finmath.net Java Library

The finmath.net software libraries provide implementations of methodologies related to mathematical finance, but applicable to other fields (e.g., the Monte-Carlo simulation of SDEs and the estimation of conditional expectations in Monte-Carlo).

The libraries have a focus on Monte-Carlo methods, interest rate products and models and hybrid models.

Projects

finmath lib

Java library providing implementations of methodologies related to mathematical finance, but applicable to other fields (e.g., the Monte-Carlo simulation of SDEs and the estimation of conditional expectations in Monte-Carlo).

finmath experiments

Small experiments, illustrating some aspects of mathematical finance. Also illustrates how to use the finmath lib. Also contains a collection of spreadsheets building upon finmath lib and providing end user solutions (e.g, interest rate curve calibration or calibration of a forward rate model).

Documentation

• finmath lib API documentation
  provides the documentation of the library api.
• finmath.net special topics
  cover some selected topics with demo spreadsheets and uml diagrams. Some topics come with additional documentations (technical papers).

License

The code of "finmath lib" and "finmath experiments" (packages net.finmath.*) are distributed under the Apache License version 2.0, unless otherwise explicitly stated.

Repositories

Source code is provided via a subversion repository and Github.

• Subversion repository with Java code: http://svn.finmath.net/finmath lib

  We provide instructions on how to checkout the code using the Eclipse IDE.

• Git repository with Java code: https://github.com/finmath

Note: I am re-submitting code. For a detailed status see the subversion history. If you like to be informed upon updates, please send an email to info@finmath.net using the subject 'finmath updates'.

Issue Tracking

Issue tracking is being moved to GitHub: https://github.com/finmath/finmath-lib/issues.