Uses of Package

Packages that use net.finmath.exception
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.
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.
Algorithms related to caplet tenor conversion.
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
Provides classes to build products from descriptors.
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.
Equity models implementing ProcessModel e.g.
Products which may be valued using an AssetModelMonteCarloSimulationModel.
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
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 product components which allow to build financial products by composition.
Provides a set of indices which can be used as part of a period.
Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
Components providing the barrier in the Monte-Carlo simulation with barrier.
Products which are model independent, but assume a Monte-Carlo simulation.