Uses of Package
net.finmath.exception

Packages that use net.finmath.exception
Package
Description
net.finmath.fouriermethod.products
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
net.finmath.fouriermethod.products.smile
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.
net.finmath.marketdata.model.volatilities
Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.model.volatility.caplet
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.model.volatility.caplet.tenorconversion
Algorithms related to caplet tenor conversion.
net.finmath.marketdata2.model.curves
Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.modelling.productfactory
Provides classes to build products from descriptors.
net.finmath.montecarlo
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.
net.finmath.montecarlo.assetderivativevaluation
Monte-Carlo models for asset value processes, like the Black Scholes model.
net.finmath.montecarlo.assetderivativevaluation.models
Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.assetderivativevaluation.products
Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.conditionalexpectation
Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
net.finmath.montecarlo.crosscurrency
Provides classes for Cross-Currency models to be implemented via Monte-Carlo algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.hybridassetinterestrate
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
net.finmath.montecarlo.interestrate
Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models
Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance
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.
net.finmath.montecarlo.interestrate.models.funding
Model components related to non-linear discounting / funding.
net.finmath.montecarlo.interestrate.products
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components
Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices
Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.model
Provides an interface and a base class for process models, i.e., models providing the parameters for stochastic processes.
net.finmath.montecarlo.process
Interfaced for stochastic processes and numerical schemes for stochastic processes (SDEs), like the Euler scheme.
net.finmath.montecarlo.process.component.barrier
Components providing the barrier in the Monte-Carlo simulation with barrier.
net.finmath.montecarlo.products
Products which are model independent, but assume a Monte-Carlo simulation.