface specification and implementation of products, e.g., calibration products.
Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface separating implementation from specification (of models and products)
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.
Monte-Carlo models for asset value processes, like the Black Scholes model.
Products which may be valued using an AssetModelMonteCarloSimulationModel.
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
Interest rate models implementing ProcessModel e.g.
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
Provides a set of indices which can be used as part of a period.
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
Legacy classes related to Monte-Carlo simulation - used for teaching only.
Contains classes for parsing files.
Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
Classes providing options for the annuity mapping function.
Provides classes to store and interact with market data.
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.
Provides interface specification and implementation of product based on a single interest rate curve.
Provides utilities for Java swing (used in finmath applets).
Provides interfaces and classes for time discretizations, tenors and (swap) schedule generation.
Provides various day count conventions, e.g., as used in the definition of coupon payments of interest rate products.