Uses of Interface
net.finmath.finitedifference.interestrate.models.FiniteDifferenceInterestRateModel
Packages that use FiniteDifferenceInterestRateModel
Package
Description
Package net.finmath.finitedifference.interestrate.models.
Package net.finmath.finitedifference.interestrate.products.
Package net.finmath.finitedifference.solvers.
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Uses of FiniteDifferenceInterestRateModel in net.finmath.finitedifference.interestrate.models
Classes in net.finmath.finitedifference.interestrate.models that implement FiniteDifferenceInterestRateModelModifier and TypeClassDescriptionclassOne-factor Hull-White interest-rate model for finite-difference valuation.Methods in net.finmath.finitedifference.interestrate.models that return FiniteDifferenceInterestRateModelModifier and TypeMethodDescriptionFiniteDifferenceInterestRateModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization spaceTimeDiscretization) Returns a clone of the model using a modified space-time discretization. -
Uses of FiniteDifferenceInterestRateModel in net.finmath.finitedifference.interestrate.products
Subinterfaces with type arguments of type FiniteDifferenceInterestRateModel in net.finmath.finitedifference.interestrate.productsModifier and TypeInterfaceDescriptioninterfaceInterface for products valued by a finite-difference interest-rate model.Methods in net.finmath.finitedifference.interestrate.products that return types with arguments of type FiniteDifferenceInterestRateModelModifier and TypeMethodDescriptiondefault Class<FiniteDifferenceInterestRateModel> FiniteDifferenceInterestRateProduct.getModelClass()Methods in net.finmath.finitedifference.interestrate.products with parameters of type FiniteDifferenceInterestRateModelModifier and TypeMethodDescriptiondouble[]Bond.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model) default double[]FiniteDifferenceInterestRateProduct.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model) Applies the event condition at a given event time.double[]Swaption.ResolvedSwaption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model) static doubleSwap.getForwardSwapRate(double evaluationTime, Schedule fixSchedule, Schedule floatSchedule, String forwardCurveName, FiniteDifferenceInterestRateModel model, double... stateVariables) Returns the forward swap rate corresponding to the given fixed-leg and floating-leg schedules under the specified model state.doubleSwaption.getIntrinsicValue(double time, int scheduleIndex, double stateVariable, FiniteDifferenceInterestRateModel model) Returns the intrinsic value at the given time and state for the schedule indexed byscheduleIndex.Swaption.getResolvedExerciseData(FiniteDifferenceInterestRateModel model) Resolves the exercise data to be used numerically under the given model.static doubleSwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, FiniteDifferenceInterestRateModel model, double... stateVariables) Returns the reduced-scope swap annuity at the given evaluation time and state.doubleSwaption.getUnderlyingSwapValue(double time, int scheduleIndex, double stateVariable, FiniteDifferenceInterestRateModel model) Returns the underlying swap value at the given time and state for the schedule indexed byscheduleIndex.double[]Bond.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model) double[]OptionOnBond.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model) double[]Swap.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model) double[]SwapLeg.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model) double[]Swaption.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model) double[]Swaption.ResolvedSwaption.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model) doubleSwap.getValueAt(double evaluationTime, double stateVariable, FiniteDifferenceInterestRateModel model) Returns the swap value at the given evaluation time and state.doubleSwapLeg.getValueAt(double evaluationTime, double stateVariable, FiniteDifferenceInterestRateModel model) Returns the leg value at the given evaluation time and state.double[][]Bond.getValues(FiniteDifferenceInterestRateModel model) double[][]OptionOnBond.getValues(FiniteDifferenceInterestRateModel model) double[][]Swap.getValues(FiniteDifferenceInterestRateModel model) double[][]SwapLeg.getValues(FiniteDifferenceInterestRateModel model) double[][]Swaption.getValues(FiniteDifferenceInterestRateModel model) double[][]Swaption.ResolvedSwaption.getValues(FiniteDifferenceInterestRateModel model) -
Uses of FiniteDifferenceInterestRateModel in net.finmath.finitedifference.solvers
Constructors in net.finmath.finitedifference.solvers with parameters of type FiniteDifferenceInterestRateModelModifierConstructorDescriptionFDMThetaMethod1D(FiniteDifferenceInterestRateModel model, FiniteDifferenceInterestRateProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a theta-method finite-difference solver for a one-dimensional backward PDE.