Package net.finmath.montecarlo.interestrate.products.indices
Provides a set of indices which can be used as part of a period.
 Author:
 Christian Fries
 See Also:
Period

Class Summary Class Description AbstractIndex Base class for indices.AccruedInterest An accrued interest index.AnalyticModelForwardCurveIndex An index which is given by a name referencing a curve of an analytic model.AnalyticModelIndex An index which is given by a name referencing a curve of an analytic model.CappedFlooredIndex An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementingAbstractIndex
.ConstantMaturitySwaprate An idealized (single curve) CMS index with given maturity and given period length.DateIndex An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.FixedCoupon A fixed coupon index paying constant coupon..ForwardCurveIndex A fixed coupon index paying coupon calculated from a forward curve.LaggedIndex A timelagged index paying index(t+fixingOffset)LIBORIndex A (floating) forward rate index for a given period start offset (offset from fixing) and period length.LinearCombinationIndex A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)MaxIndex A maximum index.MinIndex A minumum index.NumerairePerformanceIndex A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.NumerairePerformanceOnScheduleIndex A (floating) rate index representing the performance of the numeraire asset.PerformanceIndex A performance index being numeratorIndex(t) / denominatorIndex(t)PowIndex A power index.ProductIndex A product index being index1(t) * index2(t)TimeDiscreteEndOfMonthIndex An index which maps is evaluation point to a fixed discrete point, the end of the month, then takes the value of a given base index at this point.TriggerIndex A trigger index.UnsupportedIndex An index throwing an exception if hisgetValue
method is called. 
Enum Summary Enum Description DateIndex.DateIndexType